JPMorgan Chase vs Goldman Sachs (JPM vs GS) 2026: Stock Returns, Risk & Volatility

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 +74.5% vs JPM +29.8%) and a higher Sharpe ratio (GS 2.08 vs JPM 1.16). On risk, JPM was less volatile (JPM 21.0% vs GS 26.8%), 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 -3.19% vs GS -3.57%).

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 JPM. GS returned +74.5% compared with JPM’s +29.8%. GS had the better risk-adjusted return, with a Sharpe ratio of 2.08 versus JPM’s 1.16. JPM was less volatile than GS, and JPM had a smaller max drawdown than GS.

Total Return

JPM +29.8%

GS +74.5%

Sharpe Ratio

JPM 1.16

GS 2.08

Annualized Volatility

JPM 21.0%

GS 26.8%

Max Drawdown

JPM -15.5%

GS -19.4%

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

JPM Total Return

↑ +29.8%

GS Total Return

↑ +74.5%

Relative Performance of JPM vs GS (Normalized to 100)

JPM GS

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: JPM delivered a +29.8% total return, while GS returned +74.5% over the same period. GS outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): GS had a higher Sharpe (2.08 vs 1.16), indicating better risk-adjusted performance.
Volatility (Annualized): GS was more volatile, with 26.8% annualized volatility, versus 21.0% 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 -2.30% and its Expected Shortfall (CVaR) was -3.19%; GS's were -2.23% and -3.57%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: JPM -0.58 vs GS -0.34. Excess kurtosis: JPM 1.30 vs GS 1.98. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): JPM 9/4, GS 7/8. Worst day: JPM -4.66% (2025-12-09) vs GS -7.47% (2026-02-27). Best day: JPM +3.95% (2026-02-06) vs GS +4.81% (2026-04-08).
Risk ratios: Sortino - JPM: 1.63 vs. GS: 3.19 , Calmar - JPM: 1.94 vs. GS: 3.86 , Sterling - JPM: 1.67 vs. GS: 3.65 , Treynor - JPM: 0.24 vs. GS: 0.38 , Ulcer Index - JPM: 5.84% vs. GS: 5.73%

Investment Comparison

If you invested $10,000 in each asset on April 25, 2025:

JPM $12,978.62 +29.8%

GS $17,445.43 +74.5%

Difference: $4,466.81 (GS ahead)

JPMorgan Chase vs Goldman Sachs Performance Over Time

Metric	JPM	GS
30 Days	6.6%	11.4%
90 Days	4.7%	1.9%
180 Days	4.2%	20%
1 Year	29.8%	74.5%

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

JPMorgan Chase vs Goldman Sachs Correlation

Average Correlation

strongly correlated

0.73

Current (30-day) 0.73

30-day rolling range +0.39 to +0.87

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)	0.73
Average (full period)	0.73
Minimum (30-day rolling)	0.39
Maximum (30-day rolling)	0.87

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

JPM

-15.5%

-19.4%

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.

JPMorgan Chase vs Goldman Sachs Volatility (JPM vs GS)

JPM Volatility

21.0%

±1.32% 1-day vol

GS Volatility

26.8%

±1.69% 1-day vol

1-day volatility (1σ)

JPM

±1.32%

±1.69%

JPMorgan Chase's 21.0% annualized volatility translates to about ±1.32% one-standard-deviation daily volatility.

Goldman Sachs's 26.8% annualized volatility translates to about ±1.69% one-standard-deviation daily volatility.

GS 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 JPM and GS

Sharpe Ratio: JPM vs. GS

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. GS had a higher Sharpe (2.08 vs 1.16), 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

Sortino Ratio: JPM vs. GS

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). 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 15.0% vs GS 17.5%. 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

Calmar Ratio: JPM vs. GS

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. 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

Sterling Ratio: JPM vs. GS

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%). 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

Treynor Ratio: JPM vs. GS

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. 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

Ulcer Index: JPM vs. GS

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. 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.

Tail Risk & Distribution Shape: JPM vs. GS (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)	JPM	GS
5% VaR (daily log return)	-2.30%	-2.23%
5% Expected Shortfall (CVaR)	-3.19% (worst 13 days)	-3.57% (worst 13 days)
Skew	-0.58	-0.34
Excess kurtosis	1.30	1.98
2σ tail days (down / up)	9 / 4	7 / 8
Worst day	-4.66% (2025-12-09)	-7.47% (2026-02-27)
Best day	+3.95% (2026-02-06)	+4.81% (2026-04-08)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). 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: JPM vs. GS (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 JPM and GS 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 JPM and GS had a big down day (2σ)

Date (interval)	JPM	GS
2025-11-13	-3.41%	-3.99%
2026-02-12	-2.63%	-4.24%
2026-02-20 → 2026-02-23	-4.22%	-3.25%

Days when JPM had a big down day

Date (interval)	JPM	GS
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%
2026-02-12	-2.63%	-4.24%
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
2025-11-13	-3.41%	-3.99%
2026-01-23	-1.95%	-3.75%
2026-02-12	-2.63%	-4.24%
2026-02-20 → 2026-02-23	-4.22%	-3.25%
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.

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

Metric	JPM	GS
Total Return	+29.8%	+74.5%
Annualized Volatility	21.0%	26.8%
Sharpe Ratio	1.16	2.08
Sortino Ratio	1.63	3.19
Calmar Ratio	1.94	3.86
Sterling Ratio	1.67	3.65
Treynor Ratio	0.24	0.38
Ulcer Index	5.84%	5.73%
Max Drawdown	-15.5%	-19.4%
Avg Correlation to S&P 500	0.56	0.65
5% VaR (daily log return)	-2.30%	-2.23%
5% Expected Shortfall (CVaR)	-3.19%	-3.57%
Skew	-0.58	-0.34
Excess kurtosis	1.30	1.98
2σ tail days (down / up)	9 / 4	7 / 8

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-04-25 → 2026-04-23 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 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: 4.17% over 2025-04-25 → 2026-04-23.

GS: 4.17% over 2025-04-25 → 2026-04-23.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

JPM: ≈ -2.2%/yr

GS: ≈ -3.6%/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 26.8% annualized, compared to 21.0% 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 -2.30% and its 5% Expected Shortfall was -3.19% (worst 13 days). GS's were -2.23% and -3.57% (worst 13 days).

Do JPM and GS crash together on bad days?

On shared dates (n=249), when GS has a 2σ down day, JPM also does 42.9% (3/7 days). In the other direction, when JPM has one, GS also does 33.3% (3/9 days).

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

GS showed better risk-adjusted performance with a Sharpe ratio of 2.08 versus JPM's 1.16 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 (26.8%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: JPM or GS?

Share This Comparison of JPM vs GS

Relative Performance of JPM vs GS (Normalized to 100)

Trade JPM or GS

Key Takeaways

Investment Comparison

JPMorgan Chase vs Goldman Sachs Performance Over Time

JPMorgan Chase vs Goldman Sachs Correlation

Drawdown

JPMorgan Chase vs Goldman Sachs Volatility (JPM vs GS)

Risk-adjusted ratios

Sharpe Ratio of JPM and GS

Sharpe Ratio: JPM vs. GS

Sortino Ratio of JPM and GS

Sortino Ratio: JPM vs. GS

Calmar Ratio of JPM and GS

Calmar Ratio: JPM vs. GS

Sterling Ratio of JPM and GS

Sterling Ratio: JPM vs. GS

Treynor Ratio of JPM and GS

Treynor Ratio: JPM vs. GS

Ulcer Index of JPM and GS

Ulcer Index: JPM vs. GS

Tail Risk & Distribution Shape (1-Year): JPMorgan Chase vs. Goldman Sachs

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

Downside co-moves (2σ) — 1-Year

Downside co-move map: JPM vs. GS (2σ)

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

Days when JPM had a big down day

Days when GS had a big down day

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

Inputs & conventions

Formulas

JPMorgan Chase vs Goldman Sachs: Frequently Asked Questions

Which has higher volatility: JPM or GS?

Does JPM provide diversification when held with GS?

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

Do JPM and GS crash together on bad days?

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

Can JPM and GS be combined in a portfolio?