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

November 3, 2016
No Change 0.00  0.0%
In 31 days
December 3, 2016
If you would invest  0.00  in JPMorgan Chase on November 3, 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, B of A, and BRADESCO -PN. 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

Macroaxis considers JPMorgan Chase not too risky given 1 month investment horizon. JPMorgan Chase Co holds Efficiency (Sharpe) Ratio of 0.4588 which attests that JPMorgan Chase Co had 0.4588% 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. By analyzing JPMorgan Chase Co technical indicators you can now evaluate if the expected return of 0.8217% is justified by implied risk. Please utilize JPMorgan Chase Risk Adjusted Performance of 0.2773 and Market Risk Adjusted Performance of 8.46 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 JPMorgan Chase holds performance score of 31. The company retains Market Volatility (i.e. Beta) of 0.0937 which attests that as returns on market increase, JPMorgan Chase returns are expected to increase less than the market. However during bear market, the loss on holding JPMorgan Chase will be expected to be smaller as well.. Although it is vital to follow to JPMorgan Chase Co current price history, it is good to be conservative about what you can actually 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. We have found twenty-seven technical indicators for JPMorgan Chase Co which you can use to evaluate performance of the corporation. Please utilizes JPMorgan Chase Maximum Drawdown as well as the relationship between Expected Short fall and Rate Of Daily Change to make a quick decision on weather JPMorgan Chase Co current trading patterns will revert.
Advice Volatility Trend Exposure 
15 days auto-correlation 0.77 

Good predictability

JPMorgan Chase Co has good predictability. Overlapping area represents amount of predictability between JPMorgan Chase time series from November 3, 2016 to November 18, 2016 and November 18, 2016 to December 3, 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 0.77 indicates that around 77.0% of current JPMorgan Chase price fluctuation can be explain by its past prices.
Correlation Coefficient 0.77
Spearman Rank Test 0.88
Price Variance 2.12
Lagged Price Variance 18.56

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 Thu, Nov 3, 2016 and Sat, Dec 3, 2016 is 78.05 with a coefficient of variation of 5.83. The daily time series for the period is distributed with a sample standard deviation of 4.44, arithmetic mean of 76.29, and mean deviation of 3.61. The Stock received some media coverage during the period.
Price Growth (%)  
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