JP Morgan Volatility

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JPM -- USA Stock  

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We consider JP Morgan very steady. JP Morgan Chase retains Efficiency (Sharpe Ratio) of 0.0543, which attests that the entity had 0.0543% of return per unit of price deviation over the last 3 months. Our outlook to determining the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for JP Morgan, which you can use to evaluate future volatility of the firm. Please check out JP Morgan Chase semi deviation of 3.03, market risk adjusted performance of 0.0778, and standard deviation of 3.48 to validate if the risk estimate we provide is consistent with the expected return of 0.18%.

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JP Morgan Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of JP Morgan daily returns, and it is calculated using variance and standard deviation. We also use JP Morgan's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of JP Morgan volatility.

90 Days Market Risk

Very steady

Chance of Distress

Close to Average

90 Days Economic Sensitivity

Responds to the market

JP Morgan Market Sensitivity And Downside Risk

JP Morgan Chase beta coefficient measures the volatility of JP Morgan stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents JP Morgan stock's returns against your selected market. In other words, JP Morgan's beta of 1.5 provides an investor with an approximation of how much risk JP Morgan stock can potentially add to one of your existing portfolios. Let's try to break down what JP Morgan's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, JP Morgan will likely underperform.
3 Months Beta |Analyze JP Morgan Chase Demand Trend
Check current 30 days JP Morgan correlation with market (DOW)
β

Current JP Morgan Beta Coefficient

 = 

JP Morgan Central Daily Price Deviations

It is essential to understand the difference between upside risk (as represented by JP Morgan's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of JP Morgan stock's daily returns or price. Since the actual investment returns on holding a position in JP Morgan stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in JP Morgan.

JP Morgan Chase Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. JP Morgan Chase Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

JP Morgan Projected Return Density Against Market

Considering the 30-days investment horizon, the stock has the beta coefficient of 1.5049 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, JP Morgan will likely underperform. Additionally, Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to JP Morgan or Financial Services sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that JP Morgan stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a JP Morgan stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. The company has a negative alpha, implying that the risk taken by holding this equity is not justified. JP Morgan Chase is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

JP Morgan Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to JP Morgan or Financial Services sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that JP Morgan stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a JP Morgan stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Considering the 30-days investment horizon, the coefficient of variation of JP Morgan is 1841.45. The daily returns are destributed with a variance of 10.56 and standard deviation of 3.25. The mean deviation of JP Morgan Chase is currently at 2.51. For similar time horizon, the selected benchmark (DOW) has volatility of 1.8
α
Alpha over DOW
=-0.11
β
Beta against DOW=1.50
σ
Overall volatility
=3.25
Ir
Information ratio =-0.01

JP Morgan Return Volatility

JP Morgan historical daily return volatility represents how much JP Morgan stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company has volatility of 3.2497% on return distribution over 30 days investment horizon. By contrast, DOW inherits 1.803% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About JP Morgan Volatility

Volatility is a rate at which the price of JP Morgan or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of JP Morgan may increase or decrease. In other words, similar to JP Morgan's beta indicator, it measures the risk of JP Morgan and helps estimate the fluctuations that may happen in a short period of time. So if prices of JP Morgan fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility. Please read more on our technical analysis page.
Last ReportedProjected for 2020
Market Capitalization437.2 B375.5 B
JPMorgan Chase Co. operates as a financial services company worldwide. The company was founded in 1799 and is headquartered in New York, New York. JP Morgan operates under BanksDiversified classification in the United States and is traded on BATS Exchange. It employs 256720 people.

JP Morgan Investment Opportunity

JP Morgan Chase has a volatility of 3.25 and is 1.81 times more volatile than DOW. 28  of all equities and portfolios are less risky than JP Morgan. Compared to the overall equity markets, volatility of historical daily returns of JP Morgan Chase is lower than 28 () of all global equities and portfolios over the last 30 days. Use JP Morgan Chase to enhance returns of your portfolios. The stock experiences a moderate upward volatility. Check odds of JP Morgan to be traded at $108.03 in 30 days. . Let's try to break down what JP Morgan's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, JP Morgan will likely underperform.

JP Morgan correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding JP Morgan Chase Co and equity matching DJI index in the same portfolio.

JP Morgan Additional Risk Indicators

The analysis of various secondary risk indicators of JP Morgan is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in JP Morgan investment, and either accepting that risk or mitigating it. Along with some common measures of JP Morgan stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging your existing portfolio. Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing the like to determine which investment holds the most risk.
Risk Adjusted Performance0.0629
Market Risk Adjusted Performance0.0778
Mean Deviation2.71
Semi Deviation3.03
Downside Deviation3.19
Coefficient Of Variation3106.29
Standard Deviation3.48

JP Morgan Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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Please see Risk vs Return Analysis. Please also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page