JP Morgan Backtesting

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JPM -- USA Stock  


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 also 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.
Horizon     30 Days    Login   to change

JP Morgan 'What if' Analysis

October 19, 2019
No Change 0.00  0.0 
In 3 months and 1 day
January 17, 2020
If you would invest  0.00  in JP Morgan on October 19, 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 Bank Of Montreal, ING Group, Bank of Nova Scotia, HSBC Holdings, Canadian Imperial, Credit Suisse, and JP Morgan. JPMorgan Chase Co. operates as a financial services company worldwide

JP Morgan Upside/Downside Indicators

Downside Deviation0.7683
Information Ratio0.1369
Maximum Drawdown4.96
Value At Risk(1.29)
Potential Upside2.22

JP Morgan Market Premium Indicators

Risk Adjusted Performance0.1314
Jensen Alpha0.0986
Total Risk Alpha0.02
Sortino Ratio0.1699
Treynor Ratio0.188

JP Morgan Chase Backtested Returns

We consider JP Morgan very steady. JP Morgan Chase retains Efficiency (Sharpe Ratio) of 0.2123 which attests that the entity had 0.2123% 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-eight technical indicators for JP Morgan which you can use to evaluate future volatility of the corporation. Please check out JP Morgan Chase Co Standard Deviation of 0.9539, Semi Deviation of 0.43 and Market Risk Adjusted Performance of 0.198 to validate if risk estimate we provide are consistent with the epected return of 0.1846%. JP Morgan has performance score of 14 on a scale of 0 to 100. The company owns Beta (Systematic Risk) of 1.2869 which attests that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, JP Morgan will likely underperform. 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 0.1846% will be sustainable into the future. JP Morgan Chase today owns a risk of 0.8697%. Please check out JP Morgan Chase Co Maximum Drawdown, and the relationship between Information Ratio 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 0.66 
correlation synergy

Good predictability

JP Morgan Chase Co has good predictability. Overlapping area represents the amount of predictability between JP Morgan time series from October 19, 2019 to December 3, 2019 and December 3, 2019 to January 17, 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 0.66 indicates that around 66.0% of current JP Morgan price fluctuation can be explain by its past prices.
Correlation Coefficient0.66
Spearman Rank Test0.43
Residual Average0.0
Price Variance5.17

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 

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Please also 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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.