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AA vs. JPY=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between AA and JPY=X is 0.00, 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.


-0.50.00.51.00.0

Performance

AA vs. JPY=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Alcoa Corporation (AA) and USD/JPY (JPY=X). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
70.74%
0.06%
AA
JPY=X

Key characteristics

Sharpe Ratio

AA:

0.51

JPY=X:

0.42

Sortino Ratio

AA:

1.04

JPY=X:

0.64

Omega Ratio

AA:

1.12

JPY=X:

1.09

Calmar Ratio

AA:

0.34

JPY=X:

0.32

Martin Ratio

AA:

1.55

JPY=X:

0.69

Ulcer Index

AA:

16.12%

JPY=X:

6.00%

Daily Std Dev

AA:

48.50%

JPY=X:

9.37%

Max Drawdown

AA:

-90.90%

JPY=X:

-52.58%

Current Drawdown

AA:

-58.99%

JPY=X:

-3.32%

Returns By Period

In the year-to-date period, AA achieves a 12.61% return, which is significantly higher than JPY=X's 10.81% return.


AA

YTD

12.61%

1M

-17.27%

6M

-5.80%

1Y

19.57%

5Y*

13.02%

10Y*

N/A

JPY=X

YTD

10.81%

1M

0.57%

6M

-2.18%

1Y

10.00%

5Y*

6.68%

10Y*

2.45%

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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.


Sharpe ratio
The chart of Sharpe ratio for AA, currently valued at 0.90, compared to the broader market-4.00-2.000.002.000.90-0.07
The chart of Sortino ratio for AA, currently valued at 1.50, compared to the broader market-4.00-2.000.002.004.001.51-0.04
The chart of Omega ratio for AA, currently valued at 1.19, compared to the broader market0.501.001.502.001.191.00
The chart of Calmar ratio for AA, currently valued at 0.54, compared to the broader market0.002.004.006.000.54-0.36
The chart of Martin ratio for AA, currently valued at 2.51, compared to the broader market-5.000.005.0010.0015.0020.0025.002.51-0.66
AA
JPY=X

The current AA Sharpe Ratio is 0.51, which is comparable to the JPY=X Sharpe Ratio of 0.42. The chart below compares the historical Sharpe Ratios of AA and JPY=X, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.90
-0.07
AA
JPY=X

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.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-58.99%
-0.77%
AA
JPY=X

Volatility

AA vs. JPY=X - Volatility Comparison

Alcoa Corporation (AA) has a higher volatility of 10.69% compared to USD/JPY (JPY=X) at 2.39%. 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.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.69%
2.39%
AA
JPY=X
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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