Jpmorgan Small Pany Fund Market Value
| JTUAX Fund | USD 15.98 1.03 8.43% |
| Symbol | Jpmorgan |
Jpmorgan Small '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 Small'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 Small.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Jpmorgan Small on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Jpmorgan Small Pany or generate 0.0% return on investment in Jpmorgan Small over 30 days. Jpmorgan Small is related to or competes with Bbh Intermediate, Artisan High, The Hartford, Blrc Sgy, T Rowe, Versatile Bond, and Ultra-short Term. The investment seeks to provide high total return from a portfolio of small company stocks More
Jpmorgan Small 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 Small'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 Small Pany upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.37 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 5.27 | |||
| Value At Risk | (1.92) | |||
| Potential Upside | 1.95 |
Jpmorgan Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Jpmorgan Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Jpmorgan Small's standard deviation. In reality, there are many statistical measures that can use Jpmorgan Small historical prices to predict the future Jpmorgan Small's volatility.| Risk Adjusted Performance | 0.0446 | |||
| Jensen Alpha | 0.0653 | |||
| Total Risk Alpha | (0.10) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 1.31 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Jpmorgan Small'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 Small Pany Backtested Returns
We consider Jpmorgan Small very steady. Jpmorgan Small Pany holds Efficiency (Sharpe) Ratio of 0.0634, which attests that the entity had a 0.0634% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Jpmorgan Small Pany, which you can use to evaluate the volatility of the entity. Please check out Jpmorgan Small's Downside Deviation of 1.37, risk adjusted performance of 0.0446, and Market Risk Adjusted Performance of 1.32 to validate if the risk estimate we provide is consistent with the expected return of 0.0798%. The fund retains a Market Volatility (i.e., Beta) of 0.0533, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Jpmorgan Small's returns are expected to increase less than the market. However, during the bear market, the loss of holding Jpmorgan Small is expected to be smaller as well.
Auto-correlation | 0.29 |
Poor predictability
Jpmorgan Small Pany has poor predictability. Overlapping area represents the amount of predictability between Jpmorgan Small time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Small Pany price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current Jpmorgan Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.29 | |
| Spearman Rank Test | 0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 0.14 |
Jpmorgan Small Pany lagged returns against current returns
Autocorrelation, which is Jpmorgan Small 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 Small's mutual fund expected returns. We can calculate the autocorrelation of Jpmorgan Small returns to help us make a trade decision. For example, suppose you find that Jpmorgan Small 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 Small 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 Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Jpmorgan Small 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 Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Jpmorgan Small Lagged Returns
When evaluating Jpmorgan Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Jpmorgan Small mutual fund have on its future price. Jpmorgan Small 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 Small autocorrelation shows the relationship between Jpmorgan Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Jpmorgan Small Pany.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectCheck out Jpmorgan Small Correlation, Jpmorgan Small Volatility and Jpmorgan Small Alpha and Beta module to complement your research on Jpmorgan Small. Note that the Jpmorgan Small Pany information on this page should be used as a complementary analysis to other Jpmorgan Small's statistical models used 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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
Jpmorgan Small 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.