Correlation Between JPMorgan Municipal and Goldman Sachs
Can any of the company-specific risk be diversified away by investing in both JPMorgan Municipal and Goldman Sachs 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 Municipal and Goldman Sachs into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between JPMorgan Municipal and Goldman Sachs ETF, you can compare the effects of market volatilities on JPMorgan Municipal and Goldman Sachs 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 Municipal with a short position of Goldman Sachs. Check out your portfolio center. Please also check ongoing floating volatility patterns of JPMorgan Municipal and Goldman Sachs.
Diversification Opportunities for JPMorgan Municipal and Goldman Sachs
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between JPMorgan and Goldman is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Municipal and Goldman Sachs ETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs ETF and JPMorgan Municipal 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 Municipal are associated (or correlated) with Goldman Sachs. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Goldman Sachs ETF has no effect on the direction of JPMorgan Municipal i.e., JPMorgan Municipal and Goldman Sachs go up and down completely randomly.
Pair Corralation between JPMorgan Municipal and Goldman Sachs
Given the investment horizon of 90 days JPMorgan Municipal is expected to generate 397.61 times less return on investment than Goldman Sachs. But when comparing it to its historical volatility, JPMorgan Municipal is 523.11 times less risky than Goldman Sachs. It trades about 0.14 of its potential returns per unit of risk. Goldman Sachs ETF is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 0.00 in Goldman Sachs ETF on August 29, 2024 and sell it today you would earn a total of 5,059 from holding Goldman Sachs ETF or generate 9.223372036854776E16% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 71.43% |
| Values | Daily Returns |
JPMorgan Municipal vs. Goldman Sachs ETF
Performance |
| Timeline |
| JPMorgan Municipal |
| Goldman Sachs ETF |
JPMorgan Municipal and Goldman Sachs Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with JPMorgan Municipal and Goldman Sachs
The main advantage of trading using opposite JPMorgan Municipal and Goldman Sachs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if JPMorgan Municipal position performs unexpectedly, Goldman Sachs 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 Goldman Sachs will offset losses from the drop in Goldman Sachs' long position.| JPMorgan Municipal vs. JPMorgan Ultra Short Municipal | JPMorgan Municipal vs. JPMorgan USD Emerging | JPMorgan Municipal vs. iShares Short Maturity | JPMorgan Municipal vs. IQ MacKay Municipal |
| Goldman Sachs vs. Xtrackers California Municipal | Goldman Sachs vs. IQ MacKay Municipal | Goldman Sachs vs. IQ MacKay Municipal | Goldman Sachs vs. ALPS Intermediate Municipal |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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