Jpmorgan Value Correlations

JVAYX Fund

USD 38.85 0.06 0.15%

The current 90-days correlation between Jpmorgan Value Advantage and Jpmorgan Growth Advantage is 0.65 (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

Weak diversification

The correlation between Jpmorgan Value Advantage and DJI is 0.35 (i.e., Weak 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 manufacturing.

Moving together with Jpmorgan Mutual Fund

0.82	SRJIX	Jpmorgan Smartretirement	Pair Corr
0.76	JPDVX	Jpmorgan Diversified	Pair Corr
0.86	JPGSX	Jpmorgan Intrepid Growth	Pair Corr
0.99	JPIVX	Jpmorgan Intrepid Value	Pair Corr
0.93	HLGEX	Jpmorgan Mid Cap	Pair Corr
0.88	JCICX	Jpmorgan Intrepid Growth	Pair Corr
1.0	HLQVX	Jpmorgan Large Cap	Pair Corr
0.97	JUESX	Jpmorgan Equity	Pair Corr
0.97	JUEZX	Jpmorgan Equity	Pair Corr
0.97	JUEAX	Jpmorgan Equity	Pair Corr
0.97	JUEPX	Jpmorgan Equity	Pair Corr
0.66	OGGFX	Jpmorgan Small Cap	Pair Corr
0.99	VSEIX	Jpmorgan Small Cap	Pair Corr
0.97	JUSRX	Jpmorgan Equity	Pair Corr
1.0	JVACX	Jpmorgan Value Advantage	Pair Corr
1.0	JVASX	Jpmorgan Value Advantage	Pair Corr
0.99	OIEJX	Jpmorgan Equity Income	Pair Corr
0.99	OIEIX	Jpmorgan Equity Income	Pair Corr
0.67	JGBZX	Jpmorgan Government Bond	Pair Corr
0.66	JGSMX	Jpmorgan Small Cap	Pair Corr
0.82	JGVVX	Jpmorgan Growth Advantage	Pair Corr

Moving against Jpmorgan Mutual Fund

0.83	JSOCX	Jpmorgan Strategic Income	Pair Corr
0.81	JSOAX	Jpmorgan Strategic Income	Pair Corr
0.81	JSOZX	Jpmorgan Strategic Income	Pair Corr
0.8	JSORX	Jpmorgan Strategic Income	Pair Corr
0.79	JSOSX	Jpmorgan Strategic Income	Pair Corr

Related Correlations Analysis

	JGVVX	MDIZX	JCPUX	JHBSX	JUEMX
JGVVX		0.7	0.74	0.74	0.91	JGVVX
MDIZX	0.7		0.83	0.8	0.5	MDIZX
JCPUX	0.74	0.83		0.99	0.59	JCPUX
JHBSX	0.74	0.8	0.99		0.59	JHBSX
JUEMX	0.91	0.5	0.59	0.59		JUEMX
	JGVVX	MDIZX	JCPUX	JHBSX	JUEMX

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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
JGVVX	0.92	(0.02)	0.00	(0.04)	0.00	0.00	1.78	(2.18)	7.53
MDIZX	0.51	0.02	0.02	0.05	0.73	(0.50)	1.11	(1.26)	2.99
JCPUX	0.22	0.00	(0.01)	(0.01)	0.23	(0.35)	0.42	(0.56)	1.69
JHBSX	0.25	0.00	(0.01)	(0.03)	0.27	(0.32)	0.60	(0.52)	1.65
JUEMX	0.72	(0.09)	0.00	(0.16)	0.00	0.00	1.10	(1.86)	6.59

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