JPM 资产分析 - DOR 信号与波动率

Quick 总览

Timeframe	C-C DoR σ (Historical)	H-L DoR σ (Historical)	O-C DoR σ (Historical)	5Y ATRP (Avg)	Binomial IV (Period)	Yahoo IV (Period)	1σ 低er (68.27%)	1σ Upper	2σ 低er (95.45%)	2σ Upper
日度	2.21%	1.95%	1.89%	2.13%	1.61%	1.69%	303.35	313.29	298.50	318.38
周度	4.83%	4.98%	4.71%	4.99%	3.55%	3.73%	297.54	319.41	287.17	330.94
月度	8.91%	11.69%	9.35%	10.85%	7.38%	7.76%	286.34	331.90	265.96	357.34
季度	14.86%	22.52%	16.92%	19.02%	12.79%	13.43%	271.27	350.34	238.71	398.13
Annual	—	—	—	—	25.58%	26.87%	238.71	398.13	184.84	514.16
Option Time Horizon	—	—	—	—	9.75%	10.24%	279.65	339.84	253.68	374.63

Calculation Notes: Computed at 2026-04-26T02:44 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $308.28 | Strike (K): $310.00 (first OTM call ≥ spot) | Observed Mid-价格: $11.5000 (Bid $11.1000 / Ask $11.9000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 1.89% | Binomial IV (Annual): 25.58% (CRR binomial tree, American, n=20 steps) | BS IV: 25.54% (European Black-Scholes) | Yahoo IV (Annual): 26.87% → period-scaled as σ_period = σ_annual·√h | 价格 bands: Upper = S·e^+σ√h, 低er = S·e^−σ√h

Historical Dividend Payouts

Ex-Dividend Date	Amount
2026-04-06	$1.5000
2026-01-06	$1.5000
2025-10-06	$1.5000
2025-07-03	$1.4000
2025-04-04	$1.4000
2025-01-06	$1.2500
2024-10-04	$1.2500
2024-07-05	$1.1500
2024-04-04	$1.1500
2024-01-04	$1.0500
2023-10-05	$1.0500
2023-07-05	$1.0000
2023-04-05	$1.0000
2023-01-05	$1.0000
2022-10-05	$1.0000
2022-07-05	$1.0000
2022-04-05	$1.0000
2022-01-05	$1.0000
2021-10-05	$1.0000
2021-07-02	$0.9000
2021-04-05	$0.9000
2021-01-05	$0.9000
2020-10-05	$0.9000
2020-07-02	$0.9000
2020-04-03	$0.9000
2020-01-03	$0.9000
2019-10-03	$0.9000
2019-07-03	$0.8000
2019-04-04	$0.8000
2019-01-03	$0.8000
2018-10-04	$0.8000
2018-07-05	$0.5600
2018-04-05	$0.5600
2018-01-04	$0.5600
2017-10-05	$0.5600
2017-07-03	$0.5000
2017-04-04	$0.5000
2017-01-04	$0.4800
2016-10-04	$0.4800
2016-07-01	$0.4800
2016-04-04	$0.4400
2016-01-04	$0.4400
2015-10-02	$0.4400
2015-07-01	$0.4400
2015-04-01	$0.4000
2015-01-02	$0.4000
2014-10-02	$0.4000
2014-07-01	$0.4000
2014-04-02	$0.3800
2014-01-02	$0.3800
2013-10-02	$0.3800
2013-07-02	$0.3800
2013-04-03	$0.3000
2013-01-02	$0.3000
2012-10-03	$0.3000
2012-07-03	$0.3000
2012-04-03	$0.3000
2012-01-04	$0.2500
2011-10-04	$0.2500
2011-07-01	$0.2500
2011-04-04	$0.2500
2011-01-04	$0.0500
2010-10-04	$0.0500
2010-07-01	$0.0500
2010-04-01	$0.0500
2010-01-04	$0.0500
2009-10-02	$0.0500
2009-07-01	$0.0500
2009-04-02	$0.0500
2009-01-02	$0.3800
2008-10-02	$0.3800
2008-07-01	$0.3800
2008-04-02	$0.3800
2008-01-02	$0.3800
2007-10-03	$0.3800
2007-07-03	$0.3800
2007-04-03	$0.3400
2007-01-03	$0.3400
2006-10-04	$0.3400
2006-07-03	$0.3400
2006-04-04	$0.3400
2006-01-04	$0.3400
2005-10-04	$0.3400
2005-07-01	$0.3400
2005-04-04	$0.3400
2005-01-04	$0.3400
2004-10-04	$0.3400
2004-07-01	$0.3400
2004-04-02	$0.3400
2004-01-02	$0.3400
2003-10-02	$0.3400
2003-07-01	$0.3400
2003-04-02	$0.3400
2003-01-02	$0.3400
2002-10-02	$0.3400
2002-07-02	$0.3400
2002-04-03	$0.3400
2002-01-02	$0.3400
2001-10-03	$0.3400
2001-07-03	$0.3400
2001-04-04	$0.3400
2001-01-03	$0.3200
2000-10-04	$0.3200
2000-07-03	$0.3200
2000-04-04	$0.3200
2000-01-04	$0.2733
1999-10-04	$0.2733
1999-07-01	$0.2733
1999-04-01	$0.2733
1999-01-04	$0.2400
1998-10-02	$0.2400
1998-07-01	$0.2400
1998-04-02	$0.2400
1998-01-02	$0.2067
1997-10-02	$0.2067
1997-07-01	$0.2067
1997-04-02	$0.2067
1997-01-02	$0.1867
1996-10-02	$0.1867
1996-07-02	$0.1867
1996-04-02	$0.0623
1996-01-03	$0.1667
1995-10-04	$0.1667
1995-07-03	$0.1667
1995-03-31	$0.1467
1994-12-30	$0.1467
1994-09-30	$0.1467
1994-06-29	$0.1267
1994-03-30	$0.1267
1993-12-31	$0.1267
1993-09-30	$0.1100
1993-06-29	$0.1100
1993-03-31	$0.1100
1992-12-30	$0.1000
1992-09-30	$0.1000
1992-06-29	$0.1000
1992-03-31	$0.1000
1991-12-23	$0.0163
1991-12-09	$0.0833
1991-09-09	$0.0833
1991-06-10	$0.0833
1991-03-11	$0.0833
1990-12-10	$0.0833
1990-09-10	$0.2267
1990-06-11	$0.2267
1990-03-09	$0.2267
1989-12-11	$0.2267
1989-09-11	$0.2267
1989-06-09	$0.2267
1989-03-09	$0.2267
1988-12-09	$0.2267
1988-09-09	$0.2267
1988-06-09	$0.2267
1988-03-09	$0.2267
1987-12-09	$0.2267
1987-09-09	$0.2267
1987-06-09	$0.2267
1987-03-09	$0.2267
1986-12-09	$0.2167
1986-09-09	$0.2167
1986-06-09	$0.2167
1986-03-10	$0.2167
1985-12-09	$0.2067
1985-09-09	$0.2067
1985-06-10	$0.2067
1985-03-11	$0.2067
1984-12-10	$0.1967
1984-09-10	$0.1967
1984-06-11	$0.1967
1984-03-09	$0.1967

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.44. Further, an Excess 峰度 of 14.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.54%	75	0.65%	0.65%
-6.54% to -4.89%	92	0.79%	1.44%
-4.89% to -3.23%	357	3.07%	4.51%
-3.23% to -1.58%	1237	10.65%	15.15%
-1.58% to 0.07%	4290	36.92%	52.07%
0.07% to 1.73%	3868	33.29%	85.36%
1.73% to 3.38%	1154	9.93%	95.29%
3.38% to 5.03%	338	2.91%	98.20%
5.03% to 6.69%	101	0.87%	99.07%
Greater than 6.69%	108	0.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.13%	2.28%	79.99%	68.27%
±2σ	-4.34%	4.48%	95.46%	95.45%
±3σ	-6.54%	6.69%	98.43%	99.73%

Descriptive Statistics

均值	0.073%
Standard Error	0.020%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.205%
Sample Variance	4.863%
峰度	14.40
偏度	0.44
Range	52.816%
Minimum	-27.719%
Maximum	25.097%
Count	11620

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.550%	5704	49.09%	0.761%
负向	-1.462%	5467	47.05%	-0.688%
Zero	0.000%	449	3.86%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	1.75%
20	1 Month	2.17%
60	1 Quarter	2.47%
250	1 Year	2.05%
750	3 Years	1.97%
1,250	5 Years	2.13%
2,500	10 Years	2.14%
5,000	20 Years	2.57%
12,500	50 Years	2.65%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 4.30. Further, an Excess 峰度 of 36.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.37%	0	0.00%	0.00%
-3.37% to -1.90%	0	0.00%	0.00%
-1.90% to -0.44%	0	0.00%	0.00%
-0.44% to 1.03%	1232	10.60%	10.60%
1.03% to 2.49%	6381	54.91%	65.51%
2.49% to 3.95%	2468	21.24%	86.75%
3.95% to 5.42%	867	7.46%	94.21%
5.42% to 6.88%	345	2.97%	97.18%
6.88% to 8.35%	127	1.09%	98.27%
Greater than 8.35%	201	1.73%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.54%	4.44%	89.69%	68.27%
±2σ	-1.41%	6.39%	96.51%	95.45%
±3σ	-3.37%	8.35%	98.27%	99.73%

Descriptive Statistics

均值	2.490%
Standard Error	0.018%
中位数	1.968%
Mode	2.326%
Standard Deviation	1.952%
Sample Variance	3.810%
峰度	36.09
偏度	4.30
Range	38.122%
Minimum	0.228%
Maximum	38.350%
Count	11621

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.490%	11621	100.00%	2.490%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.73. Further, an Excess 峰度 of 24.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.65%	89	0.77%	0.77%
-5.65% to -4.24%	103	0.89%	1.65%
-4.24% to -2.82%	330	2.84%	4.49%
-2.82% to -1.41%	1197	10.30%	14.79%
-1.41% to 0.01%	4415	37.99%	52.78%
0.01% to 1.42%	3702	31.86%	84.64%
1.42% to 2.84%	1235	10.63%	95.27%
2.84% to 4.25%	355	3.05%	98.32%
4.25% to 5.67%	119	1.02%	99.35%
Greater than 5.67%	76	0.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.88%	1.89%	79.93%	68.27%
±2σ	-3.76%	3.78%	95.35%	95.45%
±3σ	-5.65%	5.66%	98.58%	99.73%

Descriptive Statistics

均值	0.007%
Standard Error	0.017%
中位数	0.000%
Mode	0.000%
Standard Deviation	1.886%
Sample Variance	3.558%
峰度	24.54
偏度	0.73
Range	56.762%
Minimum	-18.412%
Maximum	38.350%
Count	11621

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.316%	5489	47.23%	0.622%
负向	-1.282%	5567	47.91%	-0.614%
Zero	0.000%	565	4.86%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.50. Further, an Excess 峰度 of 8.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.14%	17	0.71%	0.71%
-14.14% to -10.51%	22	0.91%	1.62%
-10.51% to -6.89%	90	3.74%	5.36%
-6.89% to -3.27%	281	11.68%	17.04%
-3.27% to 0.35%	782	32.50%	49.54%
0.35% to 3.98%	823	34.21%	83.75%
3.98% to 7.60%	272	11.31%	95.05%
7.60% to 11.22%	71	2.95%	98.00%
11.22% to 14.84%	28	1.16%	99.17%
Greater than 14.84%	20	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.48%	5.18%	77.85%	68.27%
±2σ	-9.31%	10.01%	95.22%	95.45%
±3σ	-14.14%	14.84%	98.46%	99.73%

Descriptive Statistics

均值	0.353%
Standard Error	0.098%
中位数	0.404%
Mode	0.000%
Standard Deviation	4.830%
Sample Variance	23.325%
峰度	8.12
偏度	0.50
Range	75.152%
Minimum	-29.932%
Maximum	45.220%
Count	2406

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.447%	1297	53.91%	1.858%
负向	-3.367%	1076	44.72%	-1.506%
Zero	0.000%	33	1.37%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	5.10%
12	1 Quarter	5.80%
52	1 Year	4.71%
156	3 Years	4.63%
260	5 Years	4.99%
520	10 Years	4.99%
1,040	20 Years	5.96%
2,600	50 Years	6.32%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 3.82. Further, an Excess 峰度 of 25.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.41%	0	0.00%	0.00%
-8.41% to -4.68%	0	0.00%	0.00%
-4.68% to -0.94%	0	0.00%	0.00%
-0.94% to 2.79%	274	11.38%	11.38%
2.79% to 6.52%	1289	53.55%	64.94%
6.52% to 10.26%	532	22.10%	87.04%
10.26% to 13.99%	169	7.02%	94.06%
13.99% to 17.72%	72	2.99%	97.05%
17.72% to 21.46%	26	1.08%	98.13%
Greater than 21.46%	45	1.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.54%	11.50%	89.45%	68.27%
±2σ	-3.43%	16.48%	96.22%	95.45%
±3σ	-8.41%	21.46%	98.13%	99.73%

Descriptive Statistics

均值	6.523%
Standard Error	0.101%
中位数	5.172%
Mode	8.333%
Standard Deviation	4.978%
Sample Variance	24.780%
峰度	25.59
偏度	3.82
Range	66.925%
Minimum	1.181%
Maximum	68.106%
Count	2407

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.523%	2407	100.00%	6.523%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.92. Further, an Excess 峰度 of 8.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.09%	12	0.50%	0.50%
-14.09% to -10.56%	19	0.79%	1.29%
-10.56% to -7.04%	70	2.91%	4.20%
-7.04% to -3.51%	297	12.34%	16.54%
-3.51% to 0.02%	907	37.68%	54.22%
0.02% to 3.55%	706	29.33%	83.55%
3.55% to 7.08%	260	10.80%	94.35%
7.08% to 10.61%	89	3.70%	98.05%
10.61% to 14.14%	26	1.08%	99.13%
Greater than 14.14%	21	0.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.68%	4.73%	77.98%	68.27%
±2σ	-9.39%	9.43%	95.35%	95.45%
±3σ	-14.09%	14.14%	98.63%	99.73%

Descriptive Statistics

均值	0.022%
Standard Error	0.096%
中位数	-0.301%
Mode	0.000%
Standard Deviation	4.705%
Sample Variance	22.140%
峰度	8.46
偏度	0.92
Range	70.957%
Minimum	-27.268%
Maximum	43.689%
Count	2407

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.552%	1106	45.95%	1.632%
负向	-3.056%	1268	52.68%	-1.610%
Zero	0.000%	33	1.37%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.23. Further, an Excess 峰度 of 1.61 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.29%	6	1.08%	1.08%
-25.29% to -18.61%	7	1.27%	2.35%
-18.61% to -11.93%	21	3.80%	6.15%
-11.93% to -5.25%	66	11.93%	18.08%
-5.25% to 1.43%	178	32.19%	50.27%
1.43% to 8.11%	168	30.38%	80.65%
8.11% to 14.79%	72	13.02%	93.67%
14.79% to 21.48%	25	4.52%	98.19%
21.48% to 28.16%	8	1.45%	99.64%
Greater than 28.16%	2	0.36%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.47%	10.34%	75.05%	68.27%
±2σ	-16.38%	19.25%	93.67%	95.45%
±3σ	-25.29%	28.16%	98.55%	99.73%

Descriptive Statistics

均值	1.433%
Standard Error	0.379%
中位数	1.331%
Mode	-0.991%
Standard Deviation	8.908%
Sample Variance	79.350%
峰度	1.61
偏度	-0.23
Range	67.591%
Minimum	-34.677%
Maximum	32.914%
Count	553

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.238%	312	56.42%	4.084%
负向	-6.108%	240	43.40%	-2.651%
Zero	0.000%	1	0.18%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	10.02%
12	1 Year	9.71%
36	3 Years	10.32%
60	5 Years	10.85%
120	10 Years	11.08%
240	20 Years	12.80%
600	50 Years	13.87%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 3.69. Further, an Excess 峰度 of 20.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.66%	0	0.00%	0.00%
-19.66% to -10.89%	0	0.00%	0.00%
-10.89% to -2.12%	0	0.00%	0.00%
-2.12% to 6.65%	47	8.48%	8.48%
6.65% to 15.41%	329	59.39%	67.87%
15.41% to 24.18%	112	20.22%	88.09%
24.18% to 32.95%	34	6.14%	94.22%
32.95% to 41.72%	14	2.53%	96.75%
41.72% to 50.48%	7	1.26%	98.01%
Greater than 50.48%	11	1.99%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.72%	27.10%	90.79%	68.27%
±2σ	-7.96%	38.80%	95.85%	95.45%
±3σ	-19.66%	50.48%	98.01%	99.73%

Descriptive Statistics

均值	15.415%
Standard Error	0.497%
中位数	12.500%
Mode	7.206%
Standard Deviation	11.690%
Sample Variance	136.652%
峰度	20.10
偏度	3.69
Range	112.508%
Minimum	3.338%
Maximum	115.846%
Count	554

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.415%	554	100.00%	15.415%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.30. Further, an Excess 峰度 of 4.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.31%	0	0.00%	0.00%
-28.31% to -21.30%	3	0.54%	0.54%
-21.30% to -14.29%	20	3.61%	4.15%
-14.29% to -7.27%	87	15.70%	19.86%
-7.27% to -0.26%	190	34.30%	54.15%
-0.26% to 6.75%	167	30.14%	84.30%
6.75% to 13.77%	53	9.57%	93.86%
13.77% to 20.78%	16	2.89%	96.75%
20.78% to 27.79%	8	1.44%	98.19%
Greater than 27.79%	10	1.81%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.61%	9.09%	77.62%	68.27%
±2σ	-18.96%	18.44%	95.67%	95.45%
±3σ	-28.31%	27.79%	98.19%	99.73%

Descriptive Statistics

均值	-0.260%
Standard Error	0.397%
中位数	-0.953%
Mode	0.000%
Standard Deviation	9.350%
Sample Variance	87.423%
峰度	4.53
偏度	1.30
Range	78.279%
Minimum	-25.193%
Maximum	53.086%
Count	554

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.151%	249	44.95%	3.214%
负向	-6.394%	301	54.33%	-3.474%
Zero	0.000%	4	0.72%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.08. Further, an Excess 峰度 of 1.78 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.35%	1	0.54%	0.54%
-40.35% to -29.21%	2	1.09%	1.63%
-29.21% to -18.07%	7	3.80%	5.43%
-18.07% to -6.92%	24	13.04%	18.48%
-6.92% to 4.22%	61	33.15%	51.63%
4.22% to 15.36%	52	28.26%	79.89%
15.36% to 26.51%	26	14.13%	94.02%
26.51% to 37.65%	9	4.89%	98.91%
37.65% to 48.79%	1	0.54%	99.46%
Greater than 48.79%	1	0.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.64%	19.08%	71.20%	68.27%
±2σ	-25.50%	33.94%	95.65%	95.45%
±3σ	-40.35%	48.79%	98.91%	99.73%

Descriptive Statistics

均值	4.219%
Standard Error	1.095%
中位数	3.825%
Mode	8.552%
Standard Deviation	14.858%
Sample Variance	220.747%
峰度	1.78
偏度	-0.08
Range	113.052%
Minimum	-54.630%
Maximum	58.422%
Count	184

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.273%	119	64.67%	7.937%
负向	-10.526%	65	35.33%	-3.718%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	16.45%
12	3 Years	19.18%
20	5 Years	19.02%
40	10 Years	19.74%
80	20 Years	21.39%
200	50 Years	23.77%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 3.13. Further, an Excess 峰度 of 11.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -38.85%	0	0.00%	0.00%
-38.85% to -21.96%	0	0.00%	0.00%
-21.96% to -5.07%	0	0.00%	0.00%
-5.07% to 11.82%	12	6.49%	6.49%
11.82% to 28.71%	118	63.78%	70.27%
28.71% to 45.60%	33	17.84%	88.11%
45.60% to 62.49%	10	5.41%	93.51%
62.49% to 79.38%	3	1.62%	95.14%
79.38% to 96.27%	4	2.16%	97.30%
Greater than 96.27%	5	2.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.19%	51.23%	90.81%	68.27%
±2σ	-16.33%	73.75%	95.14%	95.45%
±3σ	-38.85%	96.27%	97.30%	99.73%

Descriptive Statistics

均值	28.713%
Standard Error	1.656%
中位数	22.511%
Mode	7.007%
Standard Deviation	22.520%
Sample Variance	507.149%
峰度	11.85
偏度	3.13
Range	147.538%
Minimum	7.007%
Maximum	154.545%
Count	185

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	28.713%	185	100.00%	28.713%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 2.76. Further, an Excess 峰度 of 16.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -51.65%	0	0.00%	0.00%
-51.65% to -38.95%	0	0.00%	0.00%
-38.95% to -26.26%	3	1.62%	1.62%
-26.26% to -13.57%	28	15.14%	16.76%
-13.57% to -0.88%	77	41.62%	58.38%
-0.88% to 11.82%	48	25.95%	84.32%
11.82% to 24.51%	20	10.81%	95.14%
24.51% to 37.20%	4	2.16%	97.30%
37.20% to 49.89%	3	1.62%	98.92%
Greater than 49.89%	2	1.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.80%	16.05%	78.92%	68.27%
±2σ	-34.72%	32.97%	96.22%	95.45%
±3σ	-51.64%	49.89%	98.92%	99.73%

Descriptive Statistics

均值	-0.876%
Standard Error	1.244%
中位数	-3.035%
Mode	-35.366%
Standard Deviation	16.923%
Sample Variance	286.403%
峰度	16.58
偏度	2.76
Range	160.057%
Minimum	-35.366%
Maximum	124.691%
Count	185

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.172%	69	37.30%	5.286%
负向	-9.913%	115	62.16%	-6.162%
Zero	0.000%	1	0.54%	0.000%

JPM 深度分析报告