Jpmorgan Hedged Equity Fund Market Value
| JHQPX Fund | USD 29.09 0.13 0.44% |
| Symbol | Jpmorgan |
Jpmorgan Hedged 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Jpmorgan Hedged's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Jpmorgan Hedged.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Jpmorgan Hedged on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Jpmorgan Hedged Equity or generate 0.0% return on investment in Jpmorgan Hedged over 30 days. Jpmorgan Hedged is related to or competes with Transamerica Multi, HUMANA, Barloworld, Thrivent High, Morningstar Unconstrained, High Yield, and Via Renewables. Under normal circumstances, the fund invests at least 80 percent of its assets in equity securities More
Jpmorgan Hedged Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Jpmorgan Hedged's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Jpmorgan Hedged Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4206 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 1.85 | |||
| Value At Risk | (0.78) | |||
| Potential Upside | 0.8116 |
Jpmorgan Hedged Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Jpmorgan Hedged's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Jpmorgan Hedged's standard deviation. In reality, there are many statistical measures that can use Jpmorgan Hedged historical prices to predict the future Jpmorgan Hedged's volatility.| Risk Adjusted Performance | 0.0601 | |||
| Jensen Alpha | 0.0102 | |||
| Total Risk Alpha | 0.0029 | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0666 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Jpmorgan Hedged's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Jpmorgan Hedged Equity Backtested Returns
We consider Jpmorgan Hedged very steady. Jpmorgan Hedged Equity holds Efficiency (Sharpe) Ratio of 0.0757, which attests that the entity had a 0.0757% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Jpmorgan Hedged Equity, which you can use to evaluate the volatility of the entity. Please check out Jpmorgan Hedged's Market Risk Adjusted Performance of 0.0766, downside deviation of 0.4206, and Risk Adjusted Performance of 0.0601 to validate if the risk estimate we provide is consistent with the expected return of 0.0294%. The fund retains a Market Volatility (i.e., Beta) of 0.48, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Jpmorgan Hedged's returns are expected to increase less than the market. However, during the bear market, the loss of holding Jpmorgan Hedged is expected to be smaller as well.
Auto-correlation | 0.74 |
Good predictability
Jpmorgan Hedged Equity has good predictability. Overlapping area represents the amount of predictability between Jpmorgan Hedged time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Jpmorgan Hedged Equity price movement. The serial correlation of 0.74 indicates that around 74.0% of current Jpmorgan Hedged price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.74 | |
| Spearman Rank Test | 0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Jpmorgan Hedged Equity lagged returns against current returns
Autocorrelation, which is Jpmorgan Hedged mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Jpmorgan Hedged's mutual fund expected returns. We can calculate the autocorrelation of Jpmorgan Hedged returns to help us make a trade decision. For example, suppose you find that Jpmorgan Hedged has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Jpmorgan Hedged regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Jpmorgan Hedged mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Jpmorgan Hedged mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Jpmorgan Hedged mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Jpmorgan Hedged Lagged Returns
When evaluating Jpmorgan Hedged's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Jpmorgan Hedged mutual fund have on its future price. Jpmorgan Hedged autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Jpmorgan Hedged autocorrelation shows the relationship between Jpmorgan Hedged mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Jpmorgan Hedged Equity.
Regressed Prices |
| Timeline |
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Jpmorgan Hedged technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.