Jpmorgan Diversified Fund Market Value
| JPDVX Fund | USD 16.22 0.05 0.31% |
| Symbol | Jpmorgan |
Jpmorgan Diversified 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Jpmorgan Diversified's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Jpmorgan Diversified.
| 12/05/2022 |
| 11/24/2024 |
If you would invest 0.00 in Jpmorgan Diversified on December 5, 2022 and sell it all today you would earn a total of 0.00 from holding Jpmorgan Diversified Fund or generate 0.0% return on investment in Jpmorgan Diversified over 720 days. Jpmorgan Diversified is related to or competes with Clearbridge Value, Amg Managers, Clearbridge Appreciation, Brown Advisory, and Clearbridge Large. The funds adviser typically seeks to invest the funds assets among various types of asset classes based on the following... More
Jpmorgan Diversified Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Jpmorgan Diversified's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Jpmorgan Diversified Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5743 | |||
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 2.56 | |||
| Value At Risk | (0.80) | |||
| Potential Upside | 0.9352 |
Jpmorgan Diversified Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Jpmorgan Diversified's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Jpmorgan Diversified's standard deviation. In reality, there are many statistical measures that can use Jpmorgan Diversified historical prices to predict the future Jpmorgan Diversified's volatility.| Risk Adjusted Performance | 0.0409 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.17) | |||
| Treynor Ratio | 0.0393 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Jpmorgan Diversified's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Jpmorgan Diversified Backtested Returns
At this stage we consider Jpmorgan Mutual Fund to be very steady. Jpmorgan Diversified holds Efficiency (Sharpe) Ratio of 0.0391, which attests that the entity had a 0.0391% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Jpmorgan Diversified, which you can use to evaluate the volatility of the entity. Please check out Jpmorgan Diversified's Downside Deviation of 0.5743, market risk adjusted performance of 0.0493, and Risk Adjusted Performance of 0.0409 to validate if the risk estimate we provide is consistent with the expected return of 0.0204%. The fund retains a Market Volatility (i.e., Beta) of 0.55, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Jpmorgan Diversified's returns are expected to increase less than the market. However, during the bear market, the loss of holding Jpmorgan Diversified is expected to be smaller as well.
Auto-correlation | 0.26 |
Poor predictability
Jpmorgan Diversified Fund has poor predictability. Overlapping area represents the amount of predictability between Jpmorgan Diversified time series from 5th of December 2022 to 30th of November 2023 and 30th of November 2023 to 24th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Jpmorgan Diversified price movement. The serial correlation of 0.26 indicates that nearly 26.0% of current Jpmorgan Diversified price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.26 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 0.45 |
Jpmorgan Diversified lagged returns against current returns
Autocorrelation, which is Jpmorgan Diversified mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Jpmorgan Diversified's mutual fund expected returns. We can calculate the autocorrelation of Jpmorgan Diversified returns to help us make a trade decision. For example, suppose you find that Jpmorgan Diversified has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Jpmorgan Diversified regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Jpmorgan Diversified mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Jpmorgan Diversified mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Jpmorgan Diversified mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Jpmorgan Diversified Lagged Returns
When evaluating Jpmorgan Diversified's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Jpmorgan Diversified mutual fund have on its future price. Jpmorgan Diversified autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Jpmorgan Diversified autocorrelation shows the relationship between Jpmorgan Diversified mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Jpmorgan Diversified Fund.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Jpmorgan Mutual Fund
Jpmorgan Diversified financial ratios help investors to determine whether Jpmorgan Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Jpmorgan with respect to the benefits of owning Jpmorgan Diversified security.
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