JPMorgan Chase Correlations

JPM Stock

USD 265.73 3.78 1.44%

The current 90-days correlation between JPMorgan Chase and Bank of America is 0.09 (i.e., Significant diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as JPMorgan Chase moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if JPMorgan Chase Co moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

JPMorgan Chase Correlation With Market

Very poor diversification

The correlation between JPMorgan Chase Co and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Chase Co and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with JPMorgan Stock

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in JPMorgan Chase Co. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in american community survey.

Moving together with JPMorgan Stock

0.91	C	Citigroup Aggressive Push	Pair Corr
0.86	CM	Canadian Imperial Bank	Pair Corr
0.91	RY	Royal Bank	Pair Corr
0.87	TD	Toronto Dominion Bank	Pair Corr
0.82	EWBC	East West Bancorp	Pair Corr
0.81	BAC	Bank of America	Pair Corr
0.93	BCS	Barclays PLC ADR	Pair Corr
0.9	BMO	Bank of Montreal	Pair Corr
0.89	BNS	Bank of Nova Scotia	Pair Corr
0.82	ING	ING Group NV	Pair Corr
0.64	JPM-PC	JPMorgan Chase	Pair Corr
0.93	NTB	Bank of NT	Pair Corr
0.9	NWG	Natwest Group PLC	Pair Corr
0.93	SAN	Banco Santander SA	Pair Corr
0.69	UBS	UBS Group AG Normal Trading	Pair Corr
0.89	WFC	Wells Fargo	Pair Corr
0.8	HSBC	HSBC Holdings PLC	Pair Corr
0.9	BBVA	Banco Bilbao Viscaya	Pair Corr

Moving against JPMorgan Stock

0.52	BAC-PM	Bank of America	Pair Corr
0.46	BAC-PN	Bank of America	Pair Corr
0.44	BML-PL	Bank of America	Pair Corr
0.42	JPM-PK	JPMorgan Chase	Pair Corr
0.39	JPM-PJ	JPMorgan Chase	Pair Corr
0.37	JPM-PL	JPMorgan Chase	Pair Corr
0.32	JPM-PM	JPMorgan Chase	Pair Corr
0.57	FG	FG Annuities Life Normal Trading	Pair Corr
0.47	BAC-PS	Bank of America	Pair Corr
0.46	BAC-PQ	Bank of America	Pair Corr
0.45	BAC-PP	Bank of America	Pair Corr
0.44	WFC-PZ	Wells Fargo	Pair Corr
0.43	BAC-PO	Bank of America	Pair Corr
0.42	BAC-PK	Bank of America	Pair Corr
0.39	WFC-PD	Wells Fargo	Pair Corr
0.38	WFC-PA	Wells Fargo	Pair Corr

Related Correlations Analysis

	C	WFC	TD	NU	BAC	HSBC	RY	CM	BMO	BNS
C		0.97	0.73	0.7	0.93	0.94	0.74	0.67	0.91	0.79	C
WFC	0.97		0.68	0.76	0.9	0.93	0.71	0.65	0.86	0.76	WFC
TD	0.73	0.68		0.7	0.65	0.65	0.96	0.95	0.88	0.97	TD
NU	0.7	0.76	0.7		0.57	0.63	0.76	0.76	0.67	0.75	NU
BAC	0.93	0.9	0.65	0.57		0.92	0.67	0.6	0.88	0.73	BAC
HSBC	0.94	0.93	0.65	0.63	0.92		0.65	0.56	0.85	0.71	HSBC
RY	0.74	0.71	0.96	0.76	0.67	0.65		0.98	0.87	0.97	RY
CM	0.67	0.65	0.95	0.76	0.6	0.56	0.98		0.83	0.96	CM
BMO	0.91	0.86	0.88	0.67	0.88	0.85	0.87	0.83		0.93	BMO
BNS	0.79	0.76	0.97	0.75	0.73	0.71	0.97	0.96	0.93		BNS
	C	WFC	TD	NU	BAC	HSBC	RY	CM	BMO	BNS

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Risk-Adjusted Indicators

There is a big difference between JPMorgan Stock performing well and JPMorgan Chase Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze JPMorgan Chase's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
C	1.71	0.15	0.05	0.10	3.09	(1.68)	3.26	(3.99)	14.99
WFC	1.60	0.08	0.03	0.06	2.58	(1.74)	3.35	(4.85)	12.61
TD	0.87	0.28	0.26	0.64	0.82	(1.01)	2.74	(1.83)	4.94
NU	2.26	0.21	0.06	0.17	3.13	(2.18)	4.48	(6.14)	15.79
BAC	1.50	0.09	0.03	0.68	2.98	(1.37)	3.59	(3.49)	14.13
HSBC	1.41	0.04	0.02	0.03	2.47	(1.34)	3.47	(3.58)	10.30
RY	1.02	0.17	0.11	0.27	1.33	(1.06)	2.39	(2.36)	8.28
CM	0.91	0.27	0.19	0.54	1.01	(0.95)	1.89	(1.91)	6.18
BMO	0.93	0.15	0.07	0.20	1.79	(0.83)	1.95	(2.06)	9.20
BNS	0.79	0.18	0.13	0.40	1.12	(0.83)	1.76	(1.28)	6.43

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