JPY=X vs. AA
Compare and contrast key facts about USD/JPY (JPY=X) and Alcoa Corporation (AA).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPY=X or AA.
Key characteristics
| JPY=X | AA | |
|---|---|---|
| YTD Return | 9.30% | 34.99% |
| 1Y Return | 2.54% | 79.70% |
| 3Y Return (Ann) | 9.39% | -0.76% |
| 5Y Return (Ann) | 6.48% | 15.84% |
| Sharpe Ratio | 0.43 | 1.50 |
| Sortino Ratio | 0.66 | 2.18 |
| Omega Ratio | 1.09 | 1.26 |
| Calmar Ratio | 0.31 | 1.03 |
| Martin Ratio | 0.72 | 4.87 |
| Ulcer Index | 5.62% | 15.74% |
| Daily Std Dev | 9.43% | 51.14% |
| Max Drawdown | -52.58% | -90.90% |
| Current Drawdown | -4.64% | -50.84% |
Correlation
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.
Performance
JPY=X vs. AA - Performance Comparison
In the year-to-date period, JPY=X achieves a 9.30% return, which is significantly lower than AA's 34.99% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Volatility
JPY=X vs. AA - Volatility Comparison
The current volatility for USD/JPY (JPY=X) is 2.66%, while Alcoa Corporation (AA) has a volatility of 10.26%. 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.