JPMorgan Chase Correlations

JPM-PM Preferred Stock

USD 17.91 0.04 0.22%

The current 90-days correlation between JPMorgan Chase and Citigroup is 0.37 (i.e., Weak 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

Weak diversification

The correlation between JPMorgan Chase Co and DJI is 0.34 (i.e., Weak 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.

The ability to find closely correlated positions to JPMorgan Chase could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace JPMorgan Chase when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back JPMorgan Chase - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling JPMorgan Chase Co to buy it.

Moving together with JPMorgan Preferred Stock

0.61	BML-PJ	Bank of America	Pair Corr
0.92	JPM-PK	JPMorgan Chase	Pair Corr
0.89	JPM-PJ	JPMorgan Chase	Pair Corr
0.92	JPM-PL	JPMorgan Chase	Pair Corr
0.71	JPM-PD	JPMorgan Chase	Pair Corr
0.69	BAC-PB	Bank of America	Pair Corr
0.8	BAC-PM	Bank of America	Pair Corr
0.89	BAC-PN	Bank of America	Pair Corr
0.89	BAC-PK	Bank of America	Pair Corr
0.82	BAC-PL	Bank of America	Pair Corr
0.9	BAC-PQ	Bank of America	Pair Corr
0.89	BAC-PO	Bank of America	Pair Corr
0.87	BAC-PP	Bank of America	Pair Corr
0.86	BAC-PS	Bank of America	Pair Corr

Related Correlations Analysis

	C	CM	RY	TD	BML-PG	BML-PH	BML-PJ	BML-PL	BAC	BCS
C		0.89	0.89	0.9	-0.28	-0.36	-0.17	-0.54	0.99	0.95	C
CM	0.89		0.99	0.96	-0.51	-0.59	-0.49	-0.74	0.88	0.94	CM
RY	0.89	0.99		0.96	-0.47	-0.54	-0.44	-0.69	0.89	0.96	RY
TD	0.9	0.96	0.96		-0.49	-0.59	-0.42	-0.73	0.88	0.92	TD
BML-PG	-0.28	-0.51	-0.47	-0.49		0.96	0.83	0.92	-0.26	-0.29	BML-PG
BML-PH	-0.36	-0.59	-0.54	-0.59	0.96		0.86	0.95	-0.33	-0.36	BML-PH
BML-PJ	-0.17	-0.49	-0.44	-0.42	0.83	0.86		0.84	-0.14	-0.22	BML-PJ
BML-PL	-0.54	-0.74	-0.69	-0.73	0.92	0.95	0.84		-0.51	-0.55	BML-PL
BAC	0.99	0.88	0.89	0.88	-0.26	-0.33	-0.14	-0.51		0.96	BAC
BCS	0.95	0.94	0.96	0.92	-0.29	-0.36	-0.22	-0.55	0.96		BCS
	C	CM	RY	TD	BML-PG	BML-PH	BML-PJ	BML-PL	BAC	BCS

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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

BAC	+ 0.99	C
RY	+ 0.99	CM
TD	+ 0.96	CM
TD	+ 0.96	RY
BCS	+ 0.96	RY
BML-PH	+ 0.96	BML-PG

High negative correlations

BML-PL	- 0.74	CM
BML-PL	- 0.73	TD
BML-PL	- 0.69	RY
BML-PH	- 0.59	TD
BML-PH	- 0.59	CM
BCS	- 0.55	BML-PL

Risk-Adjusted Indicators

There is a big difference between JPMorgan Preferred 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	1.63	0.18	0.06	0.19	2.88	(1.72)	3.26	(3.46)	13.87
CM	0.83	0.30	0.22	0.74	0.77	(0.96)	1.89	(1.36)	6.17
RY	0.90	0.16	0.10	0.35	1.13	(0.95)	1.87	(2.24)	8.28
TD	0.79	0.27	0.23	0.76	0.70	(0.94)	2.74	(1.11)	4.05
BML-PG	0.66	(0.11)	0.00	(0.29)	0.00	0.00	1.31	(2.25)	5.04
BML-PH	0.64	(0.17)	0.00	(0.49)	0.00	0.00	1.03	(1.81)	4.45
BML-PJ	0.53	(0.11)	0.00	(0.42)	0.00	0.00	1.05	(1.32)	3.77
BML-PL	0.57	(0.18)	0.00	(0.55)	0.00	0.00	0.94	(1.47)	3.87
BAC	1.41	0.11	0.04	0.16	2.75	(1.35)	3.59	(3.22)	12.23
BCS	1.67	0.16	0.06	0.19	2.62	(1.66)	3.08	(3.03)	13.04

Be your own money manager

Our tools can tell you how much better you can do entering a position in JPMorgan Chase without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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JPMorgan Chase Corporate Management

Jennifer Piepszak	CoChief Banking	Profile
Elena Korablina	Co MD	Profile
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