Correlation Between Litman Gregory and JPMorgan Fundamental
Can any of the company-specific risk be diversified away by investing in both Litman Gregory and JPMorgan Fundamental 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 Litman Gregory and JPMorgan Fundamental into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Litman Gregory Funds and JPMorgan Fundamental Data, you can compare the effects of market volatilities on Litman Gregory and JPMorgan Fundamental 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 Litman Gregory with a short position of JPMorgan Fundamental. Check out your portfolio center. Please also check ongoing floating volatility patterns of Litman Gregory and JPMorgan Fundamental.
Diversification Opportunities for Litman Gregory and JPMorgan Fundamental
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Litman and JPMorgan is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Litman Gregory Funds and JPMorgan Fundamental Data in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Fundamental Data and Litman Gregory 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 Litman Gregory Funds are associated (or correlated) with JPMorgan Fundamental. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Fundamental Data has no effect on the direction of Litman Gregory i.e., Litman Gregory and JPMorgan Fundamental go up and down completely randomly.
Pair Corralation between Litman Gregory and JPMorgan Fundamental
Given the investment horizon of 90 days Litman Gregory is expected to generate 1.26 times less return on investment than JPMorgan Fundamental. In addition to that, Litman Gregory is 1.17 times more volatile than JPMorgan Fundamental Data. It trades about 0.16 of its total potential returns per unit of risk. JPMorgan Fundamental Data is currently generating about 0.24 per unit of volatility. If you would invest 5,322 in JPMorgan Fundamental Data on September 12, 2024 and sell it today you would earn a total of 540.00 from holding JPMorgan Fundamental Data or generate 10.15% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Litman Gregory Funds vs. JPMorgan Fundamental Data
Performance |
| Timeline |
| Litman Gregory Funds |
| JPMorgan Fundamental Data |
Litman Gregory and JPMorgan Fundamental Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Litman Gregory and JPMorgan Fundamental
The main advantage of trading using opposite Litman Gregory and JPMorgan Fundamental positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Litman Gregory position performs unexpectedly, JPMorgan Fundamental 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 Fundamental will offset losses from the drop in JPMorgan Fundamental's long position.| Litman Gregory vs. FT Vest Equity | Litman Gregory vs. Northern Lights | Litman Gregory vs. Dimensional International High | Litman Gregory vs. JPMorgan Fundamental Data |
| JPMorgan Fundamental vs. FT Vest Equity | JPMorgan Fundamental vs. Northern Lights | JPMorgan Fundamental vs. Dimensional International High | JPMorgan Fundamental vs. Matthews China Discovery |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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