JP Morgan Chase (JPM)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return over 5 years of JP Morgan Chase is 55%, which is smaller, thus worse compared to the benchmark SPY (81.9%) in the same period.
• Looking at total return, or performance in of 16.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (46.1%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual performance (CAGR) of 9.2% in the last 5 years of JP Morgan Chase, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.7%)
• Looking at annual return (CAGR) in of 5.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.5%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the volatility of 30.9% in the last 5 years of JP Morgan Chase, we see it is relatively higher, thus worse in comparison to the benchmark SPY (19.8%)
• Compared with SPY (23%) in the period of the last 3 years, the historical 30 days volatility of 36.5% is greater, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of JP Morgan Chase is 21.1%, which is larger, thus worse compared to the benchmark SPY (14.5%) in the same period.
• Compared with SPY (16.8%) in the period of the last 3 years, the downside volatility of 24.9% is larger, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the Sharpe Ratio of 0.22 in the last 5 years of JP Morgan Chase, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.52)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.07, which is lower, thus worse than the value of 0.48 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark SPY (0.7) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.32 of JP Morgan Chase is smaller, thus worse.
• Compared with SPY (0.65) in the period of the last 3 years, the downside risk / excess return profile of 0.1 is smaller, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Downside risk index over 5 years of JP Morgan Chase is 14 , which is larger, thus worse compared to the benchmark SPY (6.08 ) in the same period.
• Compared with SPY (6.77 ) in the period of the last 3 years, the Downside risk index of 17 is greater, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum DrawDown of -43.6 days in the last 5 years of JP Morgan Chase, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -43.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 days).

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 255 days of JP Morgan Chase is greater, thus worse.
• Looking at maximum days below previous high in of 255 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (119 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Looking at the average days below previous high of 60 days in the last 5 years of JP Morgan Chase, we see it is relatively greater, thus worse in comparison to the benchmark SPY (35 days)
• During the last 3 years, the average days below previous high is 70 days, which is higher, thus worse than the value of 27 days from the benchmark.