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.'

• Looking at the total return, or performance of 89.1% in the last 5 years of JP Morgan Chase, we see it is relatively larger, thus better in comparison to the benchmark SPY (85.9%)
• Looking at total return, or performance in of 14% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (42.4%).

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 13.6% in the last 5 years of JP Morgan Chase, we see it is relatively larger, thus better in comparison to the benchmark SPY (13.2%)
• Looking at compounded annual growth rate (CAGR) in of 4.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (12.5%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the historical 30 days volatility of 29.7% of JP Morgan Chase is greater, thus worse.
• Looking at historical 30 days volatility in of 34.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22.5%).

DownVol:

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

• Compared with the benchmark SPY (13.7%) in the period of the last 5 years, the downside risk of 20.4% of JP Morgan Chase is greater, thus worse.
• During the last 3 years, the downside risk is 23.8%, which is greater, thus worse than the value of 16.5% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.57) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.37 of JP Morgan Chase is lower, thus worse.
• Looking at Sharpe Ratio in of 0.06 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.44).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.78) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.54 of JP Morgan Chase is lower, thus worse.
• Compared with SPY (0.6) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.08 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 13 , which is higher, thus worse compared to the benchmark SPY (5.81 ) in the same period.
• Compared with SPY (7.11 ) in the period of the last 3 years, the Downside risk index of 15 is higher, 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 drop from peak to valley 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 Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

• Looking at the maximum days below previous high of 205 days in the last 5 years of JP Morgan Chase, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
• During the last 3 years, the maximum time in days below previous high water mark is 205 days, which is higher, thus worse than the value of 139 days from the benchmark.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. 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.'

• Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average days under water of 60 days of JP Morgan Chase is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 61 days, which is higher, thus worse than the value of 45 days from the benchmark.