JPMorgan Chase Treynor Ratio

JPMorgan Chase Co has current Treynor Ratio of 0.6363. The Treynor is reward-to-volatility ratio that expresses the excess return to the beta of the equity or portfolio. It is similar to the Sharpe ratio, but instead of using volatility in the denominator, it uses the beta of equity or portfolio. Therefore the Treynor Ratio is calculated as [(Portfolio return - Risk free return)/Beta].
JPMorgan Chase 
Treynor Ratio 
 = 
ER[a] - RFR 
BETA 
 = 
0.6363
ER[a] =   Expected return on investing in JPMorgan Chase
BETA =   Beta coefficient between JPMorgan Chase and the market
RFR =   Risk Free Rate of return. Typically T-Bill Rate

Treynor Ratio Comparison

JPMorgan Chase Co is rated below average in treynor ratio category among related companies. It is rated below average in maximum drawdown category among related companies reporting about  11.18  of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for JPMorgan Chase Co is roughly  11.18 
This ratio was developed by Jack Treynor to measure how well an investment has compensated its investors given its level of risk. The Treynor ratio relies on beta, which measures an investment sensitivity to market movements, to gauge risk. The premise underlying the Treynor ratio is that systematic risk--the kind of risk that is inherent to the entire market (represented by beta)--should be penalized because it cannot be diversified away.
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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