JP Morgan Risk Analysis And Volatility

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JPM -- USA Stock  


We consider JP Morgan very steady. JP Morgan Chase retains Efficiency (Sharpe Ratio) of 0.2123 which attests that the entity had 0.2123% of return per unit of price deviation over the last 3 months. Our way in which we are determining 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-one technical indicators for JP Morgan which you can use to evaluate future volatility of the corporation. Please check out JP Morgan Chase Co Market Risk Adjusted Performance of 0.1824, Standard Deviation of 0.8914 and Semi Deviation of 0.4801 to validate if risk estimate we provide are consistent with the epected return of 0.1846%.

90 Days Market Risk

Very steady

Chance of Distress

Below average

90 Days Economic Sensitivity

Responds to market
Horizon     30 Days    Login   to change

JP Morgan Market Sensitivity

As market goes up, the company is expected to significantly 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 = 1.2098

JP Morgan Central Daily Price Deviation

JP Morgan Chase Technical Analysis

The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of JP Morgan Chase high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only JP Morgan closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

JP Morgan Projected Return Density Against Market

Considering 30-days investment horizon, the stock has beta coefficient of 1.2098 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, JP Morgan will likely underperform. Moreover, The company has an alpha of 0.044 implying that it can potentially generate 0.044% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
Considering 30-days investment horizon, the coefficient of variation of JP Morgan is 471.12. The daily returns are destributed with a variance of 0.76 and standard deviation of 0.87. The mean deviation of JP Morgan Chase Co is currently at 0.64. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47
Alpha over DOW
Beta against DOW=1.21
Overall volatility
Information ratio =0.08

JP Morgan Return Volatility

the business has volatility of 0.8697% on return distribution over 30 days investment horizon. the entity inherits 0.4665% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

JP Morgan Investment Opportunity

JP Morgan Chase Co has a volatility of 0.87 and is 1.85 times more volatile than DOW. 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 Co is lower than 7 () of all global equities and portfolios over the last 30 days. Use JP Morgan Chase Co to protect your portfolios against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of JP Morgan to be traded at $134.51 in 30 days. . As market goes up, the company is expected to significantly 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 Current Risk Indicators

JP Morgan Suggested Diversification Pairs

Please also see Risk vs Return Analysis. Please also try Market Hitters module to find equities that experience drastic asymmetry in trading patters, price, volume, or investment outlook..
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