JPMorgan Fundamental Risk Adjusted Performance
MCDS Etf | 59.82 1.40 2.40% |
JPMorgan |
| = | 0.1501 |
ER[a] | = | Expected return on investing in JPMorgan Fundamental |
RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
STD[b] | = | Standard Deviation of selected market or benchmark. |
JPMorgan Fundamental Risk Adjusted Performance Peers Comparison
JPMorgan Risk Adjusted Performance Relative To Other Indicators
JPMorgan Fundamental Data is regarded second largest ETF in risk adjusted performance as compared to similar ETFs. It is currently under evaluation in maximum drawdown as compared to similar ETFs reporting about 22.86 of Maximum Drawdown per Risk Adjusted Performance. The ratio of Maximum Drawdown to Risk Adjusted Performance for JPMorgan Fundamental Data is roughly 22.86
Risk Adjusted Performance |
Compare JPMorgan Fundamental to Peers |
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JPMorgan Fundamental Technical Signals
All JPMorgan Fundamental Technical Indicators
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Overlap Studies | ||
Pattern Recognition | ||
Price Transform | ||
Statistic Functions | ||
Volatility Indicators | ||
Volume Indicators |
Risk Adjusted Performance | 0.1501 | |||
Market Risk Adjusted Performance | 0.1914 | |||
Mean Deviation | 0.5218 | |||
Semi Deviation | 0.3038 | |||
Downside Deviation | 0.6845 | |||
Coefficient Of Variation | 508.33 | |||
Standard Deviation | 0.765 | |||
Variance | 0.5853 | |||
Information Ratio | 0.0486 | |||
Jensen Alpha | 0.0604 | |||
Total Risk Alpha | 0.0369 | |||
Sortino Ratio | 0.0543 | |||
Treynor Ratio | 0.1814 | |||
Maximum Drawdown | 3.43 | |||
Value At Risk | (1.04) | |||
Potential Upside | 1.24 | |||
Downside Variance | 0.4686 | |||
Semi Variance | 0.0923 | |||
Expected Short fall | (0.78) | |||
Skewness | 1.25 | |||
Kurtosis | 4.61 |