AA vs. JPY=X
Compare and contrast key facts about Alcoa Corporation (AA) and USD/JPY (JPY=X).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AA or JPY=X.
Performance
AA vs. JPY=X - Performance Comparison
Returns By Period
In the year-to-date period, AA achieves a 38.23% return, which is significantly higher than JPY=X's 9.57% return.
AA
38.23%
10.81%
13.80%
78.16%
18.54%
N/A
JPY=X
9.57%
2.31%
-1.51%
3.36%
6.62%
2.54%
Key characteristics
| AA | JPY=X | |
|---|---|---|
| Sharpe Ratio | 1.52 | 0.44 |
| Sortino Ratio | 2.19 | 0.66 |
| Omega Ratio | 1.26 | 1.09 |
| Calmar Ratio | 1.05 | 0.32 |
| Martin Ratio | 4.95 | 0.73 |
| Ulcer Index | 15.78% | 5.72% |
| Daily Std Dev | 51.45% | 9.49% |
| Max Drawdown | -90.90% | -52.58% |
| Current Drawdown | -49.65% | -4.41% |
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Correlation
The correlation between AA and JPY=X is 0.01, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
AA vs. JPY=X - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alcoa Corporation (AA) and USD/JPY (JPY=X). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Drawdowns
AA vs. JPY=X - Drawdown Comparison
The maximum AA drawdown since its inception was -90.90%, which is greater than JPY=X's maximum drawdown of -52.58%. Use the drawdown chart below to compare losses from any high point for AA and JPY=X. For additional features, visit the drawdowns tool.
Volatility
AA vs. JPY=X - Volatility Comparison
Alcoa Corporation (AA) has a higher volatility of 13.22% compared to USD/JPY (JPY=X) at 3.22%. This indicates that AA's price experiences larger fluctuations and is considered to be riskier than JPY=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.