JP Morgan Backtesting

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JPM -- USA Stock  

Fiscal Quarter End: March 31, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of JP Morgan Chase Co and determine expected loss or profit from investing in JP Morgan over given investment horizon. Please see JP Morgan Hype Analysis, JP Morgan Correlation, JP Morgan Valuation, JP Morgan Volatility as well as analyze JP Morgan Alpha and Beta and JP Morgan Performance.

JP Morgan 'What if' Analysis

November 24, 2019
No Change 0.00  0.0 
In 3 months and 1 day
February 22, 2020
If you would invest  0.00  in JP Morgan on November 24, 2019 and sell it all today you would earn a total of 0.00 from holding JP Morgan Chase Co or generate 0.0% return on investment in JP Morgan over 90 days. JP Morgan is related to or competes with Citigroup, Canadian Imperial, Credit Suisse, East West, Barclays PLC, Bank Of Montreal, and Bank of Nova Scotia. JPMorgan Chase Co. operates as a financial services company worldwide

JP Morgan Upside/Downside Indicators

Downside Deviation1.01
Information Ratio0.0153
Maximum Drawdown5.46
Value At Risk(1.70)
Potential Upside1.7

JP Morgan Market Premium Indicators

Risk Adjusted Performance0.0669
Jensen Alpha0.084
Total Risk Alpha(0.00059053)
Sortino Ratio0.015
Treynor Ratio(0.36)

JP Morgan Chase Backtested Returns

We consider JP Morgan very steady. JP Morgan Chase retains Efficiency (Sharpe Ratio) of 0.0558 which attests that the entity had 0.0558% 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 (0.35), Semi Deviation of 0.8595 and Standard Deviation of 0.9926 to validate if risk estimate we provide are consistent with the epected return of 0.0574%. JP Morgan has performance score of 3 on a scale of 0 to 100. The company owns Beta (Systematic Risk) of -0.1998 which attests that as returns on market increase, returns on owning JP Morgan are expected to decrease at a much smaller rate. During bear market, JP Morgan is likely to outperform the market. Although it is extremely important to respect JP Morgan Chase existing price patterns, it is better to be realistic regarding the information on equity price patterns. The way in which we are 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 inspecting JP Morgan Chase technical indicators you can at this moment evaluate if the expected return of 0.0574% will be sustainable into the future. JP Morgan Chase today owns a risk of 1.03%. Please check out JP Morgan Chase Co Standard Deviation as well as the relationship between Maximum Drawdown and Expected Short fall to decide if JP Morgan Chase Co will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.21) 
correlation synergy

Weak reverse predictability

JP Morgan Chase Co has weak reverse predictability. Overlapping area represents the amount of predictability between JP Morgan time series from November 24, 2019 to January 8, 2020 and January 8, 2020 to February 22, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of JP Morgan Chase price movement. The serial correlation of -0.21 indicates that over 21.0% of current JP Morgan price fluctuation can be explain by its past prices. Given that JP Morgan Chase Co has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of JP Morgan for similar time interval.
Correlation Coefficient-0.21
Spearman Rank Test-0.11
Residual Average0.0
Price Variance3.18

JP Morgan Chase lagged returns against current returns

 Current and Lagged Values 

JP Morgan regressed lagged prices vs. current prices

 Current vs Lagged Prices 

JP Morgan Lagged Returns

 Regressed Prices 

Current Sentiment - JPM

JP Morgan Chase Investor Sentiment

Predominant part of Macroaxis users are currently bullish on JP Morgan Chase Co. What is your judgment towards investing in JP Morgan Chase Co? Are you bullish or bearish?
98% Bullish
2% Bearish

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Please see JP Morgan Hype Analysis, JP Morgan Correlation, JP Morgan Valuation, JP Morgan Volatility as well as analyze JP Morgan Alpha and Beta and JP Morgan Performance. Please also try My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.