Jpmorgan Value Correlations

JVASX Fund

USD 38.23 0.14 0.36%

The current 90-days correlation between Jpmorgan Value Advantage and Jpmorgan Growth Advantage is 0.61 (i.e., Poor diversification). The correlation of Jpmorgan Value 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 Value Correlation With Market

Poor diversification

The correlation between Jpmorgan Value Advantage and DJI is 0.78 (i.e., Poor 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.

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

Moving together with Jpmorgan Mutual Fund

0.91	SRJIX	Jpmorgan Smartretirement	Pair Corr
0.91	SRJQX	Jpmorgan Smartretirement	Pair Corr
0.91	SRJPX	Jpmorgan Smartretirement	Pair Corr
0.91	SRJSX	Jpmorgan Smartretirement	Pair Corr
0.91	SRJYX	Jpmorgan Smartretirement	Pair Corr
0.92	SRJZX	Jpmorgan Smartretirement	Pair Corr
0.92	SRJCX	Jpmorgan Smartretirement	Pair Corr
0.79	SRJAX	Jpmorgan Smartretirement	Pair Corr
0.91	JPDVX	Jpmorgan Diversified	Pair Corr
0.86	JSMYX	Jpmorgan Smartretirement	Pair Corr
0.75	JSTKX	Jpmorgan Smartretirement*	Pair Corr
0.93	JTSQX	Jp Morgan Smartretirement	Pair Corr
0.76	JTTQX	Jpmorgan Smartretirement	Pair Corr
0.93	JTSIX	Jpmorgan Smartretirement	Pair Corr
1.0	JVARX	Jpmorgan Value Advantage	Pair Corr
0.96	OIEPX	Jpmorgan Equity Income	Pair Corr
0.93	JLVZX	Jpmorgan Large Cap	Pair Corr
0.87	GAOCX	Jpmorgan Global Allo	Pair Corr
0.91	JNTEX	Jpmorgan Smartretirement*	Pair Corr
0.91	JNYAX	Jpmorgan Smartretirement*	Pair Corr
0.96	VVIAX	Vanguard Value Index	Pair Corr
0.8	DOXGX	Dodge Cox Stock	Pair Corr
0.89	AFMFX	American Mutual	Pair Corr
0.89	FFMMX	American Funds American	Pair Corr
0.89	FFFMX	American Funds American	Pair Corr
0.89	AMRMX	American Mutual	Pair Corr
0.75	AMFFX	American Mutual	Pair Corr
0.9	AMFCX	American Mutual	Pair Corr
0.88	DODGX	Dodge Stock Fund	Pair Corr
0.96	VIVAX	Vanguard Value Index	Pair Corr

Related Correlations Analysis

	JGASX	JUESX	WOBDX	ACGMX	HLIEX
JGASX		0.99	-0.7	0.73	0.37	JGASX
JUESX	0.99		-0.62	0.79	0.46	JUESX
WOBDX	-0.7	-0.62		-0.13	0.31	WOBDX
ACGMX	0.73	0.79	-0.13		0.89	ACGMX
HLIEX	0.37	0.46	0.31	0.89		HLIEX
	JGASX	JUESX	WOBDX	ACGMX	HLIEX

Click cells to compare fundamentals

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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

JUESX	+ 0.99	JGASX
HLIEX	+ 0.89	ACGMX
ACGMX	+ 0.79	JUESX
ACGMX	+ 0.73	JGASX
HLIEX	+ 0.46	JUESX
HLIEX	+ 0.37	JGASX

High negative correlations

WOBDX	- 0.7	JGASX
WOBDX	- 0.62	JUESX
ACGMX	- 0.13	WOBDX

Risk-Adjusted Indicators

There is a big difference between Jpmorgan Mutual Fund performing well and Jpmorgan Value 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 Value'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
JGASX	1.15	(0.14)	0.00	(0.11)	0.00	0.00	2.03	(3.17)	6.38
JUESX	0.89	(0.09)	0.00	(0.09)	0.00	0.00	1.55	(1.91)	4.88
WOBDX	0.24	0.02	0.05	0.71	0.20	(0.28)	0.50	(0.39)	1.40
ACGMX	0.69	(0.02)	0.00	(0.02)	0.00	0.00	1.43	(1.68)	3.68
HLIEX	0.67	0.01	0.01	0.01	0.86	(0.71)	1.27	(1.54)	3.63

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