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Analyzing Realized and Bi-Power Beta Contributions of JPM and BAC

This report delves into the realized and bi-power beta metrics of JPMorgan Chase (JPM) and Bank of America (BAC), highlighting the relative contributions of price jumps to overall performance. It compares realized covariances and bi-power covariances of both JPM and BAC against the SPFU index. The analysis further explores the realized risks associated with both institutions, providing valuable insights for investors and analysts interested in understanding market dynamics and risk exposure in relation to significant price movements.

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Analyzing Realized and Bi-Power Beta Contributions of JPM and BAC

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Presentation Transcript

  1. Beta By Hao Sun

  2. JPM: Realized Beta

  3. JPM: Bi-Power Beta

  4. JPM Beta: Relative Contribution of Jumps

  5. Price Jump: Merger

  6. Realized vs. Bi-power Beta

  7. JPM: Realized Beta

  8. JPM: Bi-Power Beta

  9. JPM Beta: Relative Contribution of Jumps

  10. Realized vs. Bi-Power Beta

  11. JPM&SPFU: Realized Covariance (w/o 0’s) 326.74

  12. JPM&SPFU: Bi-Power Covariance (w/o 0’s) 319.31

  13. Relative Contribution of Jumps

  14. BAC&SPFU: Realize Covariance

  15. BAC&SPFU: Bi-Power Covariance

  16. Relative Contribution of Jumps

  17. BAC: Realized Beta

  18. BAC: Bi-Power Beta

  19. BAC Beta: Relative Contribution of Jumps

  20. Realized vs. Bi-Power Beta

  21. BAC: Realized Risks

  22. BAC: Bi-Power Risks

  23. JPM: Realized Risks

  24. JPM: Bi-Power Risks

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