Correlation Between Vanguard Growth and JPMorgan Momentum
Can any of the company-specific risk be diversified away by investing in both Vanguard Growth and JPMorgan Momentum 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 Vanguard Growth and JPMorgan Momentum into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Growth Index and JPMorgan Momentum Factor, you can compare the effects of market volatilities on Vanguard Growth and JPMorgan Momentum 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 Vanguard Growth with a short position of JPMorgan Momentum. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Growth and JPMorgan Momentum.
Diversification Opportunities for Vanguard Growth and JPMorgan Momentum
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and JPMorgan is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Growth Index and JPMorgan Momentum Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Momentum Factor and Vanguard Growth 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 Vanguard Growth Index are associated (or correlated) with JPMorgan Momentum. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Momentum Factor has no effect on the direction of Vanguard Growth i.e., Vanguard Growth and JPMorgan Momentum go up and down completely randomly.
Pair Corralation between Vanguard Growth and JPMorgan Momentum
Considering the 90-day investment horizon Vanguard Growth is expected to generate 1.1 times less return on investment than JPMorgan Momentum. But when comparing it to its historical volatility, Vanguard Growth Index is 1.0 times less risky than JPMorgan Momentum. It trades about 0.35 of its potential returns per unit of risk. JPMorgan Momentum Factor is currently generating about 0.38 of returns per unit of risk over similar time horizon. If you would invest 5,709 in JPMorgan Momentum Factor on September 1, 2024 and sell it today you would earn a total of 432.00 from holding JPMorgan Momentum Factor or generate 7.57% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Growth Index vs. JPMorgan Momentum Factor
Performance |
| Timeline |
| Vanguard Growth Index |
| JPMorgan Momentum Factor |
Vanguard Growth and JPMorgan Momentum Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Growth and JPMorgan Momentum
The main advantage of trading using opposite Vanguard Growth and JPMorgan Momentum positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Growth position performs unexpectedly, JPMorgan Momentum 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 Momentum will offset losses from the drop in JPMorgan Momentum's long position.| Vanguard Growth vs. Vanguard Value Index | Vanguard Growth vs. Vanguard Information Technology | Vanguard Growth vs. Vanguard Small Cap Growth | Vanguard Growth vs. Vanguard Dividend Appreciation |
| JPMorgan Momentum vs. Vanguard Growth Index | JPMorgan Momentum vs. iShares Russell 1000 | JPMorgan Momentum vs. iShares SP 500 | JPMorgan Momentum vs. iShares Core SP |
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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