Jpmorgan Correlations

JUESX Fund

USD 27.35 0.03 0.11%

The current 90-days correlation between Jpmorgan Equity and Jpmorgan International Value is 0.4 (i.e., Very weak diversification). The correlation of Jpmorgan 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 Correlation With Market

Very poor diversification

The correlation between Jpmorgan Equity Fund and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jpmorgan Equity Fund 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 Equity Fund. 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

0.83	SRJIX	Jpmorgan Smartretirement	Pair Corr
0.83	SRJQX	Jpmorgan Smartretirement	Pair Corr
0.82	SRJPX	Jpmorgan Smartretirement	Pair Corr
0.83	SRJSX	Jpmorgan Smartretirement	Pair Corr
0.84	SRJYX	Jpmorgan Smartretirement	Pair Corr
0.82	SRJZX	Jpmorgan Smartretirement	Pair Corr
0.81	SRJCX	Jpmorgan Smartretirement	Pair Corr
0.82	SRJAX	Jpmorgan Smartretirement	Pair Corr
0.9	OSGCX	Jpmorgan Small Cap	Pair Corr
0.95	OSGIX	Jpmorgan Mid Cap	Pair Corr
0.99	JPGSX	Jpmorgan Intrepid Growth	Pair Corr
0.91	JPHAX	Jpmorgan Floating Rate	Pair Corr
0.97	JPIVX	Jpmorgan Intrepid Value	Pair Corr
0.88	OSVCX	Jpmorgan Small Cap	Pair Corr
0.9	JPHSX	Jpmorgan Floating Rate	Pair Corr
0.92	JPHRX	Jpmorgan Floating Rate	Pair Corr
0.89	JPTBX	Jpmorgan Smartretirement*	Pair Corr
0.8	JPTKX	Jpmorgan Smartretirement*	Pair Corr
0.77	JPYRX	Jpmorgan Smartretirement*	Pair Corr
0.66	JRBYX	Jpmorgan Smartretirement*	Pair Corr
0.69	JRBEX	Jpmorgan Smartretirement*	Pair Corr
0.87	JRJYX	Jpmorgan High Yield	Pair Corr
0.9	JAKPX	Jpmorgan Smartretirement	Pair Corr
0.91	JAKQX	Jpmorgan Smartretirement	Pair Corr
0.92	JSEZX	Jpmorgan Small Cap	Pair Corr
0.92	JSEPX	Jpmorgan Small Cap	Pair Corr
0.69	JSMAX	Jpmorgan Smartretirement	Pair Corr
0.66	JSMCX	Jpmorgan Smartretirement	Pair Corr
0.7	JSMIX	Jpmorgan Smartretirement	Pair Corr

Moving against Jpmorgan Mutual Fund

0.75	OBOCX	Jpmorgan E Bond	Pair Corr
0.33	OSTSX	Jpmorgan Short-intermedia	Pair Corr
0.56	JSEAX	Jpmorgan International	Pair Corr

Related Correlations Analysis

	JIESX	VSNGX	JEMSX	OHYFX	VSEIX
JIESX		-0.61	0.51	-0.29	-0.5	JIESX
VSNGX	-0.61		-0.02	0.8	0.94	VSNGX
JEMSX	0.51	-0.02		0.36	0.0	JEMSX
OHYFX	-0.29	0.8	0.36		0.81	OHYFX
VSEIX	-0.5	0.94	0.0	0.81		VSEIX
	JIESX	VSNGX	JEMSX	OHYFX	VSEIX

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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

VSEIX	+ 0.94	VSNGX
VSEIX	+ 0.81	OHYFX
OHYFX	+ 0.8	VSNGX
JEMSX	+ 0.51	JIESX
OHYFX	+ 0.36	JEMSX
VSEIX	+ 0.0	JEMSX

High negative correlations

VSNGX	- 0.61	JIESX
VSEIX	- 0.5	JIESX
OHYFX	- 0.29	JIESX
JEMSX	- 0.02	VSNGX
VSEIX	- 0.0	JEMSX

Risk-Adjusted Indicators

There is a big difference between Jpmorgan Mutual Fund performing well and Jpmorgan 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'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
JIESX	0.63	(0.10)	0.00	(0.14)	0.00	0.00	1.13	(1.25)	3.45
VSNGX	0.58	0.15	0.06	2.57	0.48	(0.65)	1.29	(0.98)	4.40
JEMSX	0.68	(0.07)	0.00	(0.04)	0.00	0.00	1.32	(1.60)	4.59
OHYFX	0.12	0.02	(0.34)	0.32	0.00	(0.19)	0.31	(0.16)	1.06
VSEIX	0.71	(0.01)	0.02	0.10	0.68	(0.81)	1.61	(1.18)	6.48

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