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JPXGY vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JPXGY and VOO is 0.10, 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.


Performance

JPXGY vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Japan Exchange Group Inc ADR (JPXGY) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

JPXGY:

-0.13

VOO:

0.74

Sortino Ratio

JPXGY:

-0.33

VOO:

1.04

Omega Ratio

JPXGY:

0.96

VOO:

1.15

Calmar Ratio

JPXGY:

-0.36

VOO:

0.68

Martin Ratio

JPXGY:

-0.78

VOO:

2.58

Ulcer Index

JPXGY:

13.87%

VOO:

4.93%

Daily Std Dev

JPXGY:

29.31%

VOO:

19.54%

Max Drawdown

JPXGY:

-51.86%

VOO:

-33.99%

Current Drawdown

JPXGY:

-20.67%

VOO:

-3.55%

Returns By Period

In the year-to-date period, JPXGY achieves a -2.33% return, which is significantly lower than VOO's 0.90% return. Over the past 10 years, JPXGY has underperformed VOO with an annualized return of 6.55%, while VOO has yielded a comparatively higher 12.81% annualized return.


JPXGY

YTD

-2.33%

1M

-2.22%

6M

-8.26%

1Y

-6.21%

3Y*

13.75%

5Y*

2.65%

10Y*

6.55%

VOO

YTD

0.90%

1M

5.53%

6M

-1.46%

1Y

13.29%

3Y*

14.31%

5Y*

15.89%

10Y*

12.81%

*Annualized

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Japan Exchange Group Inc ADR

Vanguard S&P 500 ETF

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

JPXGY vs. VOO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JPXGY
The Risk-Adjusted Performance Rank of JPXGY is 3131
Overall Rank
The Sharpe Ratio Rank of JPXGY is 4343
Sharpe Ratio Rank
The Sortino Ratio Rank of JPXGY is 2626
Sortino Ratio Rank
The Omega Ratio Rank of JPXGY is 2727
Omega Ratio Rank
The Calmar Ratio Rank of JPXGY is 2727
Calmar Ratio Rank
The Martin Ratio Rank of JPXGY is 3333
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6363
Overall Rank
The Sharpe Ratio Rank of VOO is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6060
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6262
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6666
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6363
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

JPXGY vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Japan Exchange Group Inc ADR (JPXGY) and Vanguard S&P 500 ETF (VOO). 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.


The current JPXGY Sharpe Ratio is -0.13, which is lower than the VOO Sharpe Ratio of 0.74. The chart below compares the historical Sharpe Ratios of JPXGY and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

JPXGY vs. VOO - Dividend Comparison

JPXGY has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.29%.


TTM20242023202220212020201920182017201620152014
JPXGY
Japan Exchange Group Inc ADR
0.00%1.69%2.24%3.84%2.80%2.06%3.45%3.90%2.57%3.10%1.07%0.00%
VOO
Vanguard S&P 500 ETF
1.29%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

JPXGY vs. VOO - Drawdown Comparison

The maximum JPXGY drawdown since its inception was -51.86%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for JPXGY and VOO.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

JPXGY vs. VOO - Volatility Comparison

Japan Exchange Group Inc ADR (JPXGY) has a higher volatility of 5.64% compared to Vanguard S&P 500 ETF (VOO) at 4.84%. This indicates that JPXGY's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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