JPMorgan Chase Treynor Ratio

JPM Stock  USD 200.30  0.78  0.39%   
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JPMorgan Chase Co has current Treynor Ratio of 0.3349. The Treynor is the 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].

Treynor Ratio

 = 

ER[a] - RFR

BETA

 = 
0.3349
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

JPMorgan Chase Treynor Ratio Peers Comparison

JPMorgan Treynor Ratio Relative To Other Indicators

JPMorgan Chase Co is currently regarded as number one stock in treynor ratio category among related companies. It is currently under evaluation in maximum drawdown category among related companies reporting about  11.83  of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for JPMorgan Chase Co is roughly  11.83 
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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