Jpmorgan Mutual Fund Volatility

JVAPX -  USA Fund  

USD 36.93  0.11  0.30%

Jpmorgan Value Advantage holds Efficiency (Sharpe) Ratio of -0.061, which attests that the entity had -0.061% of return per unit of risk over the last 3 months. Macroaxis standpoint towards determining the risk of any fund is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Jpmorgan Value Advantage 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 risk adjusted performance of (0.12), and Market Risk Adjusted Performance of (0.13) to validate the risk estimate we provide.
  
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Jpmorgan Value 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 Value volatility.

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Almost mirrors the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Jpmorgan Value can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Jpmorgan Value at lower prices. For example, an investor can purchase Jpmorgan stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Jpmorgan Value's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving together with Jpmorgan Value

0.96VIVAXVanguard Index TrustPairCorr
0.96VIVIXVanguard Index TrustPairCorr
0.96VVIAXVanguard Value IndexPairCorr
0.95VIMAXVanguard Mid-Cap IndexPairCorr
0.95VMCPXVanguard Mid-Cap IndexPairCorr
0.95DODGXDodge Cox StockPairCorr
0.94VTSMXVanguard Index TrustPairCorr

Jpmorgan Value Market Sensitivity And Downside Risk

Jpmorgan Value's beta coefficient measures the volatility of Jpmorgan mutual fund compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Jpmorgan mutual fund's returns against your selected market. In other words, Jpmorgan Value's beta of 0.92 provides an investor with an approximation of how much risk Jpmorgan Value mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Jpmorgan's beta means in this case. Jpmorgan Value returns are very sensitive to returns on the market. As the market goes up or down, Jpmorgan Value is expected to follow.
3 Months Beta |Analyze Jpmorgan Value Advantage Demand Trend
Check current 90 days Jpmorgan Value correlation with market (DOW)

Jpmorgan Beta

    
  0.92  
Jpmorgan standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  1.31  
It is essential to understand the difference between upside risk (as represented by Jpmorgan Value's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Jpmorgan Value stock's daily returns or price. Since the actual investment returns on holding a position in Jpmorgan Value stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Jpmorgan Value.

Jpmorgan Value Advantage Mutual Fund Volatility Analysis

Volatility refers to the frequency at which Jpmorgan Value stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Jpmorgan Value's price changes. Investors will then calculate the volatility of Jpmorgan Value's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock 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 Value's volatility:

Historical Volatility

This type of stock volatility measures Jpmorgan Value's fluctuations based on previous trends. It's commonly used to predict Jpmorgan Value's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Jpmorgan Value's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Jpmorgan Value Advantage high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Jpmorgan Value closing price as input.
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Jpmorgan Value Projected Return Density Against Market

Assuming the 90 days horizon Jpmorgan Value has a beta of 0.9172 . This indicates Jpmorgan Value Advantage market returns are sensitive to returns on the market. As the market goes up or down, Jpmorgan Value 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 Value 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 Value stock's price will be affected by overall stock 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 stock'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.
The company has an alpha of 0.03, implying that it can generate a 0.03 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Jpmorgan Value's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Jpmorgan Value stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock 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 Value Mutual Fund Risk Measures

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 Value 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 Value stock's price will be affected by overall stock 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 stock'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.
Assuming the 90 days horizon the coefficient of variation of Jpmorgan Value is -1639.9. The daily returns are distributed with a variance of 1.72 and standard deviation of 1.31. The mean deviation of Jpmorgan Value Advantage is currently at 0.95. For similar time horizon, the selected benchmark (DOW) has volatility of 1.35
α
Alpha over DOW
0.03
β
Beta against DOW0.92
σ
Overall volatility
1.31
Ir
Information ratio 0.0337

Jpmorgan Value Mutual Fund Return Volatility

Jpmorgan Value historical daily return volatility represents how much Jpmorgan Value stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund shows 1.3103% volatility of returns over 90 . By contrast, DOW inherits 1.3304% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Jpmorgan Value Volatility

Volatility is a rate at which the price of Jpmorgan Value 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 Value may increase or decrease. In other words, similar to Jpmorgan's beta indicator, it measures the risk of Jpmorgan Value and helps estimate the fluctuations that may happen in a short period of time. So if prices of Jpmorgan Value 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.
The investment seeks to provide long-term total return from a combination of income and capital gains. Jpmorgan Value is traded on NASDAQ Exchange in the United States.

Jpmorgan Value Investment Opportunity

DOW has a standard deviation of returns of 1.33 and is 1.02 times more volatile than Jpmorgan Value Advantage. 11  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 is lower than 11 () of all global equities and portfolios over the last 90 days. Use Jpmorgan Value Advantage to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend and little activity. Check odds of Jpmorgan Value to be traded at $36.56 in 90 days. . Let's try to break down what Jpmorgan's beta means in this case. Jpmorgan Value returns are very sensitive to returns on the market. As the market goes up or down, Jpmorgan Value is expected to follow.

Almost no diversification

The correlation between Jpmorgan Value Advantage and DJI is Almost no diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jpmorgan Value Advantage and DJI in the same portfolio, assuming nothing else is changed.

Jpmorgan Value Additional Risk Indicators

The analysis of Jpmorgan Value'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 Value's investment and either accepting that risk or mitigating it. Along with some common measures of Jpmorgan Value stock 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(0.12)
Market Risk Adjusted Performance(0.13)
Mean Deviation0.9594
Coefficient Of Variation(1,133)
Standard Deviation1.3
Variance1.7
Information Ratio0.0337
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Jpmorgan Value 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.
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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 Value 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 Value'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 Value'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 Value Advantage.
Please see Risk vs Return Analysis. Note that the Jpmorgan Value Advantage information on this page should be used as a complementary analysis to other Jpmorgan Value'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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.

Complementary Tools for Jpmorgan Mutual Fund analysis

When running Jpmorgan Value Advantage price analysis, check to measure Jpmorgan Value's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Jpmorgan Value is operating at the current time. Most of Jpmorgan Value's value examination focuses on studying past and present price action to predict the probability of Jpmorgan Value's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Jpmorgan Value's price. Additionally, you may evaluate how the addition of Jpmorgan Value to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between Jpmorgan Value's value and its price as these two are different measures arrived at by different means. Investors typically determine Jpmorgan Value value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Jpmorgan Value's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.