Correlation Between Jpmorgan Mortgage and Muzinich Low

Can any of the company-specific risk be diversified away by investing in both Jpmorgan Mortgage and Muzinich Low 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 Jpmorgan Mortgage and Muzinich Low into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Jpmorgan Mortgage Backed Securities and Muzinich Low Duration, you can compare the effects of market volatilities on Jpmorgan Mortgage and Muzinich Low 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 Jpmorgan Mortgage with a short position of Muzinich Low. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jpmorgan Mortgage and Muzinich Low.

Diversification Opportunities for Jpmorgan Mortgage and Muzinich Low

0.3

Correlation Coefficient

Jpmorgan Mortgage  Muzinich Low

Weak diversification

The 3 months correlation between Jpmorgan and Muzinich is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Jpmorgan Mortgage Backed Secur and Muzinich Low Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Muzinich Low Duration and Jpmorgan Mortgage 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 Jpmorgan Mortgage Backed Securities are associated (or correlated) with Muzinich Low. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Muzinich Low Duration has no effect on the direction of Jpmorgan Mortgage i.e., Jpmorgan Mortgage and Muzinich Low go up and down completely randomly.

Pair Corralation between Jpmorgan Mortgage and Muzinich Low

Assuming the 90 days horizon Jpmorgan Mortgage Backed Securities is expected to generate 4.23 times more return on investment than Muzinich Low. However, Jpmorgan Mortgage is 4.23 times more volatile than Muzinich Low Duration. It trades about 0.1 of its potential returns per unit of risk. Muzinich Low Duration is currently generating about 0.33 per unit of risk. If you would invest  959.00  in Jpmorgan Mortgage Backed Securities on February 17, 2024 and sell it today you would earn a total of  43.00  from holding Jpmorgan Mortgage Backed Securities or generate 4.48% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Jpmorgan Mortgage Backed Secur  vs.  Muzinich Low Duration

Jpmorgan Mortgage

Risk-Adjusted Performance

4 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Jpmorgan Mortgage Backed Securities are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Jpmorgan Mortgage is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Muzinich Low Duration

Risk-Adjusted Performance

21 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Muzinich Low Duration are ranked lower than 21 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Muzinich Low is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Jpmorgan Mortgage and Muzinich Low

The main advantage of trading using opposite Jpmorgan Mortgage and Muzinich Low positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jpmorgan Mortgage position performs unexpectedly, Muzinich Low 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 Muzinich Low will offset losses from the drop in Muzinich Low's long position.

The idea behind Jpmorgan Mortgage Backed Securities and Muzinich Low Duration 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.

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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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.