Correlation Between JPM America and Algebris UCITS

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Can any of the company-specific risk be diversified away by investing in both JPM America and Algebris UCITS 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 JPM America and Algebris UCITS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between JPM America Equity and Algebris UCITS Funds, you can compare the effects of market volatilities on JPM America and Algebris UCITS 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 JPM America with a short position of Algebris UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of JPM America and Algebris UCITS.

Diversification Opportunities for JPM America and Algebris UCITS

0.29
  Correlation Coefficient

Modest diversification

The 3 months correlation between JPM and Algebris is 0.29. Overlapping area represents the amount of risk that can be diversified away by holding JPM America Equity and Algebris UCITS Funds in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Algebris UCITS Funds and JPM America 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 JPM America Equity are associated (or correlated) with Algebris UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Algebris UCITS Funds has no effect on the direction of JPM America i.e., JPM America and Algebris UCITS go up and down completely randomly.

Pair Corralation between JPM America and Algebris UCITS

Assuming the 90 days trading horizon JPM America Equity is expected to under-perform the Algebris UCITS. In addition to that, JPM America is 7.32 times more volatile than Algebris UCITS Funds. It trades about -0.12 of its total potential returns per unit of risk. Algebris UCITS Funds is currently generating about 0.36 per unit of volatility. If you would invest  15,001  in Algebris UCITS Funds on November 28, 2024 and sell it today you would earn a total of  128.00  from holding Algebris UCITS Funds or generate 0.85% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

JPM America Equity  vs.  Algebris UCITS Funds

 Performance 
       Timeline  
JPM America Equity 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days JPM America Equity has generated negative risk-adjusted returns adding no value to fund investors. In spite of rather sound technical and fundamental indicators, JPM America is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.
Algebris UCITS Funds 

Risk-Adjusted Performance

Solid

 
Weak
 
Strong
Compared to the overall equity markets, risk-adjusted returns on investments in Algebris UCITS Funds are ranked lower than 19 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong basic indicators, Algebris UCITS is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

JPM America and Algebris UCITS Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with JPM America and Algebris UCITS

The main advantage of trading using opposite JPM America and Algebris UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if JPM America position performs unexpectedly, Algebris UCITS 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 Algebris UCITS will offset losses from the drop in Algebris UCITS's long position.
The idea behind JPM America Equity and Algebris UCITS Funds pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.

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