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
Chance of Distress in 24 months
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 TrendCheck current 30 days JPMorgan Value correlation with market (DOW)|
β = 0.9513
JPMorgan Value Central Daily Price Deviation
JPMorgan Value Advan Technical Analysis
JPMorgan Value Projected Return Density Against MarketAssuming 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||=||0.0001|
|Beta against DOW||=||0.95|
JPMorgan Value Return Volatilitythe 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.
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
JPMorgan Value Current Risk Indicators
|Risk Adjusted Performance||0.0374|
|Market Risk Adjusted Performance||0.0395|
|Coefficient Of Variation||2408.27|
JPMorgan Value Suggested Diversification Pairs