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I found this in my back yard. I’m just wondering if I should be worried. Thanks.
That would be a Japanese beetle and they are harmless to humans but if you have pets around I'd keep an eye out. According to Wikipedia, they are a species of scarab beetles that originated in Japan where they are not destructive. However, in North America and some parts of Europe, they are known to be pests and can particularly ruin 300 species of plants like rose bushes, grapes, hops, birch trees, and others.
There are traps made specifically to target these types of beetles but some say these traps can make the situation worse. The damage these beetles do is mostly cosmetic so your plants won't die or catch a disease. The most effective method to manage them would be physical removal. Whenever you spot them you can knock them off and into some soapy water to kill them.
There is also a list of plants they won't go near which can be worth planting if you're worried about aesthetics. They're not fans of geranium, Ginko, red and silver maple, oak, common lilac, and chrysanthemums to list a few.