Johnson Johnson Stock Volatility

JNJ Stock  USD 160.45  1.77  1.12%   
We consider Johnson Johnson very steady. Johnson Johnson holds Efficiency (Sharpe) Ratio of 0.13, which attests that the entity had 0.13% return per unit of risk over the last 3 months. Our standpoint towards determining the 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 Johnson Johnson, which you can use to evaluate the future volatility of the firm. Please check out Johnson Johnson's Downside Deviation of 0.8023, risk adjusted performance of 0.0958, and Market Risk Adjusted Performance of 0.1944 to validate if the risk estimate we provide is consistent with the expected return of 0.1%. Key indicators related to Johnson Johnson's volatility include:
360 Days Market Risk
Chance Of Distress
360 Days Economic Sensitivity
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.
  

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.

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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 0.58 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 relatively low volatility with skewness of 0.08 and kurtosis of 1.3. However, we advice investors to further investigate Johnson Johnson to ensure all market statistics is disseminated and is consistent with investors' estimations about Johnson Johnson upside potential. 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 bullish 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.
3 Months Beta |Analyze Johnson Johnson Demand Trend
Check current 90 days Johnson Johnson correlation with market (NYSE Composite)

Johnson Beta

    
  0.58  
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

    
  0.8  
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 2024-02-23

   Profit   
       Johnson Johnson Price At Expiration  

Current Johnson Johnson Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
Put
2024-02-23 PUT at $165.0-0.68680.040922024-02-232.65 - 6.2510.18View
Put
2024-02-23 PUT at $162.5-0.6750.083112024-02-230.9 - 2.952.0View
Put
2024-02-23 PUT at $160.0-0.36290.28311712024-02-230.3 - 0.390.33View
Put
2024-02-23 PUT at $157.5-0.06760.065111082024-02-230.03 - 0.060.06View
Put
2024-02-23 PUT at $155.0-0.01990.017810632024-02-230.01 - 0.230.02View
Put
2024-02-23 PUT at $152.5-0.01480.00992652024-02-230.0 - 0.350.02View
Put
2024-02-23 PUT at $150.0-0.01190.00643602024-02-230.0 - 0.030.02View
Put
2024-02-23 PUT at $147.0-0.00560.0028152024-02-230.0 - 0.20.01View
Put
2024-02-23 PUT at $145.0-0.00490.0022492024-02-230.0 - 0.030.01View
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. This type of volatility can be derived from derivative instruments written on Johnson Johnson'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. 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.
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Johnson Johnson Projected Return Density Against Market

Considering the 90-day investment horizon Johnson Johnson has a beta of 0.5757 . 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 Pharmaceuticals 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 an alpha of 0.0137, implying that it can generate a 0.0137 percent excess return over NYSE Composite after adjusting for the inherited market risk (beta).
   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 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.

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 Pharmaceuticals 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 785.66. The daily returns are distributed with a variance of 0.63 and standard deviation of 0.8. The mean deviation of Johnson Johnson is currently at 0.57. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.63
α
Alpha over NYSE Composite
0.01
β
Beta against NYSE Composite0.58
σ
Overall volatility
0.80
Ir
Information ratio -0.07

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 company has volatility of 0.7954% on return distribution over 90 days investment horizon. By contrast, NYSE Composite accepts 0.6563% 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 2024
Market Capitalization375.4 B404.8 B
Johnson Johnson'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 Johnson Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Johnson Johnson's price varies over time.

3 ways to utilize Johnson Johnson's volatility to invest better

Higher Johnson Johnson's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Johnson Johnson stock 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. Johnson Johnson stock 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 Johnson Johnson investment. A higher volatility means higher risk and potentially larger changes in value.
  • Identifying Opportunities: High volatility in Johnson Johnson's stock 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 Johnson Johnson's stock 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.

Johnson Johnson Investment Opportunity

Johnson Johnson has a volatility of 0.8 and is 1.21 times more volatile than NYSE Composite. 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 7 () of all global equities and portfolios over the last 90 days. Use Johnson Johnson to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a large bullish trend. Check odds of Johnson Johnson to be traded at $176.5 in 90 days.

Very weak diversification

The correlation between Johnson Johnson and NYA is 0.47 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Johnson Johnson and NYA 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.
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.
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.
When determining whether Johnson Johnson is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Johnson Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Johnson Johnson Stock. Highlighted below are key reports to facilitate an investment decision about Johnson Johnson Stock:
Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Johnson Johnson. Also, note that the market value of any Company could be tightly coupled with the direction of predictive economic indicators such as signals in board of governors.
For more information on how to buy Johnson Stock please use our How to buy in Johnson Stock guide.
You can also try the Stocks Directory module to find actively traded stocks across global markets.

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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
0.106
Dividend Share
4.7
Earnings Share
5.2
Revenue Per Share
33.613
Quarterly Revenue Growth
0.073
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 if Johnson Johnson is a good investment 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.