# JP Morgan Stock Volatility

JPM | Stock | ## USD 122.13 1.99 1.66% |

We consider JP Morgan very steady. JP Morgan Chase retains Efficiency (Sharpe Ratio) of 0.0435, which attests that the entity had 0.0435% 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-seven technical indicators for JP Morgan, which you can use to evaluate the future volatility of the firm. Please check out JP Morgan Chase Semi Deviation of 1.52, standard deviation of 1.87, and Market Risk Adjusted Performance of 0.0611 to validate if the risk estimate we provide is consistent with the expected return of 0.0829%.

JP Morgan |

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.

### 60 Days Market Risk

### Chance of Distress

### 60 Days Economic Sensitivity

### ESG Sustainability

While most ESG disclosures are voluntary, JP Morgan's sustainability indicators can be used to identify proper investment strategies using environmental, social, and governance scores that are crucial to JP Morgan's managers and investors.Environment Score | Governance Score | Social Score |

Since volatility provides investors with entry points to take advantage of stock prices, companies, such as JP Morgan can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of JP Morgan at lower prices. For example, an investor can purchase JP Morgan stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of JP Morgan's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

## Moving together with JP Morgan

0.88 | BAC | Bank Of America | PairCorr | ||||

0.79 | BCS | Barclays Plc ADR | PairCorr | ||||

0.92 | BMO | Bank Of Montreal | Fiscal Year End 2nd of December 2022 | PairCorr | |||

0.91 | BNS | Bank of Nova Scotia | Fiscal Year End 29th of November 2022 | PairCorr | |||

0.89 | CM | Canadian Imperial Bank | Fiscal Year End 1st of December 2022 | PairCorr |

## Moving against JP Morgan

## JP Morgan Market Sensitivity And Downside Risk

JP Morgan's 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 1.2 provides an investor with an approximation of how much risk JP Morgan stock can potentially add to one of your existing portfolios.

JP Morgan Chase has relatively low volatility with skewness of 0.58 and kurtosis of 1.21. However, we advise all investors to independently investigate JP Morgan Chase to ensure all accessible information is consistent with the expectations about its upside potential and future expected returns. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure JP Morgan's stock risk against market volatility during both bullying and bearish trends. The higher level of volatility that comes with bear markets can directly impact JP Morgan's stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different stocks as prices fall.

JP Morgan standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

### JP Morgan Implied Volatility

JP Morgan's implied volatility exposes the market's sentiment of JP Morgan Chase stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if JP Morgan's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that JP Morgan stock will not fluctuate a lot when JP Morgan's options are near their expiration.

3 Months Beta |Analyze JP Morgan Chase Demand TrendCheck current 90 days JP Morgan correlation with market (DOW)## JP Morgan Beta |

## Standard Deviation | 1.9 |

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 Stock Volatility Analysis

Volatility refers to the frequency at which JP Morgan stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with JP Morgan's price changes. Investors will then calculate the volatility of JP Morgan's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of JP Morgan's volatility:

### Historical Volatility

This type of stock volatility measures JP Morgan's fluctuations based on previous trends. It's commonly used to predict JP Morgan's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.### Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for JP Morgan's current market price. This means that the stock will return to its initially predicted market price.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..

## JP Morgan Projected Return Density Against Market

Considering the 90-day investment horizon the stock has the beta coefficient of 1.1952 . 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.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 instrument is not justified. JP Morgan Chase is significantly underperforming DOW. Predicted Return Density |

Returns |

## What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:### Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.### Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.### The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.## JP Morgan Stock 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 90-day investment horizon the coefficient of variation of JP Morgan is 2297.3. The daily returns are distributed with a variance of 3.62 and standard deviation of 1.9. The mean deviation of JP Morgan Chase is currently at 1.48. For similar time horizon, the selected benchmark (DOW) has volatility of 1.25

α | Alpha over DOW | -0.02 | |

β | Beta against DOW | 1.20 | |

σ | Overall volatility | 1.90 | |

Ir | Information ratio | -0.0055 |

## JP Morgan Stock 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

**1.9034%**on return distribution over 90 days investment horizon. By contrast, DOW inherits 1.2609% risk (volatility on return distribution) over the 90 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 Reported | Projected for 2022 | |

Market Capitalization | 468 B | 419.3 B |

## JP Morgan Investment Opportunity

JP Morgan Chase has a volatility of 1.9 and is 1.51 times more volatile than DOW.**16**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

**16 ()**of all global equities and portfolios over the last 90 days.

Use JP Morgan Chase to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a large bullish trend. Check odds of JP Morgan to be traded at $134.34 in 90 days. .

### Very poor diversification

The correlation between JP Morgan Chase and DJI is

**Very poor diversification**for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding JP Morgan Chase and DJI in the same portfolio, assuming nothing else is changed.## JP Morgan Additional Risk Indicators

The analysis of JP Morgan's secondary risk indicators 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's 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 the risk of your existing portfolios.

Risk Adjusted Performance | 0.051 | |||

Market Risk Adjusted Performance | 0.0611 | |||

Mean Deviation | 1.45 | |||

Semi Deviation | 1.52 | |||

Downside Deviation | 1.56 | |||

Coefficient Of Variation | 2625.12 | |||

Standard Deviation | 1.87 |

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 similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

## 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.

Rolls Royce vs. JP Morgan | ||

Ark Innovation vs. JP Morgan | ||

Olema Pharmaceuticals vs. JP Morgan | ||

Prog Hldgs vs. JP Morgan | ||

Semiconductor Bear vs. JP Morgan | ||

Nike vs. JP Morgan | ||

Essential Properties vs. JP Morgan | ||

The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against JP Morgan as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. JP Morgan's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, JP Morgan's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to JP Morgan Chase.

Please see Risk vs Return Analysis. Note that the JP Morgan Chase information on this page should be used as a complementary analysis to other JP Morgan's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.

## Complementary Tools for JP Morgan Stock analysis

When running JP Morgan Chase price analysis, check to measure JP Morgan's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy JP Morgan is operating at the current time. Most of JP Morgan's value examination focuses on studying past and present price action to predict the probability of JP Morgan's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move JP Morgan's price. Additionally, you may evaluate how the addition of JP Morgan to your portfolios can decrease your overall portfolio volatility.

Portfolio ComparatorCompare the composition, asset allocations and performance of any two portfolios in your account | Go | |

Competition AnalyzerAnalyze and compare many basic indicators for a group of related or unrelated entities | Go | |

Theme RatingsDetermine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance | Go | |

Efficient FrontierPlot and analyze your portfolio and positions against risk-return landscape of the market. | Go | |

Equity ForecastingUse basic forecasting models to generate price predictions and determine price momentum | Go |

Is JP Morgan's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of JP Morgan. If investors know JP Morgan will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about JP Morgan listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.

Quarterly Earnings Growth YOY -0.27 | Market Capitalization 352.3 B | Quarterly Revenue Growth YOY -0.096 | Return On Assets 0.0104 | Return On Equity 0.14 |

The market value of JP Morgan Chase is measured differently than its book value, which is the value of JP Morgan that is recorded on the company's balance sheet. Investors also form their own opinion of JP Morgan's value that differs from its market value or its book value, called intrinsic value, which is JP Morgan's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because JP Morgan's market value can be influenced by many factors that don't directly affect JP Morgan's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.

Please note, there is a significant difference between JP Morgan's value and its price as these two are different measures arrived at by different means. Investors typically determine JP Morgan value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, JP Morgan's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.