Correlation Between SPDR Portfolio and JPMorgan Value
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and JPMorgan Value 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 SPDR Portfolio and JPMorgan Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Portfolio SP and JPMorgan Value Factor, you can compare the effects of market volatilities on SPDR Portfolio and JPMorgan Value 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 SPDR Portfolio with a short position of JPMorgan Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and JPMorgan Value.
Diversification Opportunities for SPDR Portfolio and JPMorgan Value
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and JPMorgan is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio SP and JPMorgan Value Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Value Factor and SPDR Portfolio 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 SPDR Portfolio SP are associated (or correlated) with JPMorgan Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Value Factor has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and JPMorgan Value go up and down completely randomly.
Pair Corralation between SPDR Portfolio and JPMorgan Value
Given the investment horizon of 90 days SPDR Portfolio SP is expected to generate 0.87 times more return on investment than JPMorgan Value. However, SPDR Portfolio SP is 1.16 times less risky than JPMorgan Value. It trades about -0.07 of its potential returns per unit of risk. JPMorgan Value Factor is currently generating about -0.11 per unit of risk. If you would invest 4,914 in SPDR Portfolio SP on January 25, 2024 and sell it today you would lose (60.00) from holding SPDR Portfolio SP or give up 1.22% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Portfolio SP vs. JPMorgan Value Factor
Performance |
| Timeline |
| SPDR Portfolio SP |
| JPMorgan Value Factor |
SPDR Portfolio and JPMorgan Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and JPMorgan Value
The main advantage of trading using opposite SPDR Portfolio and JPMorgan Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, JPMorgan Value 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 JPMorgan Value will offset losses from the drop in JPMorgan Value's long position.| SPDR Portfolio vs. Hartford Multifactor Emerging | SPDR Portfolio vs. Hartford Multifactor Developed | SPDR Portfolio vs. iShares Equity Factor | SPDR Portfolio vs. SPDR MSCI USA |
| JPMorgan Value vs. Hartford Multifactor Emerging | JPMorgan Value vs. Hartford Multifactor Developed | JPMorgan Value vs. iShares Equity Factor | JPMorgan Value 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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
Other Complementary Tools
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Money Managers Screen money managers from public funds and ETFs managed around the world | |
| Stock Screener Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook. | |
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
| Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like | |
| Options Analysis Analyze and evaluate options and option chains as a potential hedge for your portfolios | |
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk |