Correlation Between SPDR SP and JPMorgan Value
Can any of the company-specific risk be diversified away by investing in both SPDR SP 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 SPDR SP and JPMorgan Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SP Dividend and JPMorgan Value Factor, you can compare the effects of market volatilities on SPDR SP 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 SPDR SP with a short position of JPMorgan Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and JPMorgan Value.
Diversification Opportunities for SPDR SP and JPMorgan Value
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and JPMorgan is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP Dividend and JPMorgan Value Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Value Factor and SPDR SP 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 SPDR SP Dividend 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 Factor has no effect on the direction of SPDR SP i.e., SPDR SP and JPMorgan Value go up and down completely randomly.
Pair Corralation between SPDR SP and JPMorgan Value
Considering the 90-day investment horizon SPDR SP Dividend is expected to generate 0.95 times more return on investment than JPMorgan Value. However, SPDR SP Dividend is 1.05 times less risky than JPMorgan Value. It trades about -0.09 of its potential returns per unit of risk. JPMorgan Value Factor is currently generating about -0.26 per unit of risk. If you would invest 12,891 in SPDR SP Dividend on January 20, 2024 and sell it today you would lose (212.00) from holding SPDR SP Dividend or give up 1.64% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 95.65% |
Values | Daily Returns |
SPDR SP Dividend vs. JPMorgan Value Factor
Performance |
Timeline |
SPDR SP Dividend |
JPMorgan Value Factor |
SPDR SP and JPMorgan Value Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with SPDR SP and JPMorgan Value
The main advantage of trading using opposite SPDR SP and JPMorgan Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP 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.SPDR SP vs. WisdomTree SmallCap Earnings | SPDR SP vs. WisdomTree Earnings 500 | SPDR SP vs. NXG NextGen Infrastructure | SPDR SP vs. WisdomTree SmallCap Dividend |
JPMorgan Value vs. JPMorgan Quality Factor | JPMorgan Value vs. JPMorgan Momentum Factor | JPMorgan Value vs. JPMorgan Diversified Return | JPMorgan Value vs. JPMorgan Diversified Return |
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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
Other Complementary Tools
Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
Portfolio Dashboard Portfolio dashboard that provides centralized access to all your investments | |
Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets | |
Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
Portfolio Suggestion Get suggestions outside of your existing asset allocation including your own model portfolios | |
Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
Earnings Calls Check upcoming earnings announcements updated hourly across public exchanges | |
Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. |