JPY=X vs. DXJ
Compare and contrast key facts about USD/JPY (JPY=X) and WisdomTree Japan Hedged Equity Fund (DXJ).
DXJ is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree Japan Hedged Equity Index. It was launched on Jun 16, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPY=X or DXJ.
Performance
JPY=X vs. DXJ - Performance Comparison
Returns By Period
In the year-to-date period, JPY=X achieves a 9.94% return, which is significantly lower than DXJ's 25.34% return. Over the past 10 years, JPY=X has underperformed DXJ with an annualized return of 2.61%, while DXJ has yielded a comparatively higher 11.40% annualized return.
JPY=X
9.94%
2.81%
-1.09%
4.50%
6.69%
2.61%
DXJ
25.34%
1.54%
1.18%
24.80%
18.59%
11.40%
Key characteristics
| JPY=X | DXJ | |
|---|---|---|
| Sharpe Ratio | 0.62 | 1.15 |
| Sortino Ratio | 0.91 | 1.52 |
| Omega Ratio | 1.13 | 1.23 |
| Calmar Ratio | 0.45 | 1.08 |
| Martin Ratio | 1.03 | 3.80 |
| Ulcer Index | 5.71% | 6.32% |
| Daily Std Dev | 9.50% | 20.84% |
| Max Drawdown | -52.58% | -49.63% |
| Current Drawdown | -4.09% | -6.87% |
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Correlation
The correlation between JPY=X and DXJ is 0.02, 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. DXJ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/JPY (JPY=X) and WisdomTree Japan Hedged Equity Fund (DXJ). 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. DXJ - Drawdown Comparison
The maximum JPY=X drawdown since its inception was -52.58%, which is greater than DXJ's maximum drawdown of -49.63%. Use the drawdown chart below to compare losses from any high point for JPY=X and DXJ. For additional features, visit the drawdowns tool.
Volatility
JPY=X vs. DXJ - Volatility Comparison
The current volatility for USD/JPY (JPY=X) is 3.35%, while WisdomTree Japan Hedged Equity Fund (DXJ) has a volatility of 4.47%. This indicates that JPY=X experiences smaller price fluctuations and is considered to be less risky than DXJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.