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Compare · ICICIBANK vs JPM · 2026

ICICI Bank vs JPMorgan Chase

A year of returns, risk, and volatility, compared.

ICICI Bank (ICICIBANK) and JPMorgan Chase (JPM) are compared across trailing return, volatility, drawdown, and risk-adjusted metrics.

Last updated:

Analysis period: 2025-08-29 to 2026-08-28

Gale Finance Team
Written by Gale Finance Team
Sid Kalla
Reviewed by Sid Kalla CFA Charterholder

Returns shown in USD.

Quick answer

Which is a better investment: ICICIBANK or JPM?

Over the past year, JPM outperformed ICICIBANK. JPM returned +20.4% compared with ICICIBANK’s -5.8%. JPM had the better risk-adjusted return, with a Sharpe ratio of 0.80 versus ICICIBANK’s -0.36. ICICIBANK was less volatile than JPM, but JPM had a smaller max drawdown than ICICIBANK.

Total Return
ICICIBANK -5.8%
JPM +20.4%
Sharpe Ratio
ICICIBANK -0.36
JPM 0.80
Annualized Volatility
ICICIBANK 21.6%
JPM 23.2%
Max Drawdown
ICICIBANK -22.1%
JPM -15.5%

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

ICICIBANK Total Return
↓ -5.8%
JPM Total Return
↑ +20.4%

Relative Performance of ICICIBANK vs JPM (Normalized to 100)

ICICIBANK JPM

Normalized to 100 at start date for comparison

8 events in this period
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Key Takeaways

  • Total Return: ICICIBANK delivered a -5.8% total return, while JPM returned +20.4% over the same period. JPM outperformed on total returns.
  • Risk-Adjusted Return (Sharpe Ratio): ICICIBANK had a negative Sharpe (-0.36) while JPM was positive (0.80), indicating JPM had meaningfully better risk-adjusted performance in this period.
  • Volatility (Annualized): JPM was more volatile, with 23.2% annualized volatility, versus 21.6% for ICICIBANK.
  • Maximum Drawdown: JPM's maximum drawdown was -15.5%, while ICICIBANK experienced a deeper drawdown of -22.1%.
  • Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), ICICIBANK's VaR was -2.26% and its Expected Shortfall (CVaR) was -2.89%; 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: ICICIBANK 0.15 vs JPM -0.47. Excess kurtosis: ICICIBANK 0.73 vs JPM 0.91. Negative skew leans downside; higher excess kurtosis means fatter tails.
  • Tail Days & Extremes: 2σ tail days (down/up): ICICIBANK 8/7, JPM 8/6. Worst day: ICICIBANK -3.93% (2026-03-19) vs JPM -4.66% (2025-12-09). Best day: ICICIBANK +5.07% (2026-04-08) vs JPM +4.09% (2026-04-01).
  • Risk ratios: Sortino - ICICIBANK: -0.52 vs. JPM: 1.11 , Calmar - ICICIBANK: -0.26 vs. JPM: 1.32 , Sterling - ICICIBANK: -0.44 vs. JPM: 1.08 , Treynor - ICICIBANK: -0.51 vs. JPM: 0.24 , Ulcer Index - ICICIBANK: 10.78% vs. JPM: 6.42%
Assets:JPMorgan Chase (JPM)
Related:HDFC Bank vs ICICI Bank·Bank of America vs JPMorgan Chase·HDFC Bank vs JPMorgan Chase

Investment Comparison

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

ICICIBANK $9,417.57 -5.8%
JPM $12,036.31 +20.4%

Difference: $2,618.74 (JPM ahead)

ICICI Bank vs JPMorgan Chase Performance Over Time

Metric ICICIBANK JPM
30 Days -0.1% 3.7%
90 Days 14.9% 19.5%
180 Days -0.8% 19.7%
1 Year -5.8% 20.4%

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

ICICI Bank vs JPMorgan Chase Correlation

Average Correlation
weakly correlated
0.09
Current (30-day) -0.17
30-day rolling range -0.44 to +0.49

ICICI Bank and JPMorgan Chase are weakly correlated over the past year. With a correlation of 0.09, these assets show meaningful independence, offering diversification benefits when held together.

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

Metric Value
Current (30-day) -0.17
Average (full period) 0.09
Minimum (30-day rolling) -0.44
Maximum (30-day rolling) 0.49

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
ICICIBANK
-22.1%
JPM
-15.5%

ICICI Bank experienced its maximum drawdown of -22.1% from 2025-10-17 to 2026-03-30. 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.

ICICI Bank vs JPMorgan Chase Volatility (ICICIBANK vs JPM)

ICICIBANK Volatility
21.6%
±1.36% 1-day vol
JPM Volatility
23.2%
±1.46% 1-day vol
1-day volatility (1σ)
ICICIBANK
±1.36%
JPM
±1.46%

ICICI Bank's 21.6% annualized volatility translates to about ±1.36% one-standard-deviation daily volatility.

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

JPM had the wider volatility profile over this window. That means its day-to-day return distribution was broader; ICICIBANK 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 ICICIBANK and JPM

Sharpe Ratio: ICICIBANK 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 Annualized volatility 0 25% vol 21.6% · excess -7.8% vol 23.2% · excess +18.5%
excess return / total volatility
Formula Sharpe=E[R]−RfσR\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. ICICIBANK had a negative Sharpe (-0.36) 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 ICICIBANK and JPM

Sortino Ratio: ICICIBANK 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
Frequency (days) Daily return (%) target -5.1% +5.5% 30 0
excess return / downside volatility
Formula Sortino=E[R]−Rfσdown\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: ICICIBANK 15.2% 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 ICICIBANK and JPM

Calmar Ratio: ICICIBANK vs. JPM

CAGR per worst drawdown

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

Higher is better
0% ICICIBANK -5.8% -22.1% JPM +20.4% -15.5%
CAGR / max drawdown
Formula Calmar=CAGR∣MaxDD∣\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 ICICIBANK and JPM

Sterling Ratio: ICICIBANK 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
0% -6% -12% -17% -23% 10% drawdown threshold
excess annual return / average deep drawdown
Formula Sterling=CAGR−RfD‾>10%\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 ICICIBANK and JPM

Treynor Ratio: ICICIBANK 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
Asset return Market return 0 0 β 0.15 β 0.78
excess return / market beta
Formula Treynor=E[R]−Rfβ\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 ICICIBANK and JPM

Ulcer Index: ICICIBANK 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
0% -6% -12% -17% -23%
root-mean-square drawdown
Formula UI=E[Dt2]\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): ICICI 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⁡(PtPt−1)\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: ICICIBANK 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
ICICIBANK VaR 5% ES 5% JPM VaR 5% ES 5% -5.8% 0% +5.8% Daily log return
VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.
Formula VaR5%=Q0.05(rt),ES5%=E[rt∣rt≤VaR5%]\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) ICICIBANK JPM
5% VaR (daily log return) -2.26% -2.50%
5% Expected Shortfall (CVaR) -2.89% (worst 12 days) -3.47% (worst 12 days)
Skew 0.15 -0.47
Excess kurtosis 0.73 0.91
2σ tail days (down / up) 8 / 7 8 / 6
Worst day -3.93% (2026-03-19) -4.66% (2025-12-09)
Best day +5.07% (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: ICICIBANK 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 ICICIBANK and JPM crossed their own 2σ downside threshold.

2σ
-2σ JPM -2σ ICICIBANK Joint downside zone -5.4% 0% +5.4% +4.9% 0% -4.9% JPM daily log return ICICIBANK daily log return
Shared daily return 238
ICICIBANK Downside threshold -2.73%
JPM Downside threshold -2.85%
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 ICICIBANK and JPM had a big down day (2σ)

Date (interval) ICICIBANK JPM
2026-01-16 → 2026-01-20 -3.06% -3.11%

Days when ICICIBANK had a big down day

Date (interval) ICICIBANK JPM
2025-10-17 → 2025-10-20 -3.24% +1.61%
2026-01-16 → 2026-01-20 -3.06% -3.11%
2026-03-06 -2.90% -1.39%
2026-03-06 → 2026-03-09 -2.82% +0.15%
2026-03-19 -3.93% +0.08%
2026-03-27 → 2026-03-30 -2.75% +0.33%
2026-05-12 -3.05% +1.63%
2026-08-07 -2.74% +0.34%

Days when JPM had a big down day

Date (interval) ICICIBANK JPM
2025-09-05 -0.33% -3.11%
2025-11-13 +1.84% -3.41%
2025-12-09 -1.25% -4.66%
2026-01-13 +1.81% -4.19%
2026-01-16 → 2026-01-20 -3.06% -3.11%
2026-02-20 → 2026-02-23 +0.70% -4.22%
2026-03-25 → 2026-03-27 -2.07% -4.26%
2026-07-29 +0.68% -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 ICICI Bank vs. JPMorgan Chase (1-Year)

Metric ICICIBANK JPM
Total Return -5.8% +20.4%
Annualized Volatility 21.6% 23.2%
Sharpe Ratio -0.36 0.80
Sortino Ratio -0.52 1.11
Calmar Ratio -0.26 1.32
Sterling Ratio -0.44 1.08
Treynor Ratio -0.51 0.24
Ulcer Index 10.78% 6.42%
Max Drawdown -22.1% -15.5%
Avg Correlation to S&P 500 0.13 0.49
5% VaR (daily log return) -2.26% -2.50%
5% Expected Shortfall (CVaR) -2.89% -3.47%
Skew 0.15 -0.47
Excess kurtosis 0.73 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)
ICICIBANK: 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:
  • ICICIBANK: 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.
  • ICICIBANK: ≈ -2.3%/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
rt=PtPt−1−1r_t = \frac{P_t}{P_{t-1}} - 1
Volatility
σann=σ(rt)A\sigma_{ann} = \sigma(r_t)\sqrt{A}
Volatility drag (approx.)
drag≈12σann2\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2
Sharpe Ratio
S=A rˉ−rfσ(rt)AS = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}
Sortino Ratio
So=A rˉ−rfE[min⁡(0, rt−rf/A)2] ASo = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}
Maximum Drawdown
MDD=min⁡t(Ptmax⁡s≤tPs−1)MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)
Average Correlation
ρ=cov⁡(rA, rB)σA σB\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}
Log returns
ℓt=ln⁡(PtPt−1)\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)
Notation
PtP_t
Price on day t.
rtr_t
Simple daily return.
ℓt\ell_t
Log daily return.
rˉ\bar{r}
Average daily return.
σ(rt)\sigma(r_t)
Standard deviation of daily returns.
AA
Annualization factor (days/year).
rfr_f
Annual risk-free rate.

ICICI Bank vs JPMorgan Chase: Frequently Asked Questions

Which has higher volatility: ICICIBANK or JPM?

JPM showed higher volatility at 23.2% annualized, compared to 21.6% for ICICIBANK Over the past year. Higher volatility means larger price swings in both directions.

Does ICICIBANK provide diversification when held with JPM?

ICICIBANK and JPM are weakly correlated over the past year, with an average correlation of 0.09. This weak correlation suggests meaningful diversification benefits when held together.

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

Over the past year, ICICIBANK's 5% VaR was -2.26% and its 5% Expected Shortfall was -2.89% (worst 12 days). JPM's were -2.50% and -3.47% (worst 12 days).

Do ICICIBANK and JPM crash together on bad days?

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

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

ICICIBANK had a negative Sharpe (-0.36) while JPM was positive (0.80) Over the past year, indicating JPM had meaningfully better risk-adjusted performance.

Can ICICIBANK and JPM be combined in a portfolio?

Yes, though allocation sizing matters. Their weak correlation could meaningfully reduce overall portfolio variance. JPM's higher volatility (23.2%) means even small allocations can materially impact overall portfolio risk.

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