Correlation Between Jpmorgan Diversified and Limited Duration

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

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

Diversification Opportunities for Jpmorgan Diversified and Limited Duration

0.12

Correlation Coefficient

Jpmorgan Diversified  Limited Duration

Average diversification

The 3 months correlation between Jpmorgan and Limited is 0.12. Overlapping area represents the amount of risk that can be diversified away by holding Jpmorgan Diversified Fund and Limited Duration Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Limited Duration and Jpmorgan Diversified 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 Diversified Fund are associated (or correlated) with Limited Duration. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Limited Duration has no effect on the direction of Jpmorgan Diversified i.e., Jpmorgan Diversified and Limited Duration go up and down completely randomly.

Pair Corralation between Jpmorgan Diversified and Limited Duration

Assuming the 90 days horizon Jpmorgan Diversified Fund is expected to generate 3.72 times more return on investment than Limited Duration. However, Jpmorgan Diversified is 3.72 times more volatile than Limited Duration Fund. It trades about 0.09 of its potential returns per unit of risk. Limited Duration Fund is currently generating about 0.16 per unit of risk. If you would invest  1,372  in Jpmorgan Diversified Fund on September 12, 2024 and sell it today you would earn a total of  273.00  from holding Jpmorgan Diversified Fund or generate 19.9% return on investment over 90 days.

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

Jpmorgan Diversified Fund  vs.  Limited Duration Fund

Jpmorgan Diversified

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Jpmorgan Diversified Fund are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Jpmorgan Diversified is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Limited Duration

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Limited Duration Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Limited Duration 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 Diversified and Limited Duration

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

The idea behind Jpmorgan Diversified Fund and Limited Duration Fund 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.