Jpmorgan Value Advantage Fund Market Value
| JVACX Fund | USD 36.38 0.25 0.68% |
| Symbol | Jpmorgan |
Jpmorgan Value '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 Value'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 Value.
| 04/28/2022 |
| 04/17/2024 |
If you would invest 0.00 in Jpmorgan Value on April 28, 2022 and sell it all today you would earn a total of 0.00 from holding Jpmorgan Value Advantage or generate 0.0% return on investment in Jpmorgan Value over 720 days. Jpmorgan Value is related to or competes with Jpmorgan Growth, Jpmorgan Equity, John Hancock, Jpmorgan Mid, and Jpmorgan Income. The fund will invest primarily in equity securities across all market capitalizations More
Jpmorgan Value 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 Value'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 Value Advantage upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7353 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 3.2 | |||
| Value At Risk | (1.13) | |||
| Potential Upside | 1.02 |
Jpmorgan Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Jpmorgan Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Jpmorgan Value's standard deviation. In reality, there are many statistical measures that can use Jpmorgan Value historical prices to predict the future Jpmorgan Value's volatility.| Risk Adjusted Performance | 0.0561 | |||
| Jensen Alpha | 0.0022 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.0505 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Jpmorgan Value'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 Value Advantage Backtested Returns
We consider Jpmorgan Value very steady. Jpmorgan Value Advantage holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had a 0.12% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Jpmorgan Value Advantage, which you can use to evaluate the volatility of the entity. Please check out Jpmorgan Value's Market Risk Adjusted Performance of 0.0605, downside deviation of 0.7353, and Risk Adjusted Performance of 0.0561 to validate if the risk estimate we provide is consistent with the expected return of 0.0784%. The fund retains a Market Volatility (i.e., Beta) of 0.92, which attests to possible diversification benefits within a given portfolio. Jpmorgan Value returns are very sensitive to returns on the market. As the market goes up or down, Jpmorgan Value is expected to follow.
Auto-correlation | 0.11 |
Insignificant predictability
Jpmorgan Value Advantage has insignificant predictability. Overlapping area represents the amount of predictability between Jpmorgan Value time series from 28th of April 2022 to 23rd of April 2023 and 23rd of April 2023 to 17th 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 Value Advantage price movement. The serial correlation of 0.11 indicates that less than 11.0% of current Jpmorgan Value price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.11 | |
| Spearman Rank Test | 0.04 | |
| Residual Average | 0.0 | |
| Price Variance | 4.43 |
Jpmorgan Value Advantage lagged returns against current returns
Autocorrelation, which is Jpmorgan Value 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 Value's mutual fund expected returns. We can calculate the autocorrelation of Jpmorgan Value returns to help us make a trade decision. For example, suppose you find that Jpmorgan Value 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 Value 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 Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Jpmorgan Value 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 Value mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Jpmorgan Value Lagged Returns
When evaluating Jpmorgan Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Jpmorgan Value mutual fund have on its future price. Jpmorgan Value 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 Value autocorrelation shows the relationship between Jpmorgan Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Jpmorgan Value Advantage.
Regressed Prices |
| Timeline |
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Jpmorgan Value 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.