Jpmorgan Mutual Fund Volatility

JVAPX -  USA Fund  

USD 41.72  0.000001  0.00%

Jpmorgan Value Advantage holds Efficiency (Sharpe) Ratio of -0.0242, which attests that the entity had -0.0242% 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 market risk adjusted performance of 0.1433, and Risk Adjusted Performance of (0.025355) 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.

60 Days Market Risk

Very steady

Chance of Distress

60 Days Economic Sensitivity

Almost neglects market trends

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 -0.36 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. As returns on the market increase, returns on owning Jpmorgan Value are expected to decrease at a much lower rate. During the bear market, Jpmorgan Value is likely to outperform the market.
3 Months Beta |Analyze Jpmorgan Value Advantage Demand Trend
Check current 90 days Jpmorgan Value correlation with market (DOW)

Jpmorgan Beta

    
  -0.36  
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

    
  0.89  
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

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Jpmorgan Value Typical Price indicator is an average of each day price and can be used instead of closing price when creating different Jpmorgan Value Advantage moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

Jpmorgan Value Projected Return Density Against Market

Assuming the 90 days horizon Jpmorgan Value Advantage has a beta of -0.3639 . This indicates as returns on benchmark increase, returns on holding Jpmorgan Value are expected to decrease at a much lower rate. During the bear market, however, Jpmorgan Value Advantage is likely to outperform the market.
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 a negative alpha, implying that the risk taken by holding this instrument is not justified. Jpmorgan Value Advantage is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

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 -4136.96. The daily returns are distributed with a variance of 0.79 and standard deviation of 0.89. The mean deviation of Jpmorgan Value Advantage is currently at 0.64. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
-0.04
β
Beta against DOW-0.36
σ
Overall volatility
0.89
Ir
Information ratio -0.08

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 0.891% volatility of returns over 90 . By contrast, DOW inherits 0.7173% 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

Jpmorgan Value Advantage has a volatility of 0.89 and is 1.24 times more volatile than DOW. 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 7 () 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, but the immediate impact on correlations cannot be determined at the moment . Check odds of Jpmorgan Value to be traded at $41.3 in 90 days. . Let's try to break down what Jpmorgan's beta means in this case. As returns on the market increase, returns on owning Jpmorgan Value are expected to decrease at a much lower rate. During the bear market, Jpmorgan Value is likely to outperform the market.

Very good diversification

The correlation between Jpmorgan Value Advantage and DJI is Very good 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(0.025355)
Market Risk Adjusted Performance0.1433
Mean Deviation0.6967
Coefficient Of Variation(2,473)
Standard Deviation0.952
Variance0.9064
Information Ratio(0.08)
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 Price Transformation module to use Price Transformation models to analyze depth of different equity instruments across global markets.

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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.