Jpmorgan Mutual Fund Volatility

VSSBX -  USA Fund  

USD 65.43  0.61  0.92%

Jpmorgan Small Cap holds Efficiency (Sharpe) Ratio of -0.0653, which attests that the entity had -0.0653% 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 Small Cap 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 Small market risk adjusted performance of (0.13), and Risk Adjusted Performance of (0.030035) to validate the risk estimate we provide.

Search Volatility 

 
Refresh
Jpmorgan Small 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 Small volatility.

30 Days Market Risk

Very steady

Chance of Distress

Below Average

30 Days Economic Sensitivity

Follows the market closely

Jpmorgan Small Market Sensitivity And Downside Risk

Jpmorgan Small'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 Small's beta of 0.51 provides an investor with an approximation of how much risk Jpmorgan Small 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, Jpmorgan Small returns are expected to increase less than the market. However, during the bear market, the loss on holding Jpmorgan Small will be expected to be smaller as well.
3 Months Beta |Analyze Jpmorgan Small Cap Demand Trend
Check current 90 days Jpmorgan Small correlation with market (DOW)

Jpmorgan Beta

    
  0.51  
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

    
  1.28  
It is essential to understand the difference between upside risk (as represented by Jpmorgan Small's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Jpmorgan Small stock's daily returns or price. Since the actual investment returns on holding a position in Jpmorgan Small 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 Small.

Jpmorgan Small Cap 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 Small Cap 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. View also all equity analysis or get more info about average price price transform indicator.

Jpmorgan Small Projected Return Density Against Market

Assuming the 90 days horizon Jpmorgan Small has a beta of 0.5119 . This entails as returns on the market go up, Jpmorgan Small average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Jpmorgan Small Cap will be expected to be much smaller as well.
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 Small 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 Small 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 Small Cap is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Jpmorgan Small 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 Small 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 Small 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 Small is -1531.96. The daily returns are distributed with a variance of 1.64 and standard deviation of 1.28. The mean deviation of Jpmorgan Small Cap is currently at 0.97. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
-0.09
β
Beta against DOW0.51
σ
Overall volatility
1.28
Ir
Information ratio -0.08

Jpmorgan Small Mutual Fund Return Volatility

Jpmorgan Small historical daily return volatility represents how much Jpmorgan Small 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 1.2807% volatility of returns over 90 . By contrast, DOW inherits 0.7163% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Jpmorgan Small Volatility

Volatility is a rate at which the price of Jpmorgan Small 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 Small may increase or decrease. In other words, similar to Jpmorgan's beta indicator, it measures the risk of Jpmorgan Small and helps estimate the fluctuations that may happen in a short period of time. So if prices of Jpmorgan Small 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 small cap companies meeting the advisers sustainability criteria. Assets means net assets, plus the amount of borrowings for investment purposes. Jpmorgan Small is traded on NASDAQ Exchange in the United States.

Jpmorgan Small Investment Opportunity

Jpmorgan Small Cap has a volatility of 1.28 and is 1.78 times more volatile than DOW. 10  of all equities and portfolios are less risky than Jpmorgan Small. Compared to the overall equity markets, volatility of historical daily returns of Jpmorgan Small Cap is lower than 10 () of all global equities and portfolios over the last 90 days. Use Jpmorgan Small Cap to protect your portfolios against small market fluctuations. The mutual fund experiences a moderate downward daily trend and can be a good diversifier. Check odds of Jpmorgan Small to be traded at $64.12 in 90 days. . Let's try to break down what Jpmorgan's beta means in this case. As returns on the market increase, Jpmorgan Small returns are expected to increase less than the market. However, during the bear market, the loss on holding Jpmorgan Small will be expected to be smaller as well.

Modest diversification

The correlation between Jpmorgan Small Cap and DJI is Modest diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jpmorgan Small Cap and DJI in the same portfolio assuming nothing else is changed.

Jpmorgan Small Additional Risk Indicators

The analysis of Jpmorgan Small'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 Small's investment and either accepting that risk or mitigating it. Along with some common measures of Jpmorgan Small 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(0.030035)
Market Risk Adjusted Performance(0.13)
Mean Deviation0.9459
Coefficient Of Variation(2,012)
Standard Deviation1.24
Variance1.55
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 Small 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.
Microsoft Corp vs. Jpmorgan Small
Regeneron Pharmaceuticals vs. Jpmorgan Small
Jumia Technologies vs. Jpmorgan Small
Coinbase Global vs. Jpmorgan Small
Chargepoint Hldgs vs. Jpmorgan Small
Plug Power vs. Jpmorgan Small
Meta Materials vs. Jpmorgan Small
Visa vs. Jpmorgan Small
Apple vs. Jpmorgan Small
Ford vs. Jpmorgan Small
Vmware vs. Jpmorgan Small
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 Small 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 Small'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 Small'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 Small Cap.
Also, please take a look at World Market Map. Note that the Jpmorgan Small Cap information on this page should be used as a complementary analysis to other Jpmorgan Small'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 Commodity Channel Index module to use Commodity Channel Index to analyze current equity momentum.

Complementary Tools for Jpmorgan Mutual Fund analysis

When running Jpmorgan Small Cap price analysis, check to measure Jpmorgan Small'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 Small is operating at the current time. Most of Jpmorgan Small's value examination focuses on studying past and present price action to predict the probability of Jpmorgan Small's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Jpmorgan Small's price. Additionally, you may evaluate how the addition of Jpmorgan Small to your portfolios can decrease your overall portfolio volatility.
Fund Screener
Find activelly-traded funds from around the world traded on over 30 global exchanges
Go
Alpha Finder
Use alpha and beta coefficients to find investment opportunities after accounting for the risk
Go
Portfolio Suggestion
Get suggestions outside of your existing asset allocation including your own model portfolios
Go
Price Transformation
Use Price Transformation models to analyze depth of different equity instruments across global markets
Go
Price Ceiling Movement
Calculate and plot Price Ceiling Movement for different equity instruments
Go
Companies Directory
Evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals
Go
Piotroski F Score
Get Piotroski F Score based on binary analysis strategy of nine different fundamentals
Go
Please note, there is a significant difference between Jpmorgan Small's value and its price as these two are different measures arrived at by different means. Investors typically determine Jpmorgan Small value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Jpmorgan Small'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.