Pair Correlation Between JPMorgan Chase and Microsoft

This module allows you to analyze existing cross correlation between JPMorgan Chase Co and Microsoft Corporation. You can compare the effects of market volatilities on JPMorgan Chase and Microsoft and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in JPMorgan Chase with a short position of Microsoft. See also your portfolio center.Please also check ongoing floating volatility patterns of JPMorgan Chase and Microsoft.
Investment Horizon     30 Days    Login   to change
 JPMorgan Chase Co.  vs   Microsoft Corp.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, JPMorgan Chase Co is expected to generate 1.42 times more return on investment than Microsoft. However, JPMorgan Chase is 1.42 times more volatile than Microsoft Corporation. It trades about 0.5 of its potential returns per unit of risk. Microsoft Corporation is currently generating about 0.04 per unit of risk. If you would invest  6,776  in JPMorgan Chase Co on November 4, 2016 and sell it today you would earn a total of  1,384  from holding JPMorgan Chase Co or generate 20.43% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between JPMorgan Chase and Microsoft
-0.4

Parameters

Time Period1 Month [change]
DirectionNegative JPM Moved Down vs MSFT
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents amount of risk that can be diversified away by holding JPMorgan Chase Co. and Microsoft Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Microsoft and JPMorgan Chase is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on JPMorgan Chase Co are associated (or correlated) with Microsoft. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Microsoft has no effect on the direction of JPMorgan Chase i.e. JPMorgan Chase and Microsoft go up and down completely randomly.

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.35  0.40  0.55  0.42  0.00  0.32 (1.77) 4.60 (0.91) 7.11 
 0.94 (0.20) 0.00 (0.02) 0.00 (0.18) 0.00  1.69 (1.83) 5.37 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

JPMorgan Chase Co

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Chase Co are ranked lower than 34 (%) of all global equities and portfolios over the last 30 days.

Microsoft

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Microsoft Corporation are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days.