Pair Correlation Between Microsoft and JPMorgan Chase

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

Pair Volatility

Given the investment horizon of 30 days, Microsoft is expected to generate 2.2 times less return on investment than JPMorgan Chase. But when comparing it to its historical volatility, Microsoft Corporation is 1.05 times less risky than JPMorgan Chase. It trades about 0.21 of its potential returns per unit of risk. JPMorgan Chase Co is currently generating about 0.43 of returns per unit of risk over similar time horizon. 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 Microsoft and JPMorgan Chase
-0.4

Parameters

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

Diversification

Very good diversification

Overlapping area represents amount of risk that can be diversified away by holding Microsoft Corp. and JPMorgan Chase Co. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Chase Co and Microsoft 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 Microsoft Corporation are associated (or correlated) with JPMorgan Chase. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Chase Co has no effect on the direction of Microsoft i.e. Microsoft and JPMorgan Chase 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
 1.01 (0.08)(0.06) 0.14  1.18 (0.07)(0.99) 1.69 (1.83) 3.53 
 1.00  0.46  0.42  0.64  0.00  0.33 (1.31) 3.68 (0.65) 7.11 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Microsoft

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Microsoft Corporation are ranked lower than 14 (%) of all global equities and portfolios over the last 30 days.

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.