Correlation Between IShares MSCI and JPMorgan Ultra

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Can any of the company-specific risk be diversified away by investing in both IShares MSCI and JPMorgan Ultra 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 IShares MSCI and JPMorgan Ultra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between IShares MSCI Global and JPMorgan Ultra Short Municipal, you can compare the effects of market volatilities on IShares MSCI and JPMorgan Ultra 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 IShares MSCI with a short position of JPMorgan Ultra. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and JPMorgan Ultra.

Diversification Opportunities for IShares MSCI and JPMorgan Ultra

-0.08
  Correlation Coefficient

Good diversification

The 3 months correlation between IShares and JPMorgan is -0.08. Overlapping area represents the amount of risk that can be diversified away by holding IShares MSCI Global and JPMorgan Ultra-Short Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Ultra-Short and IShares MSCI 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 IShares MSCI Global are associated (or correlated) with JPMorgan Ultra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Ultra-Short has no effect on the direction of IShares MSCI i.e., IShares MSCI and JPMorgan Ultra go up and down completely randomly.

Pair Corralation between IShares MSCI and JPMorgan Ultra

Considering the 90-day investment horizon IShares MSCI Global is expected to generate 9.96 times more return on investment than JPMorgan Ultra. However, IShares MSCI is 9.96 times more volatile than JPMorgan Ultra Short Municipal. It trades about 0.19 of its potential returns per unit of risk. JPMorgan Ultra Short Municipal is currently generating about -0.07 per unit of risk. If you would invest  7,634  in IShares MSCI Global on December 30, 2023 and sell it today you would earn a total of  237.00  from holding IShares MSCI Global or generate 3.1% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

IShares MSCI Global  vs.  JPMorgan Ultra-Short Municipal

 Performance 
       Timeline  
IShares MSCI Global 

Risk-Adjusted Performance

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Very Weak
Over the last 90 days IShares MSCI Global has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable fundamental indicators, IShares MSCI is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.
JPMorgan Ultra-Short 

Risk-Adjusted Performance

10 of 100

 
Low
 
High
OK
Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Ultra Short Municipal are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, JPMorgan Ultra is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

IShares MSCI and JPMorgan Ultra Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with IShares MSCI and JPMorgan Ultra

The main advantage of trading using opposite IShares MSCI and JPMorgan Ultra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, JPMorgan Ultra 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 Ultra will offset losses from the drop in JPMorgan Ultra's long position.
The idea behind IShares MSCI Global and JPMorgan Ultra Short Municipal 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.

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