JPMorgan Chase Sortino Ratio

JPMorgan Chase Co has current Sortino Ratio of 0.1763. The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio or strategy. It is a special subset of the Sharpe ratio but penalizes only those returns falling below a user-specified target, or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment risk-adjusted returns, they do so in significantly different ways that will frequently lead to differing conclusions as the true nature of the investment return-generating efficiency.
JPMorgan Chase 
Sortino Ratio 
ER[a] - ER[b] 
ER[a] =   Expected return on investing in JPMorgan Chase
ER[b] =   Expected return on market index or selected benchmark
DD =   Downside Deviation

Sortino Ratio Comparison

JPMorgan Chase Co is rated below average in sortino ratio category among related companies. It is rated below average in maximum drawdown category among related companies reporting about  14.01  of Maximum Drawdown per Sortino Ratio. The ratio of Maximum Drawdown to Sortino Ratio for JPMorgan Chase Co is roughly  14.01 
The Sortino ratio is named after Frank A. Sortino and can be interpreted as the actual rate of return in excess of the investor target rate of return per unit of downside risk
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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
Analyst Consensus
Piotroski F Score
Macroaxis Advice
Bond Rating
CurrencyUSD - US Dollar