JPM vs GS: Stock Returns, Risk & Volatility (2026)

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

Over the past year, GS looks like the better investment: it had higher total return (GS +89.2% vs JPM +39.3%) and a higher Sharpe ratio (GS 2.19 vs JPM 1.39). On risk, JPM was less volatile (JPM 23.1% vs GS 29.7%), JPM had a smaller max drawdown (JPM -15.5% vs GS -19.4%), and JPM had less severe losses on the worst 5% of days (Expected Shortfall of JPM -3.25% vs GS -3.81%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: JPM or GS?

Over the past year, GS outperformed (+39.3% vs +89.2%) with a Sharpe ratio of 2.19.

Total Return

JPM +39.3%

GS WIN +89.2%

Sharpe Ratio

JPM 1.39

GS WIN 2.19

Annualized Volatility

JPM WIN 23.1%

GS 29.7%

Max Drawdown

JPM WIN -15.5%

GS -19.4%

Analysis period: 2025-04-07 to 2026-04-02

JPM Total Return

↑ +39.3%

GS Total Return

↑ +89.2%

Relative Performance of JPM vs GS (Normalized to 100)

JPM GS

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: JPM delivered a +39.3% total return, while GS returned +89.2% over the same period. GS outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): GS had a higher Sharpe (2.19 vs 1.39), indicating better risk-adjusted performance.
Volatility (Annualized): GS was more volatile, with 29.7% annualized volatility, versus 23.1% for JPM.
Maximum Drawdown: JPM's maximum drawdown was -15.5%, while GS experienced a deeper drawdown of -19.4%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), JPM's VaR was -2.35% and its Expected Shortfall (CVaR) was -3.25%; GS's were -2.31% and -3.81%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: JPM 0.12 vs GS 0.38. Excess kurtosis: JPM 3.45 vs GS 5.54. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): JPM 9/5, GS 7/6. Worst day: JPM -4.66% (2025-12-09) vs GS -7.47% (2026-02-27). Best day: JPM +8.06% (2025-04-09) vs GS +11.82% (2025-04-09).
Risk ratios: Sortino - JPM: 2.09 vs. GS: 3.56 , Calmar - JPM: 2.59 vs. GS: 4.68 , Sterling - JPM: 2.32 vs. GS: 4.47 , Treynor - JPM: 0.36 vs. GS: 0.51 , Ulcer Index - JPM: 5.55% vs. GS: 5.53%

JPMorgan Chase vs Goldman Sachs Correlation

0.73 Average Correlation

JPMorgan Chase and Goldman Sachs are strongly correlated over the past year. With a correlation of 0.73, these assets tend to move together, limiting diversification benefits.

For portfolio construction, this strong correlation means holding both JPM and GS provides limited risk reduction — they're likely to decline together in downturns.

Metric	Value
Current (30-day)	0.80
Average (full period)	0.73
Minimum	0.39
Maximum	0.93

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.

Investment Comparison

If you invested $10,000 in each asset on April 7, 2025:

JPM $13,932.23 +39.3%

GS $18,922.52 +89.2%

Difference: $4,990.29 (GS ahead)

JPMorgan Chase and Goldman Sachs: Risk Analysis

JPMorgan Chase experienced its maximum drawdown of -15.5% from 2026-01-06 to 2026-03-27. It has not yet recovered to its previous peak.

Goldman Sachs experienced its maximum drawdown of -19.4% from 2026-01-15 to 2026-03-13. It has not yet recovered to its previous peak.

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

Sharpe Ratio of JPM and GS

JPM Sharpe Ratio

↑ 1.39

GS Sharpe Ratio

↑ 2.19

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. GS had a higher Sharpe (2.19 vs 1.39), indicating better risk-adjusted performance.

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 JPM and GS

JPM Sortino Ratio

↑ 2.09

GS Sortino Ratio

↑ 3.56

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). GS 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: JPM 15.4% vs GS 18.3%. 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 JPM and GS

JPM Calmar Ratio

↑ 2.59

GS Calmar Ratio

↑ 4.68

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. GS 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 JPM and GS

JPM Sterling Ratio

↑ 2.32

GS Sterling Ratio

↑ 4.47

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

JPM Treynor Ratio

↑ 0.36

GS Treynor Ratio

↑ 0.51

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. GS 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 JPM and GS

JPM Ulcer Index

5.55%

GS Ulcer Index

5.53%

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. GS 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): JPMorgan Chase vs. Goldman Sachs

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.

Metric (1-Year)	JPM	GS
5% VaR (daily log return)	-2.35%	-2.31%
5% Expected Shortfall (CVaR)	-3.25% (worst 13 days)	-3.81% (worst 13 days)
Skew	0.12	0.38
Excess kurtosis	3.45	5.54
2σ tail days (down / up)	9 / 5	7 / 6
Worst day	-4.66% (2025-12-09)	-7.47% (2026-02-27)
Best day	+8.06% (2025-04-09)	+11.82% (2025-04-09)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=248). 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.

When GS has a big down day, JPM also does

28.6%

2 / 7 days

When JPM has a big down day, GS also does

22.2%

2 / 9 days

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 JPM and GS had a big down day (2σ)

Date (interval)	JPM	GS
2025-04-10	-3.09%	-5.24%
2025-11-13	-3.41%	-3.99%

Days when JPM had a big down day

Date (interval)	JPM	GS
2025-04-10	-3.09%	-5.24%
2025-07-08	-3.15%	-1.92%
2025-09-05	-3.11%	-1.43%
2025-11-13	-3.41%	-3.99%
2025-12-09	-4.66%	+1.14%
2026-01-13	-4.19%	-1.20%
2026-01-16 → 2026-01-20	-3.11%	-1.94%
2026-02-20 → 2026-02-23	-4.22%	-3.25%
2026-03-27	-3.02%	-2.40%

Days when GS had a big down day

Date (interval)	JPM	GS
2025-04-10	-3.09%	-5.24%
2025-11-13	-3.41%	-3.99%
2026-01-23	-1.95%	-3.75%
2026-02-12	-2.63%	-4.24%
2026-02-27	-1.90%	-7.47%
2026-03-05	-1.95%	-3.67%
2026-03-12	-1.61%	-4.40%

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.

JPMorgan Chase vs Goldman Sachs Volatility (JPM vs GS)

JPM Volatility

23.1%

±1.45% daily

GS Volatility

29.7%

±1.87% daily

Typical daily swing

JPM

±1.45%

±1.87%

JPMorgan Chase's annualized volatility of 23.1% means it typically moves ±1.45% on any given day.

Goldman Sachs's annualized volatility of 29.7% means it typically moves ±1.87% on any given day.

GS's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while JPM's smoother profile may better suit long-term allocators seeking steadier growth.

For comparison, the S&P 500 typically has 15-18% annualized volatility, translating to roughly ±1% daily moves. Higher volatility means larger potential gains but also larger potential losses.

JPMorgan Chase vs Goldman Sachs Performance Over Time

Metric	JPM	GS
30 Days	-1.9%	0.1%
90 Days	-9.1%	-5.1%
180 Days	-4.1%	10.4%
1 Year	N/A	N/A

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

Full Comparison of JPMorgan Chase vs. Goldman Sachs (1-Year)

Metric	JPM	GS
Total Return	+39.3%	+89.2%
Annualized Volatility	23.1%	29.7%
Sharpe Ratio	1.39	2.19
Sortino Ratio	2.09	3.56
Calmar Ratio	2.59	4.68
Sterling Ratio	2.32	4.47
Treynor Ratio	0.36	0.51
Ulcer Index	5.55%	5.53%
Max Drawdown	-15.5%	-19.4%
Avg Correlation to S&P 500	0.58	0.66
5% VaR (daily log return)	-2.35%	-2.31%
5% Expected Shortfall (CVaR)	-3.25%	-3.81%
Skew	0.12	0.38
Excess kurtosis	3.45	5.54
2σ tail days (down / up)	9 / 5	7 / 6

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-04-07 → 2026-04-02 (last shared close).
Rolling correlation sample (shared closes): 219 rolling 30-day values (from 248 shared daily returns).
Annualization (days/year): JPM: 252 days/year; GS: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

JPM: 4.18% over 2025-04-07 → 2026-04-02.

GS: 4.18% over 2025-04-07 → 2026-04-02.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

JPM: ≈ -2.7%/yr

GS: ≈ -4.4%/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.

JPMorgan Chase vs Goldman Sachs: Frequently Asked Questions

Which has higher volatility: JPM or GS?

GS showed higher volatility at 29.7% annualized, compared to 23.1% for JPM Over the past year. Higher volatility means larger price swings in both directions.

Does JPM provide diversification when held with GS?

JPM and GS are strongly correlated over the past year, with an average correlation of 0.73. This strong correlation limits diversification benefits.

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

Over the past year, JPM's 5% VaR was -2.35% and its 5% Expected Shortfall was -3.25% (worst 13 days). GS's were -2.31% and -3.81% (worst 13 days).

Do JPM and GS crash together on bad days?

On shared dates (n=248), when GS has a 2σ down day, JPM also does 28.6% (2/7 days). In the other direction, when JPM has one, GS also does 22.2% (2/9 days).

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

GS showed better risk-adjusted performance with a Sharpe ratio of 2.19 versus JPM's 1.39 Over the past year.

Can JPM and GS be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. GS's higher volatility (29.7%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary