Jpmorgan Small Pany Fund Market Value
| JUSPX Fund | USD 16.82 0.20 1.20% |
| Symbol | Jpmorgan |
Jpmorgan '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'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.
| 07/03/2022 |
| 04/23/2024 |
If you would invest 0.00 in Jpmorgan on July 3, 2022 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 over 660 days. Jpmorgan is related to or competes with Hsbc Funds. The investment seeks to provide high total return from a portfolio of small company stocks More
Jpmorgan 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'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 | 1.43 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 5.27 | |||
| Value At Risk | (1.89) | |||
| Potential Upside | 1.8 |
Jpmorgan Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Jpmorgan's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Jpmorgan's standard deviation. In reality, there are many statistical measures that can use Jpmorgan historical prices to predict the future Jpmorgan's volatility.| Risk Adjusted Performance | 0.0341 | |||
| Jensen Alpha | 0.0467 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 2.29 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Jpmorgan'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 very steady. Jpmorgan Small Pany holds Efficiency (Sharpe) Ratio of 0.0473, which attests that the entity had a 0.0473% 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's Risk Adjusted Performance of 0.0341, downside deviation of 1.43, and Market Risk Adjusted Performance of 2.3 to validate if the risk estimate we provide is consistent with the expected return of 0.0583%. The fund retains a Market Volatility (i.e., Beta) of 0.0211, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Jpmorgan's returns are expected to increase less than the market. However, during the bear market, the loss of holding Jpmorgan is expected to be smaller as well.
Auto-correlation | 0.11 |
Insignificant predictability
Jpmorgan Small Pany has insignificant predictability. Overlapping area represents the amount of predictability between Jpmorgan time series from 3rd of July 2022 to 29th of May 2023 and 29th of May 2023 to 23rd 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 0.11 indicates that less than 11.0% of current Jpmorgan price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.11 | |
| Spearman Rank Test | -0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 1.2 |
Jpmorgan Small Pany lagged returns against current returns
Autocorrelation, which is Jpmorgan 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's mutual fund expected returns. We can calculate the autocorrelation of Jpmorgan returns to help us make a trade decision. For example, suppose you find that Jpmorgan 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 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 mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Jpmorgan 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 mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Jpmorgan Lagged Returns
When evaluating Jpmorgan's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Jpmorgan mutual fund have on its future price. Jpmorgan 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 autocorrelation shows the relationship between Jpmorgan 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 |
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Jpmorgan 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.