Correlation Between Dimensional International and JPMorgan International
Can any of the company-specific risk be diversified away by investing in both Dimensional International and JPMorgan International 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 Dimensional International and JPMorgan International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dimensional International Value and JPMorgan International Value, you can compare the effects of market volatilities on Dimensional International and JPMorgan International 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 Dimensional International with a short position of JPMorgan International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional International and JPMorgan International.
Diversification Opportunities for Dimensional International and JPMorgan International
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Dimensional and JPMorgan is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional International Valu and JPMorgan International Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan International and Dimensional International 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 Dimensional International Value are associated (or correlated) with JPMorgan International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan International has no effect on the direction of Dimensional International i.e., Dimensional International and JPMorgan International go up and down completely randomly.
Pair Corralation between Dimensional International and JPMorgan International
Given the investment horizon of 90 days Dimensional International Value is expected to under-perform the JPMorgan International. But the etf apears to be less risky and, when comparing its historical volatility, Dimensional International Value is 1.22 times less risky than JPMorgan International. The etf trades about -0.03 of its potential returns per unit of risk. The JPMorgan International Value is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest 6,674 in JPMorgan International Value on March 27, 2025 and sell it today you would earn a total of 171.00 from holding JPMorgan International Value or generate 2.56% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 95.24% |
| Values | Daily Returns |
Dimensional International Valu vs. JPMorgan International Value
Performance |
| Timeline |
| Dimensional International |
| JPMorgan International |
Dimensional International and JPMorgan International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional International and JPMorgan International
The main advantage of trading using opposite Dimensional International and JPMorgan International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional International position performs unexpectedly, JPMorgan International 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 International will offset losses from the drop in JPMorgan International's long position.The idea behind Dimensional International Value and JPMorgan International Value 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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Check out your portfolio center.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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