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

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

Over the past year, it depends: JPM led on total return (JPM +34.1% vs SPY +27.2%), but SPY had the higher Sharpe ratio (SPY 1.59 vs JPM 1.32). On risk, SPY was less volatile (SPY 13.3% vs JPM 21.3%), SPY had a smaller max drawdown (SPY -9.1% vs JPM -15.5%), and SPY had less severe losses on the worst 5% of days (Expected Shortfall of SPY -1.85% vs JPM -3.19%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: JPM or SPY?

Over the past year, results are mixed (+34.1% vs +27.2%).

Total Return

JPM WIN +34.1%

SPY +27.2%

Sharpe Ratio

JPM 1.32

SPY WIN 1.59

Annualized Volatility

JPM 21.3%

SPY WIN 13.3%

Max Drawdown

JPM -15.5%

SPY WIN -9.1%

Analysis period: 2025-04-14 to 2026-04-10

JPM Total Return

↑ +34.1%

SPY Total Return

↑ +27.2%

Relative Performance of JPM vs SPY (Normalized to 100)

JPM SPY

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: JPM delivered a +34.1% total return, while SPY returned +27.2% over the same period. JPM outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): SPY had a higher Sharpe (1.59 vs 1.32), indicating better risk-adjusted performance.
Volatility (Annualized): JPM was more volatile, with 21.3% annualized volatility, versus 13.3% for SPY.
Maximum Drawdown: SPY's maximum drawdown was -9.1%, while JPM experienced a deeper drawdown of -15.5%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), JPM's VaR was -2.30% and its Expected Shortfall (CVaR) was -3.19%; SPY's were -1.44% and -1.85%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: JPM -0.55 vs SPY 0.01. Excess kurtosis: JPM 1.22 vs SPY 1.93. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): JPM 9/5, SPY 9/7. Worst day: JPM -4.66% (2025-12-09) vs SPY -2.70% (2025-10-10). Best day: JPM +3.95% (2026-02-06) vs SPY +3.30% (2025-05-12).
Risk ratios: Sortino - JPM: 1.86 vs. SPY: 2.40 , Calmar - JPM: 2.24 vs. SPY: 3.01 , Sterling - JPM: 1.97 vs. SPY: N/A , Treynor - JPM: 0.28 vs. SPY: 0.21 , Ulcer Index - JPM: 5.70% vs. SPY: 2.02%

JPMorgan Chase vs S&P 500 Correlation

0.61 Average Correlation

JPMorgan Chase and S&P 500 are strongly correlated over the past year. With a correlation of 0.61, these assets tend to move together, limiting diversification benefits.

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

Metric	Value
Current (30-day)	0.78
Average (full period)	0.61
Minimum	0.29
Maximum	0.88

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 14, 2025:

JPM $13,408.1 +34.1%

SPY $12,720.9 +27.2%

Difference: $687.2 (JPM ahead)

JPMorgan Chase and S&P 500: 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.

S&P 500 experienced its maximum drawdown of -9.1% from 2026-01-27 to 2026-03-30. 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 SPY

JPM Sharpe Ratio

↑ 1.32

SPY Sharpe Ratio

↑ 1.59

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. SPY had a higher Sharpe (1.59 vs 1.32), 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 SPY

JPM Sortino Ratio

↑ 1.86

SPY Sortino Ratio

↑ 2.40

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). SPY 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 15.1% vs SPY 8.8%. 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 SPY

JPM Calmar Ratio

↑ 2.24

SPY Calmar Ratio

↑ 3.01

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

JPM Sterling Ratio

↑ 1.97

SPY Sterling Ratio

N/A

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). Sterling ratio data is not available for this comparison.

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

Treynor Ratio of JPM and SPY

JPM Treynor Ratio

↑ 0.28

SPY Treynor Ratio

↑ 0.21

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 JPM and SPY

JPM Ulcer Index

5.70%

SPY Ulcer Index

2.02%

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. SPY 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. S&P 500

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	SPY
5% VaR (daily log return)	-2.30%	-1.44%
5% Expected Shortfall (CVaR)	-3.19% (worst 13 days)	-1.85% (worst 13 days)
Skew	-0.55	0.01
Excess kurtosis	1.22	1.93
2σ tail days (down / up)	9 / 5	9 / 7
Worst day	-4.66% (2025-12-09)	-2.70% (2025-10-10)
Best day	+3.95% (2026-02-06)	+3.30% (2025-05-12)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=247). 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 SPY has a big down day, JPM also does

33.3%

3 / 9 days

When JPM has a big down day, SPY also does

33.3%

3 / 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 SPY had a big down day (2σ)

Date (interval)	JPM	SPY
2025-11-13	-3.41%	-1.66%
2026-01-16 → 2026-01-20	-3.11%	-2.04%
2026-03-27	-3.02%	-1.71%

Days when JPM had a big down day

Date (interval)	JPM	SPY
2025-07-08	-3.15%	-0.05%
2025-09-05	-3.11%	-0.29%
2025-11-13	-3.41%	-1.66%
2025-12-09	-4.66%	-0.09%
2026-01-13	-4.19%	-0.20%
2026-01-16 → 2026-01-20	-3.11%	-2.04%
2026-02-12	-2.63%	-1.54%
2026-02-20 → 2026-02-23	-4.22%	-1.02%
2026-03-27	-3.02%	-1.71%

Days when SPY had a big down day

Date (interval)	JPM	SPY
2025-04-16	-1.51%	-2.22%
2025-04-17 → 2025-04-21	-1.28%	-2.38%
2025-05-21	-1.75%	-1.69%
2025-08-01	-2.32%	-1.64%
2025-10-10	-1.52%	-2.70%
2025-11-13	-3.41%	-1.66%
2026-01-16 → 2026-01-20	-3.11%	-2.04%
2026-03-26	-1.27%	-1.79%
2026-03-27	-3.02%	-1.71%

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 S&P 500 Volatility (JPM vs SPY)

JPM Volatility

21.3%

±1.34% daily

SPY Volatility

13.3%

±0.84% daily

Typical daily swing

JPM

±1.34%

SPY

±0.84%

JPMorgan Chase's annualized volatility of 21.3% means it typically moves ±1.34% on any given day.

S&P 500's annualized volatility of 13.3% means it typically moves ±0.84% on any given day.

JPM's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while SPY'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 S&P 500 Performance Over Time

Metric	JPM	SPY
30 Days	7.5%	0.4%
90 Days	-5.7%	-2%
180 Days	3.6%	4.4%
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. S&P 500 (1-Year)

Metric	JPM	SPY
Total Return	+34.1%	+27.2%
Annualized Volatility	21.3%	13.3%
Sharpe Ratio	1.32	1.59
Sortino Ratio	1.86	2.40
Calmar Ratio	2.24	3.01
Sterling Ratio	1.97	N/A
Treynor Ratio	0.28	0.21
Ulcer Index	5.70%	2.02%
Max Drawdown	-15.5%	-9.1%
Avg Correlation to S&P 500	0.57	1.00
5% VaR (daily log return)	-2.30%	-1.44%
5% Expected Shortfall (CVaR)	-3.19%	-1.85%
Skew	-0.55	0.01
Excess kurtosis	1.22	1.93
2σ tail days (down / up)	9 / 5	9 / 7

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-04-14 → 2026-04-09 (last shared close).
Rolling correlation sample (shared closes): 218 rolling 30-day values (from 247 shared daily returns).
Annualization (days/year): JPM: 252 days/year; SPY: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

JPM: 4.17% over 2025-04-14 → 2026-04-09.

SPY: 4.17% over 2025-04-14 → 2026-04-10.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

JPM: ≈ -2.3%/yr

SPY: ≈ -0.9%/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 S&P 500: Frequently Asked Questions

Which has higher volatility: JPM or SPY?

JPM showed higher volatility at 21.3% annualized, compared to 13.3% for SPY Over the past year. Higher volatility means larger price swings in both directions.

Does JPM provide diversification when held with SPY?

JPM and SPY are strongly correlated over the past year, with an average correlation of 0.61. This strong correlation limits diversification benefits.

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

Over the past year, JPM's 5% VaR was -2.30% and its 5% Expected Shortfall was -3.19% (worst 13 days). SPY's were -1.44% and -1.85% (worst 13 days).

Do JPM and SPY crash together on bad days?

On shared dates (n=247), when SPY has a 2σ down day, JPM also does 33.3% (3/9 days). In the other direction, when JPM has one, SPY also does 33.3% (3/9 days).

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

SPY showed better risk-adjusted performance with a Sharpe ratio of 1.59 versus JPM's 1.32 Over the past year.

Can JPM and SPY be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. JPM's higher volatility (21.3%) means even small allocations can materially impact overall portfolio risk.

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