JPM Dvsd Etf Volatility

JPUS -  USA Etf  

USD 97.39  0.12  0.12%

We consider JPM Dvsd very steady. JPM Dvsd Rtns holds Efficiency (Sharpe) Ratio of 0.0201, which attests that the entity had 0.0201% 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 Dvsd Rtns, which you can use to evaluate the future volatility of the entity. Please check out JPM Dvsd risk adjusted performance of 0.0251, and Market Risk Adjusted Performance of (0.09) to validate if the risk estimate we provide is consistent with the expected return of 0.0133%.

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

360 Days Market Risk

Very steady

Chance of Distress

Very Small

360 Days Economic Sensitivity

Moves indifferently to market moves

JPM Dvsd Market Sensitivity And Downside Risk

JPM Dvsd's beta coefficient measures the volatility of JPM Dvsd 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 Dvsd etf's returns against your selected market. In other words, JPM Dvsd's beta of -0.14 provides an investor with an approximation of how much risk JPM Dvsd etf can potentially add to one of your existing portfolios.
Let's try to break down what JPM Dvsd's beta means in this case. As returns on the market increase, returns on owning JPM Dvsd are expected to decrease at a much lower rate. During the bear market, JPM Dvsd is likely to outperform the market.
3 Months Beta |Analyze JPM Dvsd Rtns Demand Trend
Check current 90 days JPM Dvsd correlation with market (DOW)

JPM Dvsd Beta

    
  -0.14  
JPM Dvsd 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

    
  0.66  
It is essential to understand the difference between upside risk (as represented by JPM Dvsd's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of JPM Dvsd stock's daily returns or price. Since the actual investment returns on holding a position in JPM Dvsd 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 Dvsd.

JPM Dvsd Implied Volatility

    
  0.0  
JPM Dvsd's implied volatility exposes the market's sentiment of JPM Dvsd Rtns stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if JPM Dvsd'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 JPM Dvsd stock will not fluctuate a lot when JPM Dvsd's options near their expiration.

JPM Dvsd Rtns Etf Volatility Analysis

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JPM Dvsd Projected Return Density Against Market

Given the investment horizon of 90 days JPM Dvsd Rtns has a beta of -0.1426 . This indicates as returns on benchmark increase, returns on holding JPM Dvsd are expected to decrease at a much lower rate. During the bear market, however, JPM Dvsd Rtns is likely to outperform the market.
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 Dvsd 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 Dvsd 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 Dvsd 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 0.0187, implying that it can generate a 0.0187 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

JPM Dvsd 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 Dvsd 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 Dvsd 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 Dvsd 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 Dvsd is 4967.42. The daily returns are distributed with a variance of 0.44 and standard deviation of 0.66. The mean deviation of JPM Dvsd Rtns is currently at 0.52. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
0.0187
β
Beta against DOW-0.14
σ
Overall volatility
0.66
Ir
Information ratio -0.03

JPM Dvsd Etf Return Volatility

JPM Dvsd historical daily return volatility represents how much JPM Dvsd 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 0.6614% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7163% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About JPM Dvsd Volatility

Volatility is a rate at which the price of JPM Dvsd 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 Dvsd may increase or decrease. In other words, similar to JPM Dvsd's beta indicator, it measures the risk of JPM Dvsd and helps estimate the fluctuations that may happen in a short period of time. So if prices of JPM Dvsd 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 investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor US Equity Index. JPM Dvsd is traded on NYSEArca Exchange in the United States.

Nearest JPM Dvsd long CALL Option Payoff at Expiration

JPM Dvsd's implied volatility is one of the determining factors in the pricing options written on JPM Dvsd Rtns. Implied volatility approximates the future value of JPM Dvsdusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in JPM Dvsd Rtns over a specific time period.
View All JPM Dvsd options
2021-10-15 CALL at $94.0 is a CALL option contract on JPM Dvsd's common stock with a strick price of 94.0 expiring on 2021-10-15. The contract was not traded in recent days and, as of today, has 18 days remaining before the expiration. The option is currently trading at a bid price of $2.1, and an ask price of $6.9. The implied volatility as of the 28th of September is 14.2695.
 Profit 
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      JPM Dvsd Price At Expiration 

JPM Dvsd Investment Opportunity

DOW has a standard deviation of returns of 0.72 and is 1.09 times more volatile than JPM Dvsd Rtns. of all equities and portfolios are less risky than JPM Dvsd. Compared to the overall equity markets, volatility of historical daily returns of JPM Dvsd Rtns is lower than 5 () of all global equities and portfolios over the last 90 days. Use JPM Dvsd Rtns to enhance returns of your portfolios. The etf experiences a normal upward fluctuation. Check odds of JPM Dvsd to be traded at $102.26 in 90 days. . Let's try to break down what JPM Dvsd's beta means in this case. As returns on the market increase, returns on owning JPM Dvsd are expected to decrease at a much lower rate. During the bear market, JPM Dvsd is likely to outperform the market.

Good diversification

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

JPM Dvsd Additional Risk Indicators

The analysis of JPM Dvsd'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 Dvsd's investment and either accepting that risk or mitigating it. Along with some common measures of JPM Dvsd 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 Performance0.0251
Market Risk Adjusted Performance(0.09)
Mean Deviation0.506
Semi Deviation0.6276
Downside Deviation0.669
Coefficient Of Variation2681.06
Standard Deviation0.6428
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 Dvsd 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 Dvsd 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 Dvsd'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 Dvsd'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 Dvsd Rtns.
Please see Risk vs Return Analysis. Note that the JPM Dvsd Rtns information on this page should be used as a complementary analysis to other JPM Dvsd'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 Stock Screener module to find equities using custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..

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The market value of JPM Dvsd Rtns is measured differently than its book value, which is the value of JPM Dvsd that is recorded on the company's balance sheet. Investors also form their own opinion of JPM Dvsd's value that differs from its market value or its book value, called intrinsic value, which is JPM Dvsd'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 Dvsd's market value can be influenced by many factors that don't directly affect JPM Dvsd Rtns 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 Dvsd's value and its price as these two are different measures arrived at by different means. Investors typically determine JPM Dvsd value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, JPM Dvsd'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.