Johnson Stock Volatility

JNJ
 Stock
  

USD 165.30  0.79  0.48%   

Johnson Johnson holds Efficiency (Sharpe) Ratio of -0.0682, which attests that the entity had -0.0682% of return per unit of risk over the last 3 months. Macroaxis standpoint towards determining the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Johnson Johnson exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Johnson Johnson risk adjusted performance of (0.09), and Market Risk Adjusted Performance of (0.18) to validate the risk estimate we provide.
  
Johnson Johnson Stock 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 Johnson daily returns, and it is calculated using variance and standard deviation. We also use Johnson's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Johnson Johnson volatility.

30 Days Market Risk

Very steady

Chance of Distress

Very Low

30 Days Economic Sensitivity

Slowly supersedes the market

ESG Sustainability

While most ESG disclosures are voluntary, Johnson Johnson's sustainability indicators can be used to identify proper investment strategies using environmental, social, and governance scores that are crucial to Johnson Johnson's managers and investors.
Environment Score
Governance Score
Social Score
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Johnson Johnson 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 Johnson Johnson at lower prices. For example, an investor can purchase Johnson 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 Johnson Johnson'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 Johnson Johnson

0.65ABBVAbbvie IncPairCorr
0.69BMYBristol-Myers SquibbPairCorr
0.61GRFSGrifols SA ADRPairCorr

Johnson Johnson Market Sensitivity And Downside Risk

Johnson Johnson's beta coefficient measures the volatility of Johnson stock 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 Johnson stock's returns against your selected market. In other words, Johnson Johnson's beta of 0.44 provides an investor with an approximation of how much risk Johnson Johnson stock can potentially add to one of your existing portfolios.
Johnson Johnson exhibits very low volatility with skewness of -0.11 and kurtosis of 0.0. However, we advise investors to further study Johnson Johnson technical indicators to make sure all market info is available and is reliable. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Johnson Johnson's stock risk against market volatility during both bullying and bearish trends. The higher level of volatility that comes with bear markets can directly impact Johnson Johnson's stock 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.

Johnson Johnson Implied Volatility

Johnson Johnson's implied volatility exposes the market's sentiment of Johnson Johnson stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Johnson Johnson's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Johnson Johnson stock will not fluctuate a lot when Johnson Johnson's options are near their expiration.
3 Months Beta |Analyze Johnson Johnson Demand Trend
Check current 90 days Johnson Johnson correlation with market (DOW)

Johnson Beta

    
  0.44  
Johnson 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

    
  1.09  
It is essential to understand the difference between upside risk (as represented by Johnson Johnson's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Johnson Johnson's daily returns or price. Since the actual investment returns on holding a position in johnson stock 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 Johnson Johnson.

Using Johnson Put Option to Manage Risk

Put options written on Johnson Johnson grant holders of the option the right to sell a specified amount of Johnson Johnson at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Johnson Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Johnson Johnson's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Johnson Johnson will be realized, the loss incurred will be offset by the profits made with the option trade.

Johnson Johnson's PUT expiring on 2022-08-19

   Profit   
Share
       Johnson Johnson Price At Expiration  

Current Johnson Johnson Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
Put
2022-08-19 PUT at $100.0-0.00222.0E-42002022-08-190.0 - 0.130.02View
Put
2022-08-19 PUT at $140.0-0.01150.00252302022-08-190.0 - 0.050.05View
Put
2022-08-19 PUT at $145.0-0.00680.00216642022-08-190.0 - 0.060.02View
Put
2022-08-19 PUT at $150.0-0.01190.004311992022-08-190.02 - 0.080.03View
Put
2022-08-19 PUT at $152.5-0.02040.007572022-08-190.03 - 0.070.09View
Put
2022-08-19 PUT at $155.0-0.02770.011413382022-08-190.06 - 0.120.06View
Put
2022-08-19 PUT at $157.5-0.06130.02321862022-08-190.07 - 0.190.14View
Put
2022-08-19 PUT at $160.0-0.13020.043741172022-08-190.27 - 0.320.32View
Put
2022-08-19 PUT at $162.5-0.25250.07417792022-08-190.63 - 0.710.66View
Put
2022-08-19 PUT at $165.0-0.46590.100144902022-08-191.36 - 1.491.44View
Put
2022-08-19 PUT at $167.5-0.72690.093125942022-08-192.69 - 3.052.8View
View All Johnson Johnson Options

Johnson Johnson Stock Volatility Analysis

Volatility refers to the frequency at which Johnson Johnson stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Johnson Johnson's price changes. Investors will then calculate the volatility of Johnson Johnson's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock 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 Johnson Johnson's volatility:

Historical Volatility

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

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Johnson Johnson's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Johnson Johnson 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.
.

Johnson Johnson Projected Return Density Against Market

Considering the 90-day investment horizon Johnson Johnson has a beta of 0.4362 . This indicates as returns on the market go up, Johnson Johnson average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Johnson Johnson will be expected to be much smaller as well.
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 Johnson Johnson or Healthcare 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 Johnson Johnson's price will be affected by overall stock 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 Johnson stock'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. Johnson Johnson is significantly underperforming DOW.
   Predicted Return Density   
       Returns  
Johnson Johnson's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how johnson stock'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 Johnson Johnson Price Volatility?

Several factors can influence a Stock's stock 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.

Johnson Johnson Stock 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 Johnson Johnson or Healthcare 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 Johnson Johnson's price will be affected by overall stock 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 Johnson stock'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.
Considering the 90-day investment horizon the coefficient of variation of Johnson Johnson is -1466.18. The daily returns are distributed with a variance of 1.18 and standard deviation of 1.09. The mean deviation of Johnson Johnson is currently at 0.82. For similar time horizon, the selected benchmark (DOW) has volatility of 1.25
α
Alpha over DOW
-0.12
β
Beta against DOW0.44
σ
Overall volatility
1.09
Ir
Information ratio -0.16

Johnson Johnson Stock Return Volatility

Johnson Johnson historical daily return volatility represents how much of Johnson Johnson stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm has volatility of 1.0853% on return distribution over 90 days investment horizon. By contrast, DOW inherits 1.181% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About Johnson Johnson Volatility

Volatility is a rate at which the price of Johnson Johnson 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 Johnson Johnson may increase or decrease. In other words, similar to Johnson's beta indicator, it measures the risk of Johnson Johnson and helps estimate the fluctuations that may happen in a short period of time. So if prices of Johnson Johnson 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.
Last ReportedProjected for 2022
Market Capitalization450.4 B434.6 B
Johnson Johnson, together with its subsidiaries, researches and develops, manufactures, and sells various products in the healthcare field worldwide. The company was founded in 1886 and is based in New Brunswick, New Jersey. Johnson Johnson operates under Drug ManufacturersGeneral classification in the United States and is traded on New York Stock Exchange. It employs 141700 people.

Johnson Johnson Investment Opportunity

DOW has a standard deviation of returns of 1.18 and is 1.08 times more volatile than Johnson Johnson. of all equities and portfolios are less risky than Johnson Johnson. Compared to the overall equity markets, volatility of historical daily returns of Johnson Johnson is lower than 9 () of all global equities and portfolios over the last 90 days.
Use Johnson Johnson to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a normal downward trend and little activity. Check odds of Johnson Johnson to be traded at $163.65 in 90 days. .

Very weak diversification

The correlation between Johnson Johnson and DJI is Very weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Johnson Johnson and DJI in the same portfolio, assuming nothing else is changed.

Johnson Johnson Additional Risk Indicators

The analysis of Johnson Johnson'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 Johnson Johnson's investment and either accepting that risk or mitigating it. Along with some common measures of Johnson Johnson stock'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.
Risk Adjusted Performance(0.09)
Market Risk Adjusted Performance(0.18)
Mean Deviation0.832
Coefficient Of Variation(1,472)
Standard Deviation1.08
Variance1.17
Information Ratio(0.16)
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Johnson Johnson 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.
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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 Johnson Johnson 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. Johnson Johnson'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, Johnson Johnson'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 Johnson Johnson.
Please see Risk vs Return Analysis. Note that the Johnson Johnson information on this page should be used as a complementary analysis to other Johnson Johnson'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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.

Complementary Tools for Johnson Stock analysis

When running Johnson Johnson price analysis, check to measure Johnson Johnson'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 Johnson Johnson is operating at the current time. Most of Johnson Johnson's value examination focuses on studying past and present price action to predict the probability of Johnson Johnson's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Johnson Johnson's price. Additionally, you may evaluate how the addition of Johnson Johnson to your portfolios can decrease your overall portfolio volatility.
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Is Johnson Johnson's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Johnson Johnson. If investors know Johnson will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Johnson Johnson listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Quarterly Earnings Growth YOY
-0.23
Market Capitalization
434.6 B
Quarterly Revenue Growth YOY
0.03
Return On Assets
0.089
Return On Equity
0.25
The market value of Johnson Johnson is measured differently than its book value, which is the value of Johnson that is recorded on the company's balance sheet. Investors also form their own opinion of Johnson Johnson's value that differs from its market value or its book value, called intrinsic value, which is Johnson Johnson's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Johnson Johnson's market value can be influenced by many factors that don't directly affect Johnson Johnson's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Johnson Johnson's value and its price as these two are different measures arrived at by different means. Investors typically determine Johnson Johnson value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Johnson Johnson'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.