JPMorgan Value Backtesting

JVACX -- USA Fund  

USD 35.87  0.15  0.42%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of JPMorgan Value Advantage Class and determine expected loss or profit from investing in JPMorgan Value over given investment horizon. Please also check JPMorgan Value Hype Analysis, JPMorgan Value Correlation, Portfolio Optimization, JPMorgan Value Volatility as well as analyze JPMorgan Value Alpha and Beta and JPMorgan Value Performance.
Horizon     30 Days    Login   to change

JPMorgan Value 'What if' Analysis

June 22, 2019
No Change 0.00  0.0%
In 2 months and 31 days
September 20, 2019
If you would invest  0.00  in JPMorgan Value on June 22, 2019 and sell it all today you would earn a total of 0.00 from holding JPMorgan Value Advantage Class or generate 0.0% return on investment in JPMorgan Value over 90 days. JPMorgan Value is related to or competes with MFS Series, Vanguard Equity, Vanguard Equity, T Rowe, T Rowe, Invesco Diversified, and BlackRock. The investment seeks to provide long-term total return from a combination of income and capital gains

JPMorgan Value Upside/Downside Indicators

Downside Deviation1.12
Information Ratio(0.001666)
Maximum Drawdown4.77
Value At Risk(1.37)
Potential Upside1.15

JPMorgan Value Market Premium Indicators

Risk Adjusted Performance0.0374
Jensen Alpha(0.00008632)
Total Risk Alpha(0.002237)
Sortino Ratio(0.001364)
Treynor Ratio0.0295

JPMorgan Value Advan Backtested Returns

We consider JPMorgan Value very steady. JPMorgan Value Advan holds Efficiency (Sharpe) Ratio of 0.0303 which attests that the entity had 0.0303% of return per unit of volatility over the last 3 months. Our approach towards determining volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for JPMorgan Value Advan which you can use to evaluate future volatility of the entity. Please check out JPMorgan Value Market Risk Adjusted Performance of 0.0395 and Risk Adjusted Performance of 0.0374 to validate if risk estimate we provide are consistent with the epected return of 0.0285%. The fund retains Market Volatility (i.e. Beta) of 0.9513 which attests that JPMorgan Value returns are very sensitive to returns on the market. as market goes up or down, JPMorgan Value is expected to follow. Although it is extremely important to respect JPMorgan Value Advan current price history, it is better to be realistic regarding the information on equity current price movements. The approach towards determining future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing JPMorgan Value Advan technical indicators you can now evaluate if the expected return of 0.0285% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.36) 
correlation synergy

Poor reverse predictability

JPMorgan Value Advantage Class has poor reverse predictability. Overlapping area represents the amount of predictability between JPMorgan Value time series from June 22, 2019 to August 6, 2019 and August 6, 2019 to September 20, 2019. 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 Value Advan price movement. The serial correlation of -0.36 indicates that just about 36.0% of current JPMorgan Value price fluctuation can be explain by its past prices. Given that JPMorgan Value Advantage Class has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of JPMorgan Value for similar time interval.
Correlation Coefficient-0.36
Spearman Rank Test0.22
Residual Average0.0
Price Variance0.68

JPMorgan Value Advan lagged returns against current returns

 Current and Lagged Values 

JPMorgan Value regressed lagged prices vs. current prices

 Current vs Lagged Prices 

JPMorgan Value Lagged Returns

 Regressed Prices 

Current Sentiment - JVACX

JPMorgan Value Advan Investor Sentiment

Macroaxis portfolio users are indifferent in their judgment towards investing in JPMorgan Value Advantage Class. What is your judgment towards investing in JPMorgan Value Advantage Class? Are you bullish or bearish?
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Please also check JPMorgan Value Hype Analysis, JPMorgan Value Correlation, Portfolio Optimization, JPMorgan Value Volatility as well as analyze JPMorgan Value Alpha and Beta and JPMorgan Value Performance. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.