Correlation Between JPMorgan Fundamental and Vanguard Multifactor

Can any of the company-specific risk be diversified away by investing in both JPMorgan Fundamental and Vanguard Multifactor 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 Fundamental and Vanguard Multifactor into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between JPMorgan Fundamental Data and Vanguard Multifactor, you can compare the effects of market volatilities on JPMorgan Fundamental and Vanguard Multifactor 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 Fundamental with a short position of Vanguard Multifactor. Check out your portfolio center. Please also check ongoing floating volatility patterns of JPMorgan Fundamental and Vanguard Multifactor.

Diversification Opportunities for JPMorgan Fundamental and Vanguard Multifactor

0.96

Correlation Coefficient

JPMorgan Fundamental  Vanguard Multifactor

Almost no diversification

The 3 months correlation between JPMorgan and Vanguard is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Fundamental Data and Vanguard Multifactor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Multifactor and JPMorgan Fundamental 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 Fundamental Data are associated (or correlated) with Vanguard Multifactor. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Multifactor has no effect on the direction of JPMorgan Fundamental i.e., JPMorgan Fundamental and Vanguard Multifactor go up and down completely randomly.

Pair Corralation between JPMorgan Fundamental and Vanguard Multifactor

Given the investment horizon of 90 days JPMorgan Fundamental Data is expected to under-perform the Vanguard Multifactor. But the etf apears to be less risky and, when comparing its historical volatility, JPMorgan Fundamental Data is 13.7 times less risky than Vanguard Multifactor. The etf trades about -0.22 of its potential returns per unit of risk. The Vanguard Multifactor is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest  13,657  in Vanguard Multifactor on September 15, 2024 and sell it today you would lose (4.00) from holding Vanguard Multifactor or give up 0.03% of portfolio value over 90 days.

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

JPMorgan Fundamental Data  vs.  Vanguard Multifactor

JPMorgan Fundamental Data

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Fundamental Data are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively fragile fundamental indicators, JPMorgan Fundamental may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Vanguard Multifactor

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Multifactor are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite nearly weak primary indicators, Vanguard Multifactor may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with JPMorgan Fundamental and Vanguard Multifactor

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

The idea behind JPMorgan Fundamental Data and Vanguard Multifactor 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.