Jpmorgan International Value Fund Market Value
| JPVRX Fund | USD 14.25 0.18 1.25% |
| Symbol | Jpmorgan |
Jpmorgan International '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 International'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 International.
| 04/27/2022 |
| 04/16/2024 |
If you would invest 0.00 in Jpmorgan International on April 27, 2022 and sell it all today you would earn a total of 0.00 from holding Jpmorgan International Value or generate 0.0% return on investment in Jpmorgan International over 720 days. Jpmorgan International is related to or competes with Jpmorgan Smartretirement, Jpmorgan Smartretirement, Jpmorgan Smartretirement, Jpmorgan Smartretirement, Jpmorgan Smartretirement, Jpmorgan Smartretirement, and Jpmorgan Smartretirement. Under normal circumstances, the fund will invest at least 80 percent of the value of its assets in securities of issuers... More
Jpmorgan International 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 International'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 International Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7381 | |||
| Information Ratio | 0.0702 | |||
| Maximum Drawdown | 2.34 | |||
| Value At Risk | (1.10) | |||
| Potential Upside | 1.01 |
Jpmorgan International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Jpmorgan International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Jpmorgan International's standard deviation. In reality, there are many statistical measures that can use Jpmorgan International historical prices to predict the future Jpmorgan International's volatility.| Risk Adjusted Performance | 0.1086 | |||
| Jensen Alpha | 0.09 | |||
| Total Risk Alpha | 0.0443 | |||
| Sortino Ratio | 0.0577 | |||
| Treynor Ratio | 0.9593 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Jpmorgan International'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 International Backtested Returns
We consider Jpmorgan International very steady. Jpmorgan International holds Efficiency (Sharpe) Ratio of 0.25, which attests that the entity had a 0.25% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Jpmorgan International, which you can use to evaluate the volatility of the entity. Please check out Jpmorgan International's Market Risk Adjusted Performance of 0.9693, risk adjusted performance of 0.1086, and Downside Deviation of 0.7381 to validate if the risk estimate we provide is consistent with the expected return of 0.15%. The fund retains a Market Volatility (i.e., Beta) of 0.0993, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Jpmorgan International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Jpmorgan International is expected to be smaller as well.
Auto-correlation | 0.66 |
Good predictability
Jpmorgan International Value has good predictability. Overlapping area represents the amount of predictability between Jpmorgan International time series from 27th of April 2022 to 22nd of April 2023 and 22nd of April 2023 to 16th 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 International price movement. The serial correlation of 0.66 indicates that around 66.0% of current Jpmorgan International price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.57 | |
| Residual Average | 0.0 | |
| Price Variance | 0.5 |
Jpmorgan International lagged returns against current returns
Autocorrelation, which is Jpmorgan International 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 International's mutual fund expected returns. We can calculate the autocorrelation of Jpmorgan International returns to help us make a trade decision. For example, suppose you find that Jpmorgan International 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 International 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 International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Jpmorgan International 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 International mutual fund over time.
Current vs Lagged Prices |
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Jpmorgan International Lagged Returns
When evaluating Jpmorgan International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Jpmorgan International mutual fund have on its future price. Jpmorgan International 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 International autocorrelation shows the relationship between Jpmorgan International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Jpmorgan International Value.
Regressed Prices |
| Timeline |
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Jpmorgan International 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.