JPMorgan Chase Backtesting

With this equity back-testing module your can estimate the performance of a buy and hold strategy of JPMorgan Chase Co and determine expected loss or profit from investing in JPMorgan Chase over given investment horizon. Please also check JPMorgan Chase Hype Analysis, JPMorgan Chase Correlation, JPMorgan Chase Valuation, JPMorgan Chase Volatility as well as analyze JPMorgan Chase Alpha and Beta and JPMorgan Chase Performance
Investment Horizon     30 Days    Login   to change

JPMorgan Chase 'What if' Analysis

September 27, 2016
No Change 0.00  0.0%
In 31 days
October 27, 2016
If you would invest  0.00  in JPMorgan Chase on September 27, 2016 and sell it all today you would earn a total of 0.00 from holding JPMorgan Chase Co or generate 0.0% return on investment in JPMorgan Chase over 30 days. JPMorgan Chase is related to or competes with ICBC, FUBON FINANCIAL, N/A, Wells Fargo, BRADESCO -PN, and B of A. It operates through Consumer Community Banking Corporationrate Investment Bank Commercial Banking and Asset Management s...

JPMorgan Chase Upside/Downside Indicators


JPMorgan Chase Market Premium Indicators

JPMorgan Chase Co lagged returns against current returns

 Current and Lagged Values 
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JPMorgan Chase regressed lagged prices vs. current prices

 Current vs Lagged Prices 
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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.
Advice Volatility Trend Exposure 
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

 Regressed Prices 
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JPMorgan Chase Performance vs NYSE

The median price of JPMorgan Chase for the period between Tue, Sep 27, 2016 and Thu, Oct 27, 2016 is 67.87 with a coefficient of variation of 1.4. The daily time series for the period is distributed with a sample standard deviation of 0.95, arithmetic mean of 67.69, and mean deviation of 0.77. The Stock received some media coverage during the period.
October 4, 2016JPMorgan Chase Dividend Paid
Price Growth (%)  
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