JPMorgan Chase Co Backtested Returns
We consider JPMorgan Chase not too risky. JPMorgan Chase Co
holds Efficiency (Sharpe) Ratio of 0.2826 which attests that JPMorgan Chase Co
had 0.2826% of return per unit of volatility over the last 1 month. Our approach towards determining volatility of a stock is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-eight technical indicators
for JPMorgan Chase Co which you can use to evaluate future volatility of the corporation. Please check out JPMorgan Chase Risk Adjusted Performance
of 0.1454 and Market Risk Adjusted Performance
of (0.30) to validate if risk estimate we provide are consistent with the epected return of 0.1985%. JPMorgan Chase has performance score of 19 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of -0.5706 which attests that as returns on market increase, returns on owning JPMorgan Chase are expected to decrease at a much smaller rate. During bear market, JPMorgan Chase is likely to outperform the market.. Although it is extremely important to respect JPMorgan Chase Co current price history, it is beter to be realistic about what you can do with the information about equity current price movements. The approach towards determining future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing JPMorgan Chase Co technical indicators you can now evaluate if the expected return of 0.1985% will be sustainable into the future. JPMorgan Chase Co currently retains risk of 0.7026%. Please check out JPMorgan Chase Semi Variance, and the relationship between Treynor Ratio and Daily Balance Of Power to decide if JPMorgan Chase will be following its current trading patterns.
|15 days auto-correlation|| 0.81 |
Very good predictability
JPMorgan Chase Co has very good predictability. Overlapping area represents amount of predictability between JPMorgan Chase time series from September 27, 2016 to October 12, 2016 and October 12, 2016 to October 27, 2016. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of JPMorgan Chase Co price movement. The serial correlation of 0.81 indicates that around 81.0% of current JPMorgan Chase price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.81|
|Spearman Rank Test|| 0.74|
|Price Variance|| 0.5|
|Lagged Price Variance|| 0.85|
JPMorgan Chase Lagged Returns