Correlation Between Jpmorgan International and Royce Special

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

By analyzing existing cross correlation between Jpmorgan International Value and Royce Special Equity, you can compare the effects of market volatilities on Jpmorgan International and Royce Special 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 International with a short position of Royce Special. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jpmorgan International and Royce Special.

Diversification Opportunities for Jpmorgan International and Royce Special

-0.49

Correlation Coefficient

Jpmorgan International  Royce Special

Very good diversification

The 3 months correlation between Jpmorgan and Royce is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding Jpmorgan International Value and Royce Special Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Royce Special Equity and Jpmorgan International 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 International Value are associated (or correlated) with Royce Special. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Royce Special Equity has no effect on the direction of Jpmorgan International i.e., Jpmorgan International and Royce Special go up and down completely randomly.

Pair Corralation between Jpmorgan International and Royce Special

Assuming the 90 days horizon Jpmorgan International Value is expected to under-perform the Royce Special. But the mutual fund apears to be less risky and, when comparing its historical volatility, Jpmorgan International Value is 1.41 times less risky than Royce Special. The mutual fund trades about -0.02 of its potential returns per unit of risk. The Royce Special Equity is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest  1,691  in Royce Special Equity on September 13, 2024 and sell it today you would earn a total of  149.00  from holding Royce Special Equity or generate 8.81% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	98.44%
Values	Daily Returns

Jpmorgan International Value  vs.  Royce Special Equity

Jpmorgan International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Jpmorgan International Value has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Jpmorgan International is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Royce Special Equity

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Royce Special Equity are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Royce Special may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Jpmorgan International and Royce Special

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

The idea behind Jpmorgan International Value and Royce Special Equity 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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.