Correlation Between Undiscovered Managers and Jpmorgan Value
Can any of the company-specific risk be diversified away by investing in both Undiscovered Managers and Jpmorgan Value 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 Undiscovered Managers and Jpmorgan Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Undiscovered Managers Behavioral and Jpmorgan Value Advantage, you can compare the effects of market volatilities on Undiscovered Managers and Jpmorgan Value 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 Undiscovered Managers with a short position of Jpmorgan Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Undiscovered Managers and Jpmorgan Value.
Diversification Opportunities for Undiscovered Managers and Jpmorgan Value
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Undiscovered and Jpmorgan is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Undiscovered Managers Behavior and Jpmorgan Value Advantage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jpmorgan Value Advantage and Undiscovered Managers 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 Undiscovered Managers Behavioral are associated (or correlated) with Jpmorgan Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jpmorgan Value Advantage has no effect on the direction of Undiscovered Managers i.e., Undiscovered Managers and Jpmorgan Value go up and down completely randomly.
Pair Corralation between Undiscovered Managers and Jpmorgan Value
Assuming the 90 days horizon Undiscovered Managers Behavioral is expected to generate 1.42 times more return on investment than Jpmorgan Value. However, Undiscovered Managers is 1.42 times more volatile than Jpmorgan Value Advantage. It trades about 0.03 of its potential returns per unit of risk. Jpmorgan Value Advantage is currently generating about 0.04 per unit of risk. If you would invest 7,922 in Undiscovered Managers Behavioral on September 2, 2024 and sell it today you would earn a total of 1,238 from holding Undiscovered Managers Behavioral or generate 15.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Undiscovered Managers Behavior vs. Jpmorgan Value Advantage
Performance |
| Timeline |
| Undiscovered Managers |
| Jpmorgan Value Advantage |
Undiscovered Managers and Jpmorgan Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Undiscovered Managers and Jpmorgan Value
The main advantage of trading using opposite Undiscovered Managers and Jpmorgan Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Undiscovered Managers position performs unexpectedly, Jpmorgan Value 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 Value will offset losses from the drop in Jpmorgan Value's long position.The idea behind Undiscovered Managers Behavioral and Jpmorgan Value Advantage 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.
| Jpmorgan Value vs. Jpmorgan Growth Advantage | Jpmorgan Value vs. Jpmorgan Equity Income | Jpmorgan Value vs. John Hancock Disciplined | Jpmorgan Value vs. Jpmorgan Mid Cap |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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