JPMorgan Value Backtesting

JVASX -- USA Fund  

USD 34.29  0.36  1.04%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of JPMorgan Value Advantage Fund I 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
SymbolX
Backtest

JPMorgan Value 'What if' Analysis

June 22, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
August 21, 2019
0.00
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 Fund I or generate 0.0% return on investment in JPMorgan Value over 60 days. JPMorgan Value is related to or competes with American Mutual, American Mutual, American Mutual, American Mutual, American Mutual, American Mutual, and American Mutual. The investment seeks to provide long-term total return from a combination of income and capital gains

JPMorgan Value Upside/Downside Indicators

Information Ratio(0.033265)
Maximum Drawdown5.66
Value At Risk(2.16)
Potential Upside1.45

JPMorgan Value Market Premium Indicators

Risk Adjusted Performance(0.07)
Jensen Alpha(0.11)
Total Risk Alpha(0.026717)
Treynor Ratio0.2815

JPMorgan Value Advan Backtested Returns

Macroaxis considers JPMorgan Value to be very steady. JPMorgan Value Advan holds Efficiency (Sharpe) Ratio of -0.0723 which attests that the entity had -0.0723% of return per unit of volatility over the last 2 months. Macroaxis approach towards determining risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. JPMorgan Value Advan exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out JPMorgan Value Market Risk Adjusted Performance of 0.2915 and Risk Adjusted Performance of (0.07) to validate risk estimate we provide. The fund retains Market Volatility (i.e. Beta) of -0.3156 which attests that as returns on market increase, returns on owning JPMorgan Value are expected to decrease at a much smaller rate. During bear market, JPMorgan Value is likely to outperform the market. Even though it is essential to pay attention to JPMorgan Value Advan current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis approach towards determining future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. JPMorgan Value Advan exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.51) 
correlation synergy

Good reverse predictability

JPMorgan Value Advantage Fund I has good reverse predictability. Overlapping area represents the amount of predictability between JPMorgan Value time series from June 22, 2019 to July 22, 2019 and July 22, 2019 to August 21, 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 -0.51 indicates that about 51.0% of current JPMorgan Value price fluctuation can be explain by its past prices. Given that JPMorgan Value Advantage Fund I 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-0.51
Spearman Rank Test-0.47
Residual Average0.0
Price Variance0.84

JPMorgan Value Advan lagged returns against current returns

 Current and Lagged Values 
      Timeline 

JPMorgan Value regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

JPMorgan Value Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - JVASX

JPMorgan Value Advan Investor Sentiment

Most of Macroaxis users are currently bullish on JPMorgan Value Advantage Fund I. What is your judgment towards investing in JPMorgan Value Advantage Fund I? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% 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 Instant Ratings module to determine any equity ratings based on digital recommendations. macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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