Jpmorgan Small Correlations

JSECX Fund

USD 21.26 0.18 0.84%

The correlation of Jpmorgan Small 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 Small Correlation With Market

Very weak diversification

The correlation between Jpmorgan Small Cap and DJI is 0.43 (i.e., Very weak 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.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Jpmorgan Small Cap. 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

0.61	OSGCX	Jpmorgan Small Cap	Pair Corr
0.76	OSGIX	Jpmorgan Mid Cap	Pair Corr
0.65	JPGSX	Jpmorgan Intrepid Growth	Pair Corr
0.92	JPIVX	Jpmorgan Intrepid Value	Pair Corr
0.89	OSVCX	Jpmorgan Small Cap	Pair Corr
0.74	JPPEX	Jpmorgan Mid Cap	Pair Corr

Moving against Jpmorgan Mutual Fund

0.32	OBDCX	Jpmorgan E Plus	Pair Corr
0.36	JPVRX	Jpmorgan International	Pair Corr
0.36	JPVZX	Jpmorgan International	Pair Corr

Related Correlations Analysis

	LEQCX	DIVHX	DFVEX	RUSTX	AUUIX	LOGRX	GMADX	MFIRX
LEQCX		0.8	0.94	0.95	0.64	0.86	-0.08	0.32	LEQCX
DIVHX	0.8		0.82	0.86	0.69	0.87	0.29	0.33	DIVHX
DFVEX	0.94	0.82		0.95	0.77	0.89	-0.07	0.18	DFVEX
RUSTX	0.95	0.86	0.95		0.7	0.86	-0.02	0.2	RUSTX
AUUIX	0.64	0.69	0.77	0.7		0.82	-0.05	-0.09	AUUIX
LOGRX	0.86	0.87	0.89	0.86	0.82		0.03	0.22	LOGRX
GMADX	-0.08	0.29	-0.07	-0.02	-0.05	0.03		0.52	GMADX
MFIRX	0.32	0.33	0.18	0.2	-0.09	0.22	0.52		MFIRX
	LEQCX	DIVHX	DFVEX	RUSTX	AUUIX	LOGRX	GMADX	MFIRX

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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

RUSTX	+ 0.95	LEQCX
RUSTX	+ 0.95	DFVEX
DFVEX	+ 0.94	LEQCX
LOGRX	+ 0.89	DFVEX
LOGRX	+ 0.87	DIVHX
LOGRX	+ 0.86	LEQCX

High negative correlations

MFIRX	- 0.09	AUUIX
GMADX	- 0.08	LEQCX
GMADX	- 0.07	DFVEX
GMADX	- 0.05	AUUIX
GMADX	- 0.02	RUSTX

Risk-Adjusted Indicators

There is a big difference between Jpmorgan Mutual Fund performing well and Jpmorgan Small 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 Small'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
LEQCX	0.37	0.11	0.07	5.72	0.00	(0.47)	0.95	(0.63)	2.38
DIVHX	0.46	0.06	(0.03)	0.56	0.29	(0.54)	1.08	(0.67)	2.83
DFVEX	0.57	0.03	0.06	0.12	0.40	(0.70)	1.41	(0.88)	5.26
RUSTX	0.49	0.13	0.07	2.31	0.45	(0.56)	0.90	(0.93)	4.17
AUUIX	0.54	(0.09)	0.00	(0.03)	0.00	0.00	1.01	(0.96)	10.08
LOGRX	0.46	0.02	(0.12)	0.36	0.40	(0.53)	0.86	(0.74)	3.02
GMADX	0.47	0.02	(0.10)	0.28	0.53	(0.51)	0.89	(0.97)	2.98
MFIRX	0.09	0.00	(0.41)	(0.03)	0.04	(0.22)	0.19	(0.19)	0.76

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