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

Key characteristics


JPY=XIEFA
YTD Return10.59%4.17%
1Y Return3.74%12.08%
3Y Return (Ann)9.63%0.81%
5Y Return (Ann)6.80%5.35%
10Y Return (Ann)2.79%5.25%
Sharpe Ratio0.601.15
Sortino Ratio0.881.66
Omega Ratio1.131.20
Calmar Ratio0.431.51
Martin Ratio1.005.92
Ulcer Index5.67%2.54%
Daily Std Dev9.49%13.12%
Max Drawdown-52.58%-34.78%
Current Drawdown-3.52%-8.55%

Correlation

-0.50.00.51.00.0

The correlation between JPY=X and IEFA 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. IEFA - Performance Comparison

In the year-to-date period, JPY=X achieves a 10.59% return, which is significantly higher than IEFA's 4.17% return. Over the past 10 years, JPY=X has underperformed IEFA with an annualized return of 2.79%, while IEFA has yielded a comparatively higher 5.25% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-0.81%
-3.56%
JPY=X
IEFA

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for USD/JPY (JPY=X) and iShares Core MSCI EAFE ETF (IEFA). 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.


JPY=X
Sharpe ratio
The chart of Sharpe ratio for JPY=X, currently valued at -0.07, compared to the broader market-1.00-0.500.000.501.001.50-0.07
Sortino ratio
The chart of Sortino ratio for JPY=X, currently valued at -0.05, compared to the broader market0.0050.00100.00150.00200.00250.00-0.05
Omega ratio
The chart of Omega ratio for JPY=X, currently valued at 0.99, compared to the broader market10.0020.0030.0040.0050.0060.000.99
Calmar ratio
The chart of Calmar ratio for JPY=X, currently valued at -0.37, compared to the broader market0.00100.00200.00300.00400.00500.00-0.37
Martin ratio
The chart of Martin ratio for JPY=X, currently valued at -0.65, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.65
IEFA
Sharpe ratio
The chart of Sharpe ratio for IEFA, currently valued at 0.44, compared to the broader market-1.00-0.500.000.501.001.500.44
Sortino ratio
The chart of Sortino ratio for IEFA, currently valued at 0.69, compared to the broader market0.0050.00100.00150.00200.00250.000.69
Omega ratio
The chart of Omega ratio for IEFA, currently valued at 1.09, compared to the broader market10.0020.0030.0040.0050.0060.001.09
Calmar ratio
The chart of Calmar ratio for IEFA, currently valued at 0.61, compared to the broader market0.00100.00200.00300.00400.00500.000.61
Martin ratio
The chart of Martin ratio for IEFA, currently valued at 1.89, compared to the broader market0.001,000.002,000.003,000.004,000.001.89

JPY=X vs. IEFA - Sharpe Ratio Comparison

The current JPY=X Sharpe Ratio is 0.60, which is lower than the IEFA Sharpe Ratio of 1.15. The chart below compares the historical Sharpe Ratios of JPY=X and IEFA, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
-0.07
0.44
JPY=X
IEFA

Drawdowns

JPY=X vs. IEFA - Drawdown Comparison

The maximum JPY=X drawdown since its inception was -52.58%, which is greater than IEFA's maximum drawdown of -34.78%. Use the drawdown chart below to compare losses from any high point for JPY=X and IEFA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.97%
-8.55%
JPY=X
IEFA

Volatility

JPY=X vs. IEFA - Volatility Comparison

The current volatility for USD/JPY (JPY=X) is 3.38%, while iShares Core MSCI EAFE ETF (IEFA) has a volatility of 3.74%. This indicates that JPY=X experiences smaller price fluctuations and is considered to be less risky than IEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.38%
3.74%
JPY=X
IEFA