JPMorgan Value Risk Analysis And Volatility

JVACX -- USA Fund  

USD 35.87  0.15  0.42%

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 Risk Adjusted Performance of 0.0374 and Market Risk Adjusted Performance of 0.0395 to validate if risk estimate we provide are consistent with the epected return of 0.0285%.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Almost mirrors market
Horizon     30 Days    Login   to change

JPMorgan Value Market Sensitivity

JPMorgan Value returns are very sensitive to returns on the market. As market goes up or down, JPMorgan Value is expected to follow.
3 Months Beta |Analyze JPMorgan Value Advan Demand Trend
Check current 30 days JPMorgan Value correlation with market (DOW)
β = 0.9513

JPMorgan Value Central Daily Price Deviation

JPMorgan Value Advan Technical Analysis

The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of JPMorgan Value Advan price series. View also all equity analysis or get more info about median price price transform indicator.

JPMorgan Value Projected Return Density Against Market

Assuming 30 trading days horizon, JPMorgan Value has beta of 0.9513 . This indicates JPMorgan Value Advantage Class market returns are sensitive to returns on the market. As the market goes up or down, JPMorgan Value is expected to follow. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. JPMorgan Value Advan is significantly underperforming DOW.
 Predicted Return Density 
Assuming 30 trading days horizon, the coefficient of variation of JPMorgan Value is 3303.35. The daily returns are destributed with a variance of 0.89 and standard deviation of 0.94. The mean deviation of JPMorgan Value Advantage Class is currently at 0.68. For similar time horizon, the selected benchmark (DOW) has volatility of 0.9
Alpha over DOW
Beta against DOW=0.95
Overall volatility
Information ratio =0.0017

JPMorgan Value Return Volatility

the fund shows 0.9417% volatility of returns over 30 trading days. the entity inherits 0.9173% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

JPMorgan Value Investment Opportunity

JPMorgan Value Advantage Class has a volatility of 0.94 and is 1.02 times more volatile than DOW. 8% of all equities and portfolios are less risky than JPMorgan Value. Compared to the overall equity markets, volatility of historical daily returns of JPMorgan Value Advantage Class is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use JPMorgan Value Advantage Class to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of JPMorgan Value to be traded at $37.66 in 30 days. . JPMorgan Value returns are very sensitive to returns on the market. As market goes up or down, JPMorgan Value is expected to follow.

JPMorgan Value correlation with market

correlation synergy
Almost no diversification
Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Value Advantage Class and equity matching DJI index in the same portfolio.

JPMorgan Value Current Risk Indicators

JPMorgan Value Suggested Diversification Pairs

Please also check Risk vs Return Analysis. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.