Jpmorgan Correlations

JUECX Fund

USD 25.57 0.12 0.47%

The current 90-days correlation between Jpmorgan Equity and Goldman Sachs High is -0.29 (i.e., Very good diversification). The correlation of Jpmorgan is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Jpmorgan Correlation With Market

Very poor diversification

The correlation between Jpmorgan Equity Fund and DJI is 0.84 (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 DJI in the same portfolio, assuming nothing else is changed.

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 closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with Jpmorgan Mutual Fund

0.83	SRJIX	Jpmorgan Smartretirement	Pair Corr
0.82	SRJQX	Jpmorgan Smartretirement	Pair Corr
0.82	SRJPX	Jpmorgan Smartretirement	Pair Corr
0.82	SRJSX	Jpmorgan Smartretirement	Pair Corr
0.83	SRJYX	Jpmorgan Smartretirement	Pair Corr
0.81	SRJZX	Jpmorgan Smartretirement	Pair Corr
0.8	SRJCX	Jpmorgan Smartretirement	Pair Corr
0.81	SRJAX	Jpmorgan Smartretirement	Pair Corr
0.99	JPGSX	Jpmorgan Intrepid Growth	Pair Corr
0.97	JPIVX	Jpmorgan Intrepid Value	Pair Corr
0.74	JPSRX	Jpmorgan Smartretirement*	Pair Corr
0.63	JRBEX	Jpmorgan Smartretirement*	Pair Corr
0.86	JSBPX	Jpmorgan Trust Iv	Pair Corr
0.88	JSOAX	Jpmorgan Strategic Income	Pair Corr
0.87	JSOCX	Jpmorgan Strategic Income	Pair Corr
0.87	JSORX	Jpmorgan Strategic Income	Pair Corr
0.87	JSOSX	Jpmorgan Strategic Income	Pair Corr
0.87	JSOZX	Jpmorgan Strategic Income	Pair Corr
0.91	JTSQX	Jp Morgan Smartretirement	Pair Corr
1.0	JUESX	Jpmorgan Equity	Pair Corr
1.0	JUEMX	Jpmorgan Equity	Pair Corr
0.88	JUSMX	Jpmorgan Small Pany	Pair Corr
0.95	JDEUX	Jpmorgan Disciplined	Pair Corr
0.93	VSNGX	Jpmorgan Mid Cap	Pair Corr
0.92	JVAAX	Jpmorgan Value Advantage	Pair Corr
0.92	JVACX	Jpmorgan Value Advantage	Pair Corr
0.92	JVAIX	Jpmorgan Value Advantage	Pair Corr
0.92	JVARX	Jpmorgan Value Advantage	Pair Corr
0.92	JVASX	Jpmorgan Value Advantage	Pair Corr
0.92	JVAYX	Jpmorgan Value Advantage	Pair Corr
0.85	OHYAX	Jpmorgan High Yield	Pair Corr
0.96	OIERX	Jpmorgan Equity Income	Pair Corr
0.96	OINCX	Jpmorgan Equity Income	Pair Corr

Moving against Jpmorgan Mutual Fund

0.76	JCBUX	Jpmorgan E Bond	Pair Corr
0.73	JCPUX	Jpmorgan E Plus	Pair Corr
0.52	STMCX	Jpmorgan Short-intermedia	Pair Corr
0.48	JIESX	Jpmorgan International	Pair Corr
0.32	IUENX	Jpmorgan International	Pair Corr

Related Correlations Analysis

	GFRCX	JQLAX	PARCX	CDCRX	VWALX	CYBAX	PHDTX
GFRCX		0.69	0.57	0.77	-0.14	0.73	0.84	GFRCX
JQLAX	0.69		0.88	0.89	-0.06	0.63	0.85	JQLAX
PARCX	0.57	0.88		0.91	0.12	0.64	0.84	PARCX
CDCRX	0.77	0.89	0.91		-0.13	0.61	0.85	CDCRX
VWALX	-0.14	-0.06	0.12	-0.13		0.4	0.12	VWALX
CYBAX	0.73	0.63	0.64	0.61	0.4		0.83	CYBAX
PHDTX	0.84	0.85	0.84	0.85	0.12	0.83		PHDTX
	GFRCX	JQLAX	PARCX	CDCRX	VWALX	CYBAX	PHDTX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

CDCRX	+ 0.91	PARCX
CDCRX	+ 0.89	JQLAX
PARCX	+ 0.88	JQLAX
PHDTX	+ 0.85	JQLAX
PHDTX	+ 0.85	CDCRX
PHDTX	+ 0.84	GFRCX

High negative correlations

VWALX	- 0.14	GFRCX
VWALX	- 0.13	CDCRX
VWALX	- 0.06	JQLAX

Risk-Adjusted Indicators

There is a big difference between Jpmorgan Mutual Fund performing well and Jpmorgan Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Jpmorgan's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
GFRCX	0.07	0.02	(0.80)	(0.89)	0.00	(0.23)	0.12	(0.11)	0.80
JQLAX	0.53	0.05	(0.10)	(20.78)	0.67	(0.56)	1.07	(0.93)	3.11
PARCX	0.34	(0.03)	(0.18)	0.05	0.44	(0.35)	0.66	(0.76)	2.10
CDCRX	0.57	(0.03)	(0.06)	0.08	0.69	(0.58)	1.07	(1.12)	3.61
VWALX	0.16	0.00	(0.27)	0.08	0.25	(0.22)	0.37	(0.37)	1.68
CYBAX	0.10	0.01	(0.87)	(2.35)	0.00	(0.13)	0.24	(0.16)	0.73
PHDTX	0.09	0.01	(0.64)	0.35	0.00	(0.15)	0.23	(0.11)	0.56

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