JPY=X vs. EWJ
Compare and contrast key facts about USD/JPY (JPY=X) and iShares MSCI Japan ETF (EWJ).
EWJ is a passively managed fund by iShares that tracks the performance of the MSCI Japan Index. It was launched on Mar 12, 1996.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPY=X or EWJ.
Key characteristics
| JPY=X | EWJ | |
|---|---|---|
| YTD Return | 9.89% | 7.59% |
| 1Y Return | 2.17% | 15.77% |
| 3Y Return (Ann) | 9.44% | 1.02% |
| 5Y Return (Ann) | 6.73% | 4.64% |
| 10Y Return (Ann) | 2.73% | 5.50% |
| Sharpe Ratio | 0.54 | 0.91 |
| Sortino Ratio | 0.80 | 1.30 |
| Omega Ratio | 1.11 | 1.17 |
| Calmar Ratio | 0.39 | 0.99 |
| Martin Ratio | 0.90 | 4.09 |
| Ulcer Index | 5.67% | 3.84% |
| Daily Std Dev | 9.51% | 17.32% |
| Max Drawdown | -52.58% | -58.89% |
| Current Drawdown | -4.13% | -6.15% |
Correlation
The correlation between JPY=X and EWJ is -0.00. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
JPY=X vs. EWJ - Performance Comparison
In the year-to-date period, JPY=X achieves a 9.89% return, which is significantly higher than EWJ's 7.59% return. Over the past 10 years, JPY=X has underperformed EWJ with an annualized return of 2.73%, while EWJ has yielded a comparatively higher 5.50% annualized 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. EWJ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/JPY (JPY=X) and iShares MSCI Japan ETF (EWJ). 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. EWJ - Drawdown Comparison
The maximum JPY=X drawdown since its inception was -52.58%, smaller than the maximum EWJ drawdown of -58.89%. Use the drawdown chart below to compare losses from any high point for JPY=X and EWJ. For additional features, visit the drawdowns tool.
Volatility
JPY=X vs. EWJ - Volatility Comparison
The current volatility for USD/JPY (JPY=X) is 3.26%, while iShares MSCI Japan ETF (EWJ) has a volatility of 4.27%. This indicates that JPY=X experiences smaller price fluctuations and is considered to be less risky than EWJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.