JPMorgan Chase Information Ratio

JPMorgan Chase Co has current Information Ratio of 0.3335. The Information Ratio is the ratio of the alpha component of total returns to the standard deviation of these excess alpha returns. The alpha component is the return that is attributable to the manager skill to time the market and is the residual after taking out the risk free return and the beta components from the total returns. While the Sharpe ratio considers the standard deviation of the total returns, the information ratio considers the variability of only the alpha component of the return (which also forms the numerator). In other words, the information ratio is merely Jensen alpha divided by its standard deviation.
JPMorgan Chase 
INFOR 
 = 
ER[a] - ER[b] 
STD[a] 
 = 
0.3335
ER[a] =   Expected return on investing in JPMorgan Chase
ER[b] =   Expected return on market index or selected benchmark
STD[a] =   Standard Deviation of returns on JPMorgan Chase

Information Ratio Comparison

JPMorgan Chase Co is rated below average in information ratio category among related companies. It is rated below average in maximum drawdown category among related companies reporting about  21.32  of Maximum Drawdown per Information Ratio. The ratio of Maximum Drawdown to Information Ratio for JPMorgan Chase Co is roughly  21.32 
The higher the information ratio, the greater the chances of the manager to make money in the future. The information ratio only looks to compute the return per unit of risk undertaken for the alpha component. This is important because alpha returns are risky, as they represent a zero sum game for the market as a whole. In fact, average alpha for the market as a whole is in practice slightly less than zero because of transaction and other costs. Therefore it is easy for a manager to take on ?alpha risk? and lose money that will bite into the beta returns.
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JPMorgan Chase Co. operates as a financial services company worldwide. more
NameJPMorgan Chase Co
InstrumentUSA Stock
RegionNorth America
ExchangeNew York Stock Exchange
CIK Number0000019617
ISINUS46625H1005
CUSIP46625H100
Analyst Consensus
Piotroski F Score
Macroaxis Advice
Bond Rating
CurrencyUSD - US Dollar