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

Performance

JPY=X vs. AA - Performance Comparison

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

-30.00%-20.00%-10.00%0.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.01%
12.19%
JPY=X
AA

Returns By Period

In the year-to-date period, JPY=X achieves a 9.57% return, which is significantly lower than AA's 38.23% return.


JPY=X

YTD

9.57%

1M

2.31%

6M

-1.51%

1Y

3.36%

5Y (annualized)

6.62%

10Y (annualized)

2.54%

AA

YTD

38.23%

1M

10.81%

6M

13.80%

1Y

78.16%

5Y (annualized)

18.54%

10Y (annualized)

N/A

Key characteristics


JPY=XAA
Sharpe Ratio0.441.52
Sortino Ratio0.662.19
Omega Ratio1.091.26
Calmar Ratio0.321.05
Martin Ratio0.734.95
Ulcer Index5.72%15.78%
Daily Std Dev9.49%51.45%
Max Drawdown-52.58%-90.90%
Current Drawdown-4.41%-49.65%

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Correlation

-0.50.00.51.00.0

The correlation between JPY=X and AA 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

JPY=X vs. AA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/JPY (JPY=X) and Alcoa Corporation (AA). 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 JPY=X, currently valued at 0.13, compared to the broader market-1.00-0.500.000.501.001.500.131.35
The chart of Sortino ratio for JPY=X, currently valued at 0.24, compared to the broader market0.0050.00100.00150.00200.00250.000.241.95
The chart of Omega ratio for JPY=X, currently valued at 1.03, compared to the broader market10.0020.0030.0040.0050.0060.001.031.26
The chart of Calmar ratio for JPY=X, currently valued at 0.71, compared to the broader market0.00100.00200.00300.00400.00500.000.710.81
The chart of Martin ratio for JPY=X, currently valued at 1.24, compared to the broader market0.001,000.002,000.003,000.004,000.001.243.97
JPY=X
AA

The current JPY=X Sharpe Ratio is 0.44, which is lower than the AA Sharpe Ratio of 1.52. The chart below compares the historical Sharpe Ratios of JPY=X and AA, 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 Ratio0.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.13
1.35
JPY=X
AA

Drawdowns

JPY=X vs. AA - Drawdown Comparison

The maximum JPY=X drawdown since its inception was -52.58%, smaller than the maximum AA drawdown of -90.90%. Use the drawdown chart below to compare losses from any high point for JPY=X and AA. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.36%
-49.65%
JPY=X
AA

Volatility

JPY=X vs. AA - Volatility Comparison

The current volatility for USD/JPY (JPY=X) is 3.22%, while Alcoa Corporation (AA) has a volatility of 13.22%. This indicates that JPY=X experiences smaller price fluctuations and is considered to be less risky than AA 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%JuneJulyAugustSeptemberOctoberNovember
3.22%
13.22%
JPY=X
AA