JPMorgan Chase Correlations

JPM Stock

USD 238.36 1.22 0.51%

The current 90-days correlation between JPMorgan Chase and Citigroup is 0.69 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as JPMorgan Chase moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if JPMorgan Chase Co moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

JPMorgan Chase Correlation With Market

Poor diversification

The correlation between JPMorgan Chase Co and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Chase Co and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in JPMorgan Chase Co. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in american community survey.

Moving together with JPMorgan Stock

0.94	C	Citigroup Fiscal Year End 10th of January 2025	Pair Corr
0.88	CM	Canadian Imperial Bank	Pair Corr
0.64	RY	Royal Bank	Pair Corr
0.65	BML-PL	Bank of America	Pair Corr
0.97	EWBC	East West Bancorp Fiscal Year End 28th of January 2025	Pair Corr
0.96	BAC	Bank of America Fiscal Year End 10th of January 2025	Pair Corr
0.91	BCS	Barclays PLC ADR	Pair Corr
0.81	BMO	Bank of Montreal	Pair Corr
0.79	BNS	Bank of Nova Scotia	Pair Corr
0.66	NTB	Bank of NT	Pair Corr
0.9	NWG	Natwest Group PLC	Pair Corr
0.67	UBS	UBS Group AG	Pair Corr
0.99	WFC	Wells Fargo Fiscal Year End 10th of January 2025	Pair Corr
0.72	HSBC	HSBC Holdings PLC	Pair Corr
0.93	MUFG	Mitsubishi UFJ Financial	Pair Corr
0.88	SMFG	Sumitomo Mitsui Financial	Pair Corr

Moving against JPMorgan Stock

0.95	ING	ING Group NV	Pair Corr
0.9	JPM-PK	JPMorgan Chase	Pair Corr
0.9	JPM-PM	JPMorgan Chase	Pair Corr
0.88	JPM-PL	JPMorgan Chase	Pair Corr
0.87	JPM-PJ	JPMorgan Chase	Pair Corr
0.87	BAC-PN	Bank of America	Pair Corr
0.81	TD	Toronto Dominion Bank	Pair Corr
0.81	BAC-PM	Bank of America	Pair Corr
0.57	SAN	Banco Santander SA	Pair Corr
0.91	BAC-PQ	Bank of America	Pair Corr
0.89	BAC-PO	Bank of America	Pair Corr
0.89	WFC-PC	Wells Fargo	Pair Corr
0.88	BAC-PP	Bank of America	Pair Corr
0.88	WFC-PA	Wells Fargo	Pair Corr
0.87	BAC-PS	Bank of America	Pair Corr
0.87	WFC-PZ	Wells Fargo	Pair Corr
0.86	WFC-PD	Wells Fargo	Pair Corr

Related Correlations Analysis

	C	WFC	TD	NU	BAC	HSBC	RY	CM	BMO	BNS
C		0.91	-0.74	-0.51	0.92	0.83	0.64	0.86	0.86	0.82	C
WFC	0.91		-0.83	-0.29	0.97	0.7	0.62	0.88	0.79	0.76	WFC
TD	-0.74	-0.83		0.25	-0.79	-0.65	-0.64	-0.85	-0.81	-0.49	TD
NU	-0.51	-0.29	0.25		-0.38	-0.63	-0.39	-0.35	-0.57	-0.6	NU
BAC	0.92	0.97	-0.79	-0.38		0.73	0.65	0.88	0.83	0.82	BAC
HSBC	0.83	0.7	-0.65	-0.63	0.73		0.57	0.82	0.8	0.74	HSBC
RY	0.64	0.62	-0.64	-0.39	0.65	0.57		0.75	0.68	0.65	RY
CM	0.86	0.88	-0.85	-0.35	0.88	0.82	0.75		0.86	0.75	CM
BMO	0.86	0.79	-0.81	-0.57	0.83	0.8	0.68	0.86		0.72	BMO
BNS	0.82	0.76	-0.49	-0.6	0.82	0.74	0.65	0.75	0.72		BNS
	C	WFC	TD	NU	BAC	HSBC	RY	CM	BMO	BNS

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

BAC	+ 0.97	WFC
BAC	+ 0.92	C
WFC	+ 0.91	C
CM	+ 0.88	WFC
CM	+ 0.88	BAC
CM	+ 0.86	C

High negative correlations

CM	- 0.85	TD
TD	- 0.83	WFC
BMO	- 0.81	TD
BAC	- 0.79	TD
TD	- 0.74	C
HSBC	- 0.65	TD

Risk-Adjusted Indicators

There is a big difference between JPMorgan Stock performing well and JPMorgan Chase Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze JPMorgan Chase's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
C	1.32	0.20	0.19	0.18	1.16	(1.58)	3.56	(1.75)	10.33
WFC	1.45	0.33	0.32	0.23	0.88	(1.76)	3.60	(1.96)	16.76
TD	0.84	(0.26)	0.00	(0.44)	0.00	0.00	1.18	(1.59)	9.62
NU	1.94	(0.40)	0.00	(0.28)	0.00	0.00	3.81	(4.97)	14.51
BAC	1.04	0.26	0.21	(7.01)	0.57	(1.29)	2.20	(1.42)	10.22
HSBC	0.87	0.17	0.07	1.08	1.14	(0.90)	1.82	(1.32)	6.87
RY	0.63	(0.01)	(0.08)	0.04	0.69	(0.75)	1.49	(1.08)	4.25
CM	0.65	0.11	0.06	0.60	0.62	(0.68)	1.64	(1.16)	6.14
BMO	0.80	0.24	0.21	(243.69)	0.47	(1.03)	2.06	(1.22)	7.04
BNS	0.69	0.08	0.02	0.39	0.79	(0.71)	1.64	(1.20)	5.93

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