JPM Diversified Etf Volatility

JPHY -  USA Etf  

USD 52.39  0.05  0.1%

We consider JPM Diversified very steady. JPM Diversified High holds Efficiency (Sharpe) Ratio of 0.0572, which attests that the entity had 0.0572% of return per unit of volatility over the last 3 months. Our approach towards determining the volatility of an etf is to use all available market data together with etf-specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for JPM Diversified High, which you can use to evaluate the future volatility of the entity. Please check out JPM Diversified market risk adjusted performance of 0.0235, and Risk Adjusted Performance of 0.0184 to validate if the risk estimate we provide is consistent with the expected return of 0.0113%.

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JPM Diversified Etf 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 JPM Diversified daily returns, and it is calculated using variance and standard deviation. We also use JPM Diversified's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of JPM Diversified volatility.

720 Days Market Risk

Very steady

Chance of Distress

Very Small

720 Days Economic Sensitivity

Barely shadows the market

JPM Diversified Market Sensitivity And Downside Risk

JPM Diversified's beta coefficient measures the volatility of JPM Diversified etf 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 JPM Diversified etf's returns against your selected market. In other words, JPM Diversified's beta of 0.18 provides an investor with an approximation of how much risk JPM Diversified etf can potentially add to one of your existing portfolios.
Let's try to break down what JPM Diversified's beta means in this case. As returns on the market increase, JPM Diversified returns are expected to increase less than the market. However, during the bear market, the loss on holding JPM Diversified will be expected to be smaller as well.
3 Months Beta |Analyze JPM Diversified High Demand Trend
Check current 90 days JPM Diversified correlation with market (DOW)

JPM Diversified Beta

    
  0.18  
JPM Diversified 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

    
  0.2  
It is essential to understand the difference between upside risk (as represented by JPM Diversified's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of JPM Diversified stock's daily returns or price. Since the actual investment returns on holding a position in JPM Diversified 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 JPM Diversified.

JPM Diversified High Etf Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of JPM Diversified High price series. View also all equity analysis or get more info about median price price transform indicator.

JPM Diversified Projected Return Density Against Market

Given the investment horizon of 90 days JPM Diversified has a beta of 0.176 . This indicates as returns on the market go up, JPM Diversified average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding JPM Diversified High 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 JPM Diversified 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 JPM Diversified stock'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 JPM Diversified 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. JPM Diversified High is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

JPM Diversified Etf 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 JPM Diversified 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 JPM Diversified stock'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 JPM Diversified 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.
Given the investment horizon of 90 days the coefficient of variation of JPM Diversified is 1747.45. The daily returns are distributed with a variance of 0.04 and standard deviation of 0.2. The mean deviation of JPM Diversified High is currently at 0.15. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
-0.0006
β
Beta against DOW0.18
σ
Overall volatility
0.20
Ir
Information ratio -0.07

JPM Diversified Etf Return Volatility

JPM Diversified historical daily return volatility represents how much JPM Diversified stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The ETF inherits 0.1969% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.6251% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About JPM Diversified Volatility

Volatility is a rate at which the price of JPM Diversified 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 JPM Diversified may increase or decrease. In other words, similar to JPM Diversified's beta indicator, it measures the risk of JPM Diversified and helps estimate the fluctuations that may happen in a short period of time. So if prices of JPM Diversified 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.
The investment seeks a high level of income capital appreciation is a secondary objective. JPM Diversified is traded on NYSEArca Exchange in the United States.

JPM Diversified Investment Opportunity

DOW has a standard deviation of returns of 0.63 and is 3.15 times more volatile than JPM Diversified High. of all equities and portfolios are less risky than JPM Diversified. Compared to the overall equity markets, volatility of historical daily returns of JPM Diversified High is lower than 1 () of all global equities and portfolios over the last 90 days. Use JPM Diversified High to protect your portfolios against small market fluctuations. The etf experiences a normal downward trend and little activity. Check odds of JPM Diversified to be traded at $51.87 in 90 days. . Let's try to break down what JPM Diversified's beta means in this case. As returns on the market increase, JPM Diversified returns are expected to increase less than the market. However, during the bear market, the loss on holding JPM Diversified will be expected to be smaller as well.

Poor diversification

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

JPM Diversified Additional Risk Indicators

The analysis of JPM Diversified'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 JPM Diversified's investment and either accepting that risk or mitigating it. Along with some common measures of JPM Diversified stock 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 Performance0.0184
Market Risk Adjusted Performance0.0235
Mean Deviation0.1511
Semi Deviation0.1896
Downside Deviation0.2378
Coefficient Of Variation1575.36
Standard Deviation0.1951
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

JPM Diversified 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 JPM Diversified 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. JPM Diversified'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, JPM Diversified'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 JPM Diversified High.
Please see Risk vs Return Analysis. Note that the JPM Diversified High information on this page should be used as a complementary analysis to other JPM Diversified'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 Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.

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When running JPM Diversified High price analysis, check to measure JPM Diversified'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 JPM Diversified is operating at the current time. Most of JPM Diversified's value examination focuses on studying past and present price action to predict the probability of JPM Diversified's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move JPM Diversified's price. Additionally, you may evaluate how the addition of JPM Diversified to your portfolios can decrease your overall portfolio volatility.
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The market value of JPM Diversified High is measured differently than its book value, which is the value of JPM Diversified that is recorded on the company's balance sheet. Investors also form their own opinion of JPM Diversified's value that differs from its market value or its book value, called intrinsic value, which is JPM Diversified'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 JPM Diversified's market value can be influenced by many factors that don't directly affect JPM Diversified High underlying business (such as pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between JPM Diversified's value and its price as these two are different measures arrived at by different means. Investors typically determine JPM Diversified value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, JPM Diversified'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.