JPMorgan Japanese Investment Trust

10-Year Study

JFJ.LSE · Financial Services · GB · Common Stock

Executive Summary: JPMorgan Japanese Investment Trust has compounded at 11.3% annually over the last 10 years, with a maximum drawdown of 41.5% and an annualized volatility of 32.2%.

1Y CAGR
+27.5%
3Y CAGR
+18.9%
5Y CAGR
+5.4%
10Y CAGR
+11.3%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
41.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.47
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.68
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
20.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · +60.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -30.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20267.413.2-16.28.0————————10.0%
20256.7-3.5-3.12.76.66.3-1.84.22.58.6-1.3-4.924.1%
20242.84.23.2-5.91.63.73.0-0.40.9-4.04.91.816.2%
20235.4-2.4-0.2-2.94.62.9-2.3-0.2-3.5-3.47.24.29.0%
2022-18.8-5.01.0-9.7-0.6-8.714.0-2.5-7.11.17.4-3.0-30.5%
2021-5.2-5.6-1.70.8-4.21.1-1.06.33.2-2.50.00.8-8.3%
2020-5.1-11.8-1.320.69.28.6-6.17.513.42.611.24.360.9%
20190.02.43.96.8-0.64.13.0-1.2-1.50.76.3-2.023.6%
20183.8-4.21.4-1.14.62.4-1.9-0.90.7-12.24.5-9.9-13.6%
20173.20.30.4-1.28.53.0-0.91.6-2.07.97.23.134.9%
2016———2.13.98.75.0-4.04.35.6-6.0-0.020.3%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 32.2%. The dominant macroeconomic risk driver is SHV.US, accounting for 54.7% of variance. Idiosyncratic stock-specific factors contribute 9.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110212.670101238293
2016-05-0110606.335860914436
2016-06-0111529.412098356885
2016-07-0112108.599015653284
2016-08-0111628.96092594063
2016-09-0112126.696960906493
2016-10-0112805.432705786643
2016-11-0112035.332115729616
2016-12-0112030.757998829933
2017-01-0112410.434010362056
2017-02-0112442.456880136258
2017-03-0112488.202100609502
2017-04-0112337.244088490726
2017-05-0113384.789785093484
2017-06-0113787.340432600447
2017-07-0113668.405290255874
2017-08-0113887.975055869862
2017-09-0113613.51183598327
2017-10-0114683.928117084428
2017-11-0115737.129674796091
2017-12-0116227.759420087868
2018-01-0116847.987793711785
2018-02-0116144.44485859537
2018-03-0116366.61567208322
2018-04-0116181.471301771793
2018-05-0116922.044731541067
2018-06-0117329.355863863908
2018-07-0116996.101669370353
2018-08-0116847.987793711785
2018-09-0116959.07117471749
2018-10-0114885.472864021105
2018-11-0115559.893786493672
2018-12-0114022.654235656557
2019-01-0114022.654235656557
2019-02-0114360.097656788086
2019-03-0114922.503358673968
2019-04-0115934.833622068554
2019-05-0115841.098663174835
2019-06-0116497.239323954436
2019-07-0116984.656248430056
2019-08-0116778.440149159156
2019-09-0116534.731686921346
2019-10-0116647.212827298525
2019-11-0117697.03545366002
2019-12-0117334.894232156083
2020-01-0116444.46884333589
2020-02-0114512.056383587305
2020-03-0114322.601242344736
2020-04-0117278.060120669175
2020-05-0118869.45980854343
2020-06-0120498.752955552063
2020-07-0119248.366039552133
2020-08-0120688.20404531819
2020-09-0123454.207782400066
2020-10-0124060.45451083284
2020-11-0126750.67943259883
2020-12-0127896.92719820957
2021-01-0126446.74577309463
2021-02-0124958.399439923898
2021-03-0124538.609760168798
2021-04-0124729.42619749489
2021-05-0123699.03040065861
2021-06-0123966.168551143408
2021-07-0123737.1953087144
2021-08-0125225.5375904087
2021-09-0126026.956093339533
2021-10-0125378.18911967899
2021-11-0125378.18911967899
2021-12-0125581.459795578703
2022-01-0120772.916366182166
2022-02-0119734.27176331599
2022-03-0119926.611555783158
2022-04-0118003.193373729257
2022-05-0117887.78706736309
2022-06-0116329.820163063823
2022-07-0118618.685571395927
2022-08-0118157.068448884143
2022-09-0116868.378874629492
2022-10-0117060.718667096662
2022-11-0118330.175882695174
2022-12-0117779.92055864998
2023-01-0118735.20198230639
2023-02-0118286.804827415206
2023-03-0118247.81341816585
2023-04-0117721.433444775943
2023-05-0118540.2449360596
2023-06-0119086.12061407418
2023-07-0118637.723459182995
2023-08-0118598.73204993364
2023-09-0117955.381900272096
2023-10-0117351.019108383476
2023-11-0118598.73204993364
2023-12-0119386.549746458604
2024-01-0119920.12514200425
2024-02-0120750.12681121254
2024-03-0121422.035818292905
2024-04-0120157.26616093437
2024-05-0120473.45958814311
2024-06-0121224.416952025655
2024-07-0121856.803806443142
2024-08-0121777.755449640958
2024-09-0121975.3743159082
2024-10-0121105.8464425606
2024-11-0122133.471029512573
2024-12-0122523.040746508843
2025-01-0124043.24789039622
2025-02-0123203.133735996067
2025-03-0122483.036468149723
2025-04-0123083.116849442275
2025-05-0124603.32399332965
2025-06-0126163.531364099705
2025-07-0125683.46786936095
2025-08-0126763.615796868697
2025-09-0127443.704734879484
2025-10-0129804.026033167003
2025-11-0129403.97109514649
2025-12-0127955.18742940302
2026-01-0130021.44041331542
2026-02-0133991.88732357846
2026-03-0128481.879366478734
2026-04-0130750.70617234333
Annual Return Matrix
YearAnnual Return
20170.3488559425487672
2018-0.13588475940194655
20190.2362063515819437
20200.6092931877519625
2021-0.08300080457533243
2022-0.3049684927783941
20230.09036200035365138
20240.16178696266586523
20250.2411817633343396
20260.10000000000000009
Total Factor Risk
0.3220521588525507
VTI.US Exposure
0.10507422092479674
VEA.US Exposure
0.24360211501935122
VWO.US Exposure
-0.0330269613733046
QQQ.US Exposure
0.011712023282009305
VTV.US Exposure
-0.04381016349516312
IJR.US Exposure
0.012211929897148284
QUAL.US Exposure
-0.01287268952519235
SHV.US Exposure
0.5473684333458767
TLT.US Exposure
-0.01517096075590174
LQD.US Exposure
0.09647258964243761
HYG.US Exposure
-0.0172104808155981
GLD.US Exposure
0.004545586520618846
USO.US Exposure
-0.0030539514616202113
VNQ.US Exposure
0.0016781998930925366
BTC-USD.CC Exposure
-0.002880855505196119
CPER.US Exposure
-0.006703068952377332
VIX.INDX Exposure
-0.013849468462812932
UUP.US Exposure
0.03579270888259741
TIP.US Exposure
-0.0015213795745038054
Idiosyncratic Exposure
0.09164217251374163
Value Score
48
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
14.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
32.2%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →4.9x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.19%
Market Cap$1.1B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-1.2%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+7.1%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
9.5% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.80
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is JPMorgan Japanese Investment Trust a high-risk investment?

JPMorgan Japanese Investment Trust (JFJ.LSE) has an annualized volatility of 32.2% and experienced a maximum drawdown of 41.5% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of JFJ.LSE?

Over the past 10 years, JFJ.LSE has generated a Compound Annual Growth Rate (CAGR) of 11.3%. It has had a positive return in 70% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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