Correlation Between William Penn and JPMorgan Chase

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

By analyzing existing cross correlation between William Penn Bancorp and JPMorgan Chase Co, you can compare the effects of market volatilities on William Penn and JPMorgan Chase 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 William Penn with a short position of JPMorgan Chase. Check out your portfolio center. Please also check ongoing floating volatility patterns of William Penn and JPMorgan Chase.

Diversification Opportunities for William Penn and JPMorgan Chase

0.86

Correlation Coefficient

William Penn  JPMorgan Chase

Very poor diversification

The 3 months correlation between William and JPMorgan is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding William Penn Bancorp and JPMorgan Chase Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Chase and William Penn 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 William Penn Bancorp are associated (or correlated) with JPMorgan Chase. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Chase has no effect on the direction of William Penn i.e., William Penn and JPMorgan Chase go up and down completely randomly.

Pair Corralation between William Penn and JPMorgan Chase

Given the investment horizon of 90 days William Penn is expected to generate 1.21 times less return on investment than JPMorgan Chase. But when comparing it to its historical volatility, William Penn Bancorp is 1.58 times less risky than JPMorgan Chase. It trades about 0.15 of its potential returns per unit of risk. JPMorgan Chase Co is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  21,896  in JPMorgan Chase Co on September 3, 2024 and sell it today you would earn a total of  3,076  from holding JPMorgan Chase Co or generate 14.05% return on investment over 90 days.

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

William Penn Bancorp  vs.  JPMorgan Chase Co

William Penn Bancorp

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in William Penn Bancorp are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating basic indicators, William Penn may actually be approaching a critical reversion point that can send shares even higher in January 2025.

JPMorgan Chase

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Chase Co are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of very fragile basic indicators, JPMorgan Chase displayed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with William Penn and JPMorgan Chase

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

The idea behind William Penn Bancorp and JPMorgan Chase Co 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 Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.