Correlation Between Xtrackers MSCI and JPMorgan BetaBuilders
Can any of the company-specific risk be diversified away by investing in both Xtrackers MSCI and JPMorgan BetaBuilders 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 Xtrackers MSCI and JPMorgan BetaBuilders into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Xtrackers MSCI Europe and JPMorgan BetaBuilders Europe, you can compare the effects of market volatilities on Xtrackers MSCI and JPMorgan BetaBuilders 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 Xtrackers MSCI with a short position of JPMorgan BetaBuilders. Check out your portfolio center. Please also check ongoing floating volatility patterns of Xtrackers MSCI and JPMorgan BetaBuilders.
Diversification Opportunities for Xtrackers MSCI and JPMorgan BetaBuilders
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Xtrackers and JPMorgan is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Xtrackers MSCI Europe and JPMorgan BetaBuilders Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan BetaBuilders and Xtrackers MSCI 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 Xtrackers MSCI Europe are associated (or correlated) with JPMorgan BetaBuilders. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan BetaBuilders has no effect on the direction of Xtrackers MSCI i.e., Xtrackers MSCI and JPMorgan BetaBuilders go up and down completely randomly.
Pair Corralation between Xtrackers MSCI and JPMorgan BetaBuilders
Given the investment horizon of 90 days Xtrackers MSCI Europe is expected to generate 0.71 times more return on investment than JPMorgan BetaBuilders. However, Xtrackers MSCI Europe is 1.42 times less risky than JPMorgan BetaBuilders. It trades about -0.19 of its potential returns per unit of risk. JPMorgan BetaBuilders Europe is currently generating about -0.29 per unit of risk. If you would invest 4,241 in Xtrackers MSCI Europe on August 27, 2024 and sell it today you would lose (111.00) from holding Xtrackers MSCI Europe or give up 2.62% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Xtrackers MSCI Europe vs. JPMorgan BetaBuilders Europe
Performance |
| Timeline |
| Xtrackers MSCI Europe |
| JPMorgan BetaBuilders |
Xtrackers MSCI and JPMorgan BetaBuilders Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Xtrackers MSCI and JPMorgan BetaBuilders
The main advantage of trading using opposite Xtrackers MSCI and JPMorgan BetaBuilders positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Xtrackers MSCI position performs unexpectedly, JPMorgan BetaBuilders 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 BetaBuilders will offset losses from the drop in JPMorgan BetaBuilders' long position.| Xtrackers MSCI vs. WisdomTree International Hedged | Xtrackers MSCI vs. WisdomTree Emerging Markets | Xtrackers MSCI vs. WisdomTree Dynamic Currency |
| JPMorgan BetaBuilders vs. WisdomTree International Hedged | JPMorgan BetaBuilders vs. WisdomTree Emerging Markets | JPMorgan BetaBuilders vs. WisdomTree Dynamic Currency |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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