Jpmorgan Equity Fund Volatility
| JMUEX Fund | USD 22.83 0.04 0.17% |
We consider Jpmorgan very steady. Jpmorgan Equity holds Efficiency (Sharpe) Ratio of 0.1, which attests that the entity had a 0.1% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Jpmorgan Equity, which you can use to evaluate the volatility of the entity. Please check out Jpmorgan's Downside Deviation of 0.7487, market risk adjusted performance of 0.094, and Risk Adjusted Performance of 0.0787 to validate if the risk estimate we provide is consistent with the expected return of 0.079%. Key indicators related to Jpmorgan's volatility include:
90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Jpmorgan Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Jpmorgan daily returns, and it is calculated using variance and standard deviation. We also use Jpmorgan's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Jpmorgan volatility.
Jpmorgan |
Jpmorgan Equity Mutual Fund Volatility Analysis
Volatility refers to the frequency at which Jpmorgan fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Jpmorgan's price changes. Investors will then calculate the volatility of Jpmorgan's mutual fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A mutual fund with relatively stable price changes has low volatility. A highly volatile fund is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Jpmorgan's volatility:
Historical Volatility
This type of fund volatility measures Jpmorgan's fluctuations based on previous trends. It's commonly used to predict Jpmorgan's future behavior based on its past. However, it cannot conclusively determine the future direction of the mutual fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Jpmorgan's current market price. This means that the fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Jpmorgan's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Jpmorgan Equity Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Jpmorgan Projected Return Density Against Market
Assuming the 90 days horizon the mutual fund has the beta coefficient of 1.005 . This indicates Jpmorgan Equity Fund market returns are sensitive to returns on the market. As the market goes up or down, Jpmorgan is expected to follow.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Jpmorgan or JPMorgan sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Jpmorgan's price will be affected by overall mutual fund market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Jpmorgan fund's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Jpmorgan Equity Fund has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the NYSE Composite. Predicted Return Density |
| Returns |
What Drives a Jpmorgan Price Volatility?
Several factors can influence a fund's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Jpmorgan Mutual Fund Risk Measures
Assuming the 90 days horizon the coefficient of variation of Jpmorgan is 998.29. The daily returns are distributed with a variance of 0.62 and standard deviation of 0.79. The mean deviation of Jpmorgan Equity Fund is currently at 0.62. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.62
α | Alpha over NYSE Composite | -0.0013 | |
β | Beta against NYSE Composite | 1.00 | |
σ | Overall volatility | 0.79 | |
Ir | Information ratio | -0.0012 |
Jpmorgan Mutual Fund Return Volatility
Jpmorgan historical daily return volatility represents how much of Jpmorgan fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 0.7889% volatility of returns over 90 . By contrast, NYSE Composite accepts 0.6372% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Jpmorgan Volatility
Volatility is a rate at which the price of Jpmorgan or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Jpmorgan may increase or decrease. In other words, similar to Jpmorgan's beta indicator, it measures the risk of Jpmorgan and helps estimate the fluctuations that may happen in a short period of time. So if prices of Jpmorgan fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.Under normal circumstances, the fund invests at least 80 percent of its assets in equity securities of U.S. companies. Assets means net assets, plus the amount of borrowings for investment purposes. In implementing its strategy, the fund primarily invests in common stocks of large- and medium-capitalization U.S. companies but it may also invest up to 20 percent of its assets in common stocks of foreign companies, including depositary receipts.
Jpmorgan's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Jpmorgan Mutual Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Jpmorgan's price varies over time.
3 ways to utilize Jpmorgan's volatility to invest better
Higher Jpmorgan's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Jpmorgan Equity fund is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Jpmorgan Equity fund volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Jpmorgan Equity investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Jpmorgan's fund can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Jpmorgan's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Jpmorgan Investment Opportunity
Jpmorgan Equity Fund has a volatility of 0.79 and is 1.23 times more volatile than NYSE Composite. 6 percent of all equities and portfolios are less risky than Jpmorgan. You can use Jpmorgan Equity Fund to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend and little activity. Check odds of Jpmorgan to be traded at $22.6 in 90 days.Very poor diversification
The correlation between Jpmorgan Equity Fund and NYA is 0.82 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jpmorgan Equity Fund and NYA in the same portfolio, assuming nothing else is changed.
Jpmorgan Additional Risk Indicators
The analysis of Jpmorgan's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Jpmorgan's investment and either accepting that risk or mitigating it. Along with some common measures of Jpmorgan mutual fund's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.0787 | |||
| Market Risk Adjusted Performance | 0.094 | |||
| Mean Deviation | 0.5953 | |||
| Semi Deviation | 0.5904 | |||
| Downside Deviation | 0.7487 | |||
| Coefficient Of Variation | 811.4 | |||
| Standard Deviation | 0.766 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential mutual funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Jpmorgan Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Jpmorgan as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Jpmorgan's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Jpmorgan's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Jpmorgan Equity Fund.
Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Jpmorgan Equity Fund. Also, note that the market value of any mutual fund could be tightly coupled with the direction of predictive economic indicators such as signals in income. Note that the Jpmorgan Equity information on this page should be used as a complementary analysis to other Jpmorgan's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.