Correlation Between JPMorgan Value and SPDR Portfolio
Can any of the company-specific risk be diversified away by investing in both JPMorgan Value and SPDR Portfolio at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining JPMorgan Value and SPDR Portfolio into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between JPMorgan Value Factor and SPDR Portfolio SP, you can compare the effects of market volatilities on JPMorgan Value and SPDR Portfolio 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 Value with a short position of SPDR Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of JPMorgan Value and SPDR Portfolio.
Diversification Opportunities for JPMorgan Value and SPDR Portfolio
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between JPMorgan and SPDR is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Value Factor and SPDR Portfolio SP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Portfolio SP and JPMorgan Value 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 Value Factor are associated (or correlated) with SPDR Portfolio. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Portfolio SP has no effect on the direction of JPMorgan Value i.e., JPMorgan Value and SPDR Portfolio go up and down completely randomly.
Pair Corralation between JPMorgan Value and SPDR Portfolio
Given the investment horizon of 90 days JPMorgan Value Factor is expected to under-perform the SPDR Portfolio. In addition to that, JPMorgan Value is 1.16 times more volatile than SPDR Portfolio SP. It trades about -0.11 of its total potential returns per unit of risk. SPDR Portfolio SP is currently generating about -0.07 per unit of volatility. If you would invest 4,914 in SPDR Portfolio SP on January 25, 2024 and sell it today you would lose (58.00) from holding SPDR Portfolio SP or give up 1.18% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
JPMorgan Value Factor vs. SPDR Portfolio SP
Performance |
| Timeline |
| JPMorgan Value Factor |
| SPDR Portfolio SP |
JPMorgan Value and SPDR Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with JPMorgan Value and SPDR Portfolio
The main advantage of trading using opposite JPMorgan Value and SPDR Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if JPMorgan Value position performs unexpectedly, SPDR Portfolio can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in SPDR Portfolio will offset losses from the drop in SPDR Portfolio's long position.| JPMorgan Value vs. Hartford Multifactor Emerging | JPMorgan Value vs. Hartford Multifactor Developed | JPMorgan Value vs. iShares Equity Factor | JPMorgan Value vs. SPDR MSCI USA |
| SPDR Portfolio vs. Hartford Multifactor Emerging | SPDR Portfolio vs. Hartford Multifactor Developed | SPDR Portfolio vs. iShares Equity Factor | SPDR Portfolio vs. SPDR MSCI USA |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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