JPMORGAN Mutual Fund Volatility

JMUEX Fund  USD 18.41  0.08  0.43%   
We consider JPMORGAN out of control. JPMORGAN US EQUITY holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had 0.12% of return per unit of volatility over the last 3 months. Our approach towards determining the volatility of a fund is to use all available market data together with fund-specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for JPMORGAN US EQUITY, which you can use to evaluate the future volatility of the entity. Please check out JPMORGAN market risk adjusted performance of 0.1032, and Risk Adjusted Performance of 0.0995 to validate if the risk estimate we provide is consistent with the expected return of 0.16%.
  
JPMORGAN Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of JPMORGAN daily returns, and it is calculated using variance and standard deviation. We also use JPMORGAN's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of JPMORGAN volatility.

720 Days Market Risk

Out of control

Chance of Distress

Very Small

720 Days Economic Sensitivity

Moves indifferently to market moves
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as JPMORGAN can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of JPMORGAN at lower prices. For example, an investor can purchase JPMORGAN stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of JPMORGAN's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving together with JPMORGAN

+0.99VSTSXVANGUARD TOTAL STOCKPairCorr
+0.99VTSAXVANGUARD TOTAL STOCKPairCorr
+0.99VSMPXVANGUARD TOTAL STOCKPairCorr
+0.99VTSMXVANGUARD TOTAL STOCKPairCorr
+0.87VITSXVANGUARD TOTAL STOCKPairCorr
+0.99VFINXVANGUARD 500 INDEXPairCorr
+0.99VFFSXVANGUARD 500 INDEXPairCorr

JPMORGAN Market Sensitivity And Downside Risk

JPMORGAN's beta coefficient measures the volatility of JPMORGAN mutual fund compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents JPMORGAN mutual fund's returns against your selected market. In other words, JPMORGAN's beta of 1.16 provides an investor with an approximation of how much risk JPMORGAN mutual fund can potentially add to one of your existing portfolios.
JPMORGAN US EQUITY has relatively low volatility with skewness of 0.92 and kurtosis of 2.74. However, we advise all investors to independently investigate JPMORGAN US EQUITY to ensure all accessible information is consistent with the expectations about its upside potential and future expected returns. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure JPMORGAN's mutual fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact JPMORGAN's mutual fund price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different stocks as prices fall.
3 Months Beta |Analyze JPMORGAN US EQUITY Demand Trend
Check current 90 days JPMORGAN correlation with market (NYSE Composite)

JPMORGAN Beta

    
  1.16  
JPMORGAN standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  1.31  
It is essential to understand the difference between upside risk (as represented by JPMORGAN's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of JPMORGAN's daily returns or price. Since the actual investment returns on holding a position in jpmorgan mutual fund tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in JPMORGAN.

JPMORGAN US EQUITY Mutual Fund Volatility Analysis

Volatility refers to the frequency at which JPMORGAN fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with JPMORGAN's price changes. Investors will then calculate the volatility of JPMORGAN's mutual fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A mutual fund with relatively stable price changes has low volatility. A highly volatile fund is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of JPMORGAN's volatility:

Historical Volatility

This type of fund volatility measures JPMORGAN's fluctuations based on previous trends. It's commonly used to predict JPMORGAN's future behavior based on its past. However, it cannot conclusively determine the future direction of the mutual fund.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for JPMORGAN's current market price. This means that the fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on JPMORGAN's to be redeemed at a future date.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. JPMORGAN US EQUITY Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
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JPMORGAN Projected Return Density Against Market

Assuming the 90 days horizon the mutual fund has the beta coefficient of 1.1593 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, JPMORGAN will likely underperform.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to JPMORGAN or JPMorgan sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that JPMORGAN's price will be affected by overall mutual fund market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a JPMORGAN fund's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. JPMORGAN US EQUITY is significantly underperforming NYSE Composite.
   Predicted Return Density   
       Returns  
JPMORGAN's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how jpmorgan mutual fund's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a JPMORGAN Price Volatility?

Several factors can influence a fund's market volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

JPMORGAN Mutual Fund Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to JPMORGAN or JPMorgan sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that JPMORGAN's price will be affected by overall mutual fund market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a JPMORGAN fund's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Assuming the 90 days horizon the coefficient of variation of JPMORGAN is 833.71. The daily returns are distributed with a variance of 1.73 and standard deviation of 1.31. The mean deviation of JPMORGAN US EQUITY is currently at 0.98. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 1.11
α
Alpha over NYSE Composite
-0.01
β
Beta against NYSE Composite1.16
σ
Overall volatility
1.31
Ir
Information ratio 0.0021

JPMORGAN Mutual Fund Return Volatility

JPMORGAN historical daily return volatility represents how much of JPMORGAN fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 1.3135% volatility of returns over 90 . By contrast, NYSE Composite accepts 1.0679% volatility on return distribution over the 90 days horizon.
 Performance (%) 
       Timeline  

About JPMORGAN Volatility

Volatility is a rate at which the price of JPMORGAN or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of JPMORGAN may increase or decrease. In other words, similar to JPMORGAN's beta indicator, it measures the risk of JPMORGAN and helps estimate the fluctuations that may happen in a short period of time. So if prices of JPMORGAN fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
Under normal circumstances, the fund invests at least 80 percent of its assets in equity securities of U.S. companies. Jpmorgan is traded on NASDAQ Exchange in the United States.
JPMORGAN's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on JPMORGAN Mutual Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much JPMORGAN's price varies over time.

3 ways to utilize JPMORGAN's volatility to invest better

Higher JPMORGAN's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of JPMORGAN US EQUITY fund is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. JPMORGAN US EQUITY fund volatility can provide helpful information for making investment decisions in the following ways:
  • Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of JPMORGAN US EQUITY investment. A higher volatility means higher risk and potentially larger changes in value.
  • Identifying Opportunities: High volatility in JPMORGAN's fund can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
  • Diversification: Understanding how the volatility of JPMORGAN's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Remember it's essential to remember that stock volatility is just one of many factors to consider when making investment decisions, and it should be used in conjunction with other fundamental and technical analysis tools.

JPMORGAN Investment Opportunity

JPMORGAN US EQUITY has a volatility of 1.31 and is 1.22 times more volatile than NYSE Composite. 11  of all equities and portfolios are less risky than JPMORGAN. Compared to the overall equity markets, volatility of historical daily returns of JPMORGAN US EQUITY is lower than 11 () of all global equities and portfolios over the last 90 days. Use JPMORGAN US EQUITY to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The mutual fund experiences a normal downward trend and little activity. Check odds of JPMORGAN to be traded at $18.23 in 90 days.

Almost no diversification

The correlation between JPMORGAN US EQUITY and NYA is 0.96 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding JPMORGAN US EQUITY and NYA in the same portfolio, assuming nothing else is changed.

JPMORGAN Additional Risk Indicators

The analysis of JPMORGAN's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in JPMORGAN's investment and either accepting that risk or mitigating it. Along with some common measures of JPMORGAN mutual fund's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential mutual funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

JPMORGAN Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against JPMORGAN as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. JPMORGAN's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, JPMORGAN's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to JPMORGAN US EQUITY.
Please see Risk vs Return Analysis. Note that the JPMORGAN US EQUITY information on this page should be used as a complementary analysis to other JPMORGAN's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.

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When running JPMORGAN US EQUITY price analysis, check to measure JPMORGAN's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy JPMORGAN is operating at the current time. Most of JPMORGAN's value examination focuses on studying past and present price action to predict the probability of JPMORGAN's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move JPMORGAN's price. Additionally, you may evaluate how the addition of JPMORGAN to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between JPMORGAN's value and its price as these two are different measures arrived at by different means. Investors typically determine JPMORGAN value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, JPMORGAN's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.