Correlation Between IShares TIPS and JPMorgan Inflation
Can any of the company-specific risk be diversified away by investing in both IShares TIPS and JPMorgan Inflation 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 IShares TIPS and JPMorgan Inflation into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares TIPS Bond and JPMorgan Inflation Managed, you can compare the effects of market volatilities on IShares TIPS and JPMorgan Inflation 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 IShares TIPS with a short position of JPMorgan Inflation. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares TIPS and JPMorgan Inflation.
Diversification Opportunities for IShares TIPS and JPMorgan Inflation
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and JPMorgan is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding iShares TIPS Bond and JPMorgan Inflation Managed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Inflation and IShares TIPS 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 iShares TIPS Bond are associated (or correlated) with JPMorgan Inflation. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Inflation has no effect on the direction of IShares TIPS i.e., IShares TIPS and JPMorgan Inflation go up and down completely randomly.
Pair Corralation between IShares TIPS and JPMorgan Inflation
Considering the 90-day investment horizon IShares TIPS is expected to generate 1.43 times less return on investment than JPMorgan Inflation. In addition to that, IShares TIPS is 1.31 times more volatile than JPMorgan Inflation Managed. It trades about 0.06 of its total potential returns per unit of risk. JPMorgan Inflation Managed is currently generating about 0.11 per unit of volatility. If you would invest 4,414 in JPMorgan Inflation Managed on August 27, 2024 and sell it today you would earn a total of 287.00 from holding JPMorgan Inflation Managed or generate 6.5% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares TIPS Bond vs. JPMorgan Inflation Managed
Performance |
| Timeline |
| iShares TIPS Bond |
| JPMorgan Inflation |
IShares TIPS and JPMorgan Inflation Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares TIPS and JPMorgan Inflation
The main advantage of trading using opposite IShares TIPS and JPMorgan Inflation positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares TIPS position performs unexpectedly, JPMorgan Inflation 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 Inflation will offset losses from the drop in JPMorgan Inflation's long position.| IShares TIPS vs. PIMCO 1 5 Year | IShares TIPS vs. SPDR Bloomberg 1 10 | IShares TIPS vs. FlexShares iBoxx 3 Year |
| JPMorgan Inflation vs. Dimensional ETF Trust | JPMorgan Inflation vs. JPMorgan Short Duration | JPMorgan Inflation vs. Goldman Sachs Access | JPMorgan Inflation vs. SPDR Bloomberg 1 10 |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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