Correlation Between US Treasury and JP Morgan
Can any of the company-specific risk be diversified away by investing in both US Treasury and JP Morgan 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 US Treasury and JP Morgan into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between US Treasury 12 and JP Morgan Exchange, you can compare the effects of market volatilities on US Treasury and JP Morgan 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 US Treasury with a short position of JP Morgan. Check out your portfolio center. Please also check ongoing floating volatility patterns of US Treasury and JP Morgan.
Diversification Opportunities for US Treasury and JP Morgan
-0.59 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between OBIL and BBLB is -0.59. Overlapping area represents the amount of risk that can be diversified away by holding US Treasury 12 and JP Morgan Exchange in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JP Morgan Exchange and US Treasury 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 US Treasury 12 are associated (or correlated) with JP Morgan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JP Morgan Exchange has no effect on the direction of US Treasury i.e., US Treasury and JP Morgan go up and down completely randomly.
Pair Corralation between US Treasury and JP Morgan
Given the investment horizon of 90 days US Treasury is expected to generate 3.57 times less return on investment than JP Morgan. But when comparing it to its historical volatility, US Treasury 12 is 35.23 times less risky than JP Morgan. It trades about 0.38 of its potential returns per unit of risk. JP Morgan Exchange is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 8,680 in JP Morgan Exchange on August 29, 2024 and sell it today you would earn a total of 70.00 from holding JP Morgan Exchange or generate 0.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
US Treasury 12 vs. JP Morgan Exchange
Performance |
| Timeline |
| US Treasury 12 |
| JP Morgan Exchange |
US Treasury and JP Morgan Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with US Treasury and JP Morgan
The main advantage of trading using opposite US Treasury and JP Morgan positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if US Treasury position performs unexpectedly, JP Morgan 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 JP Morgan will offset losses from the drop in JP Morgan's long position.| US Treasury vs. Rbb Fund | US Treasury vs. Rbb Fund | US Treasury vs. Rbb Fund | US Treasury vs. US Treasury 6 |
| JP Morgan vs. Global X Funds | JP Morgan vs. US Treasury 12 | JP Morgan vs. Tidal Trust II | JP Morgan vs. Franklin Liberty Treasury |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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