HDFC Bank vs JPMorgan Chase (HDFCBANK vs JPM) 2026: Stock Returns, Risk & Volatility

Q: Which is a better investment: HDFCBANK or JPM?

Over the past year, JPM looks like the better investment: it had higher total return (JPM +20.4% vs HDFCBANK -29.4%) and a higher Sharpe ratio (JPM 0.80 vs HDFCBANK -1.56). On risk, JPM was less volatile (JPM 23.2% vs HDFCBANK 24.2%), JPM had a smaller max drawdown (JPM -15.5% vs HDFCBANK -34.1%), and JPM had less severe losses on the worst 5% of days (Expected Shortfall of JPM -3.47% vs HDFCBANK -3.86%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Returns shown in USD.

Quick answer

Which is a better investment: HDFCBANK or JPM?

Over the past year, JPM outperformed HDFCBANK. JPM returned +20.4% compared with HDFCBANK’s -29.4%. JPM had the better risk-adjusted return, with a Sharpe ratio of 0.80 versus HDFCBANK’s -1.56. JPM was less volatile than HDFCBANK, and JPM had a smaller max drawdown than HDFCBANK.

Total Return

HDFCBANK -29.4%

JPM +20.4%

Sharpe Ratio

HDFCBANK -1.56

JPM 0.80

Annualized Volatility

HDFCBANK 24.2%

JPM 23.2%

Max Drawdown

HDFCBANK -34.1%

JPM -15.5%

Metric winners: Total Return: JPM; Sharpe Ratio: JPM; Annualized Volatility: JPM (less volatile); Max Drawdown: JPM (smaller drawdown).

HDFCBANK Total Return

↓ -29.4%

JPM Total Return

↑ +20.4%

Relative Performance of HDFCBANK vs JPM (Normalized to 100)

HDFCBANK JPM

Normalized to 100 at start date for comparison

Trade HDFCBANK or JPM

Access these assets on trusted platforms.

Hyperliquid

Trade perpetual futures exposure where supportedHDFCBANKJPMTrade on Hyperliquid

Binance

Trade futures exposure on a global exchange where supportedHDFCBANKJPMTrade on Binance

Affiliate disclosure

Key Takeaways

Total Return: HDFCBANK delivered a -29.4% total return, while JPM returned +20.4% over the same period. JPM outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): HDFCBANK had a negative Sharpe (-1.56) while JPM was positive (0.80), indicating JPM had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): HDFCBANK was more volatile, with 24.2% annualized volatility, versus 23.2% for JPM.
Maximum Drawdown: JPM's maximum drawdown was -15.5%, while HDFCBANK experienced a deeper drawdown of -34.1%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), HDFCBANK's VaR was -2.41% and its Expected Shortfall (CVaR) was -3.86%; JPM's were -2.50% and -3.47%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: HDFCBANK -0.23 vs JPM -0.47. Excess kurtosis: HDFCBANK 2.57 vs JPM 0.91. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): HDFCBANK 8/7, JPM 8/6. Worst day: HDFCBANK -6.19% (2026-03-19) vs JPM -4.66% (2025-12-09). Best day: HDFCBANK +5.66% (2026-04-08) vs JPM +4.09% (2026-04-01).
Risk ratios: Sortino - HDFCBANK: -2.04 vs. JPM: 1.11 , Calmar - HDFCBANK: -0.86 vs. JPM: 1.32 , Sterling - HDFCBANK: -0.98 vs. JPM: 1.08 , Treynor - HDFCBANK: -1.39 vs. JPM: 0.24 , Ulcer Index - HDFCBANK: 20.63% vs. JPM: 6.42%

Investment Comparison

If you invested $10,000 in each asset on August 29, 2025:

HDFCBANK $7,059.56 -29.4%

JPM $12,036.31 +20.4%

Difference: $4,976.75 (JPM ahead)

HDFC Bank vs JPMorgan Chase Performance Over Time

Metric	HDFCBANK	JPM
30 Days	-3.6%	3.7%
90 Days	-1.1%	19.5%
180 Days	-21.4%	19.7%
1 Year	-29.4%	20.4%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

HDFC Bank vs JPMorgan Chase Correlation

Average Correlation

weakly correlated

0.03

Current (30-day) -0.15

30-day rolling range -0.58 to +0.41

HDFC Bank and JPMorgan Chase are weakly correlated over the past year. With a correlation of 0.03, these assets show meaningful independence, offering diversification benefits when held together.

For portfolio construction, this weak correlation suggests that combining HDFCBANK and JPM could reduce overall portfolio variance. However, correlations can increase during market stress.

Metric	Value
Current (30-day)	-0.15
Average (full period)	0.03
Minimum (30-day rolling)	-0.58
Maximum (30-day rolling)	0.41

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

HDFCBANK

-34.1%

JPM

-15.5%

HDFC Bank experienced its maximum drawdown of -34.1% from 2025-10-23 to 2026-08-27. It has not yet recovered to its previous peak.

JPMorgan Chase experienced its maximum drawdown of -15.5% from 2026-01-06 to 2026-03-27. It took 82 days to recover.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

HDFC Bank vs JPMorgan Chase Volatility (HDFCBANK vs JPM)

HDFCBANK Volatility

24.2%

±1.53% 1-day vol

JPM Volatility

23.2%

±1.46% 1-day vol

1-day volatility (1σ)

HDFCBANK

±1.53%

JPM

±1.46%

HDFC Bank's 24.2% annualized volatility translates to about ±1.53% one-standard-deviation daily volatility.

JPMorgan Chase's 23.2% annualized volatility translates to about ±1.46% one-standard-deviation daily volatility.

HDFCBANK had the wider volatility profile over this window. That means its day-to-day return distribution was broader; JPM was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of HDFCBANK and JPM

Sharpe Ratio: HDFCBANK vs. JPM

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. HDFCBANK had a negative Sharpe (-1.56) while JPM was positive (0.80), indicating JPM had meaningfully better risk-adjusted performance in this period.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of HDFCBANK and JPM

Sortino Ratio: HDFCBANK vs. JPM

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). JPM had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: HDFCBANK 18.5% vs JPM 16.7%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of HDFCBANK and JPM

Calmar Ratio: HDFCBANK vs. JPM

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. JPM posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of HDFCBANK and JPM

Sterling Ratio: HDFCBANK vs. JPM

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). JPM posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of HDFCBANK and JPM

Treynor Ratio: HDFCBANK vs. JPM

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. JPM posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of HDFCBANK and JPM

Ulcer Index: HDFCBANK vs. JPM

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. JPM had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): HDFC Bank vs. JPMorgan Chase

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: HDFCBANK vs. JPM (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	HDFCBANK	JPM
5% VaR (daily log return)	-2.41%	-2.50%
5% Expected Shortfall (CVaR)	-3.86% (worst 12 days)	-3.47% (worst 12 days)
Skew	-0.23	-0.47
Excess kurtosis	2.57	0.91
2σ tail days (down / up)	8 / 7	8 / 6
Worst day	-6.19% (2026-03-19)	-4.66% (2025-12-09)
Best day	+5.66% (2026-04-08)	+4.09% (2026-04-01)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=238). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: HDFCBANK vs. JPM (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both HDFCBANK and JPM crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both HDFCBANK and JPM had a big down day (2σ)

Date (interval)	HDFCBANK	JPM
2026-03-25 → 2026-03-27	-3.35%	-4.26%

Days when HDFCBANK had a big down day

Date (interval)	HDFCBANK	JPM
2026-03-19	-6.19%	+0.08%
2026-03-20 → 2026-03-23	-5.48%	+1.17%
2026-03-25 → 2026-03-27	-3.35%	-4.26%
2026-03-27 → 2026-03-30	-3.74%	+0.33%
2026-04-10 → 2026-04-13	-4.04%	+1.23%
2026-05-27	-3.26%	-2.43%
2026-07-17 → 2026-07-20	-4.76%	-0.65%
2026-08-27	-4.16%	-0.64%

Days when JPM had a big down day

Date (interval)	HDFCBANK	JPM
2025-09-05	+0.09%	-3.11%
2025-11-13	-0.43%	-3.41%
2025-12-09	-0.81%	-4.66%
2026-01-13	+0.16%	-4.19%
2026-01-16 → 2026-01-20	-0.59%	-3.11%
2026-02-20 → 2026-02-23	+1.64%	-4.22%
2026-03-25 → 2026-03-27	-3.35%	-4.26%
2026-07-29	+1.93%	-3.53%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of HDFC Bank vs. JPMorgan Chase (1-Year)

Metric	HDFCBANK	JPM
Total Return	-29.4%	+20.4%
Annualized Volatility	24.2%	23.2%
Sharpe Ratio	-1.56	0.80
Sortino Ratio	-2.04	1.11
Calmar Ratio	-0.86	1.32
Sterling Ratio	-0.98	1.08
Treynor Ratio	-1.39	0.24
Ulcer Index	20.63%	6.42%
Max Drawdown	-34.1%	-15.5%
Avg Correlation to S&P 500	0.15	0.49
5% VaR (daily log return)	-2.41%	-2.50%
5% Expected Shortfall (CVaR)	-3.86%	-3.47%
Skew	-0.23	-0.47
Excess kurtosis	2.57	0.91
2σ tail days (down / up)	8 / 7	8 / 6

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-08-29 → 2026-08-28 (last shared close).
Rolling correlation sample (shared closes): 209 rolling 30-day values (from 238 shared daily returns).
Annualization (days/year): HDFCBANK: 252 days/year; JPM: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

HDFCBANK: 3.81% over 2025-08-29 → 2026-08-28.

JPM: 3.81% over 2025-08-29 → 2026-08-28.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

HDFCBANK: ≈ -2.9%/yr

JPM: ≈ -2.7%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

HDFC Bank vs JPMorgan Chase: Frequently Asked Questions

Which has higher volatility: HDFCBANK or JPM?

HDFCBANK showed higher volatility at 24.2% annualized, compared to 23.2% for JPM Over the past year. Higher volatility means larger price swings in both directions.

Does HDFCBANK provide diversification when held with JPM?

HDFCBANK and JPM are weakly correlated over the past year, with an average correlation of 0.03. This weak correlation suggests meaningful diversification benefits when held together.

How bad are the worst 5% days for HDFCBANK vs JPM?

Over the past year, HDFCBANK's 5% VaR was -2.41% and its 5% Expected Shortfall was -3.86% (worst 12 days). JPM's were -2.50% and -3.47% (worst 12 days).

Do HDFCBANK and JPM crash together on bad days?

On shared dates (n=238), when JPM has a 2σ down day, HDFCBANK also does 12.5% (1/8 days). In the other direction, when HDFCBANK has one, JPM also does 12.5% (1/8 days).

Which has better risk-adjusted returns: HDFCBANK or JPM?

HDFCBANK had a negative Sharpe (-1.56) while JPM was positive (0.80) Over the past year, indicating JPM had meaningfully better risk-adjusted performance.

Can HDFCBANK and JPM be combined in a portfolio?

Yes, though allocation sizing matters. Their weak correlation could meaningfully reduce overall portfolio variance. HDFCBANK's higher volatility (24.2%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: HDFCBANK or JPM?

Share This Comparison of HDFCBANK vs JPM

Relative Performance of HDFCBANK vs JPM (Normalized to 100)

Trade HDFCBANK or JPM

Key Takeaways

Investment Comparison

HDFC Bank vs JPMorgan Chase Performance Over Time

HDFC Bank vs JPMorgan Chase Correlation

Drawdown

HDFC Bank vs JPMorgan Chase Volatility (HDFCBANK vs JPM)

Risk-adjusted ratios

Sharpe Ratio of HDFCBANK and JPM

Sharpe Ratio: HDFCBANK vs. JPM

Sortino Ratio of HDFCBANK and JPM

Sortino Ratio: HDFCBANK vs. JPM

Calmar Ratio of HDFCBANK and JPM

Calmar Ratio: HDFCBANK vs. JPM

Sterling Ratio of HDFCBANK and JPM

Sterling Ratio: HDFCBANK vs. JPM

Treynor Ratio of HDFCBANK and JPM

Treynor Ratio: HDFCBANK vs. JPM

Ulcer Index of HDFCBANK and JPM

Ulcer Index: HDFCBANK vs. JPM

Tail Risk & Distribution Shape (1-Year): HDFC Bank vs. JPMorgan Chase

Tail Risk & Distribution Shape: HDFCBANK vs. JPM (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: HDFCBANK vs. JPM (2σ)

Days when both HDFCBANK and JPM had a big down day (2σ)

Days when HDFCBANK had a big down day

Days when JPM had a big down day

Full Comparison of HDFC Bank vs. JPMorgan Chase (1-Year)

Inputs & conventions

Formulas

HDFC Bank vs JPMorgan Chase: Frequently Asked Questions

Which has higher volatility: HDFCBANK or JPM?

Does HDFCBANK provide diversification when held with JPM?

How bad are the worst 5% days for HDFCBANK vs JPM?

Do HDFCBANK and JPM crash together on bad days?

Which has better risk-adjusted returns: HDFCBANK or JPM?

Can HDFCBANK and JPM be combined in a portfolio?