JPMorgan Fundamental Correlations

MCDS Etf

54.70 0.04 0.07%

The current 90-days correlation between JPMorgan Fundamental Data and Vanguard Mid Cap Index is -0.08 (i.e., Good diversification). The correlation of JPMorgan Fundamental is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

JPMorgan Fundamental Correlation With Market

Almost no diversification

The correlation between JPMorgan Fundamental Data and DJI is 0.96 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Fundamental Data and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with JPMorgan Etf

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in JPMorgan Fundamental Data. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

Moving together with JPMorgan Etf

0.92	VO	Vanguard Mid Cap	Pair Corr
0.99	VXF	Vanguard Extended Market	Pair Corr
1.0	IJH	iShares Core SP Sell-off Trend	Pair Corr
1.0	IWR	iShares Russell Mid	Pair Corr
1.0	MDY	SPDR SP MIDCAP	Pair Corr
0.99	FV	First Trust Dorsey	Pair Corr
1.0	IVOO	Vanguard SP Mid	Pair Corr
1.0	JHMM	John Hancock Multifactor	Pair Corr
1.0	BBMC	JPMorgan BetaBuilders Mid	Pair Corr
0.96	XMMO	Invesco SP MidCap	Pair Corr
0.89	USD	ProShares Ultra Semi	Pair Corr
0.9	FNGO	MicroSectors FANG Index	Pair Corr
0.79	GBTC	Grayscale Bitcoin Trust	Pair Corr
0.91	FNGG	Direxion Daily Select	Pair Corr
0.8	CRPT	First Trust SkyBridge	Pair Corr
0.77	BITO	ProShares Bitcoin	Pair Corr
0.95	BULZ	MicroSectors Solactive	Pair Corr
0.85	BITS	Global X Blockchain	Pair Corr
0.9	DFEN	Direxion Daily Aerospace	Pair Corr
0.85	FRNW	Fidelity Covington Trust	Pair Corr
0.92	FMIL	Fidelity New Millennium	Pair Corr
0.83	XAR	SPDR SP Aerospace	Pair Corr
0.89	XHYT	BondBloxx ETF Trust	Pair Corr
0.78	BRRR	Valkyrie Bitcoin	Pair Corr
0.75	BLLD	JPMorgan	Pair Corr
0.86	ARKQ	ARK Autonomous Technology	Pair Corr
0.89	SOXX	iShares Semiconductor ETF	Pair Corr
0.84	BTFD	Valkyrie Bitcoin Strategy	Pair Corr
0.78	OBND	SSGA Active Trust	Pair Corr
0.8	COPJ	Sprott Junior Copper	Pair Corr
0.88	EURL	Direxion Daily FTSE	Pair Corr
0.89	DJUL	FT Cboe Vest	Pair Corr
0.88	JIRE	JP Morgan Exchange	Pair Corr
0.89	SPHY	SPDR Portfolio High	Pair Corr
0.94	DVQQ	WEBs Defined Volatility	Pair Corr
0.77	NFXL	Direxion Daily NFLX	Pair Corr
0.77	CBTJ	Calamos Bitcoin 80	Pair Corr

Related Correlations Analysis

	MCDS	VO	MDYG	MDYV	MIDU	MIDE	EPMB	EPMV	NUMG
MCDS		0.92	0.99	0.96	0.94	1.0	0.01	-0.05	0.97	MCDS
VO	0.92		0.92	0.86	0.83	0.91	0.01	-0.06	0.92	VO
MDYG	0.99	0.92		0.93	0.9	0.98	-0.02	-0.09	0.99	MDYG
MDYV	0.96	0.86	0.93		0.99	0.98	0.11	0.06	0.88	MDYV
MIDU	0.94	0.83	0.9	0.99		0.96	0.1	0.05	0.86	MIDU
MIDE	1.0	0.91	0.98	0.98	0.96		0.03	-0.03	0.96	MIDE
EPMB	0.01	0.01	-0.02	0.11	0.1	0.03		0.99	-0.02	EPMB
EPMV	-0.05	-0.06	-0.09	0.06	0.05	-0.03	0.99		-0.09	EPMV
NUMG	0.97	0.92	0.99	0.88	0.86	0.96	-0.02	-0.09		NUMG
	MCDS	VO	MDYG	MDYV	MIDU	MIDE	EPMB	EPMV	NUMG

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

MIDE	+ 1.0	MCDS
MDYG	+ 0.99	MCDS
NUMG	+ 0.99	MDYG
MIDU	+ 0.99	MDYV
EPMV	+ 0.99	EPMB
MIDE	+ 0.98	MDYG

High negative correlations

NUMG	- 0.09	EPMV
EPMV	- 0.09	MDYG
EPMV	- 0.06	VO
EPMV	- 0.05	MCDS
EPMV	- 0.03	MIDE
NUMG	- 0.02	EPMB

JPMorgan Fundamental Constituents Risk-Adjusted Indicators

There is a big difference between JPMorgan Etf performing well and JPMorgan Fundamental ETF 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 Fundamental'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
MCDS	1.12	0.03	0.02	0.06	1.72	(1.19)	2.09	(2.35)	11.71
VO	1.05	0.08	0.03	(0.88)	1.64	(1.10)	1.89	(2.30)	10.82
MDYG	1.26	0.06	0.04	0.08	1.78	(1.45)	2.69	(2.75)	13.69
MDYV	1.19	(0.01)	(0.01)	0.01	1.88	(1.25)	2.24	(2.88)	12.72
MIDU	3.76	0.06	0.02	0.04	5.73	(4.16)	7.36	(8.10)	45.56
MIDE	1.22	0.02	0.01	0.04	1.82	(1.40)	2.38	(2.62)	13.34
EPMB	0.73	0.12	0.10	0.72	0.70	(0.79)	2.22	(1.51)	5.69
EPMV	0.72	0.14	0.13	0.89	0.66	(0.85)	2.21	(1.34)	5.74
NUMG	1.29	0.10	0.05	0.11	2.03	(1.23)	2.64	(2.94)	14.31

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