Pair Correlation Between JPMorgan Chase and Exxon

This module allows you to analyze existing cross correlation between JPMorgan Chase Co and Exxon Mobil Corporation. You can compare the effects of market volatilities on JPMorgan Chase and Exxon 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 Exxon. See also your portfolio center.Please also check ongoing floating volatility patterns of JPMorgan Chase and Exxon.
Investment Horizon     30 Days    Login   to change
 JPMorgan Chase Co.  vs   Exxon Mobil Corp.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, JPMorgan Chase Co is expected to generate 1.58 times more return on investment than Exxon. However, JPMorgan Chase is 1.58 times more volatile than Exxon Mobil Corporation. It trades about 0.43 of its potential returns per unit of risk. Exxon Mobil Corporation is currently generating about 0.24 per unit of risk. If you would invest  7,669  in JPMorgan Chase Co on November 11, 2016 and sell it today you would earn a total of  880.00  from holding JPMorgan Chase Co or generate 11.47% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between JPMorgan Chase and Exxon
0.21

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

Modest diversification

Overlapping area represents amount of risk that can be diversified away by holding JPMorgan Chase Co. and Exxon Mobil Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Exxon Mobil 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 Exxon. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Exxon Mobil has no effect on the direction of JPMorgan Chase i.e. JPMorgan Chase and Exxon 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
 1.00  0.46  0.42  0.64  0.00  0.33 (1.31) 3.68 (0.65) 7.11 
 0.64 (0.14)(0.09) 0.11  0.64 (0.10)(0.68) 1.63 (1.23) 3.04 

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 29 (%) of all global equities and portfolios over the last 30 days.

Exxon Mobil

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Exxon Mobil Corporation are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.