JPY=X vs. IEFA
Compare and contrast key facts about USD/JPY (JPY=X) and iShares Core MSCI EAFE ETF (IEFA).
IEFA is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Investable Market Index. It was launched on Oct 18, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPY=X or IEFA.
Performance
JPY=X vs. IEFA - Performance Comparison
Returns By Period
In the year-to-date period, JPY=X achieves a 9.57% return, which is significantly higher than IEFA's 4.11% return. Over the past 10 years, JPY=X has underperformed IEFA with an annualized return of 2.54%, while IEFA has yielded a comparatively higher 5.13% annualized return.
JPY=X
9.57%
2.31%
-1.51%
3.36%
6.62%
2.54%
IEFA
4.11%
-4.08%
-1.92%
10.62%
5.44%
5.13%
Key characteristics
| JPY=X | IEFA | |
|---|---|---|
| Sharpe Ratio | 0.44 | 0.85 |
| Sortino Ratio | 0.66 | 1.24 |
| Omega Ratio | 1.09 | 1.15 |
| Calmar Ratio | 0.32 | 1.25 |
| Martin Ratio | 0.73 | 3.80 |
| Ulcer Index | 5.72% | 2.86% |
| Daily Std Dev | 9.49% | 12.80% |
| Max Drawdown | -52.58% | -34.78% |
| Current Drawdown | -4.41% | -8.60% |
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Correlation
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.
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.
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.
Volatility
JPY=X vs. IEFA - Volatility Comparison
The current volatility for USD/JPY (JPY=X) is 3.22%, while iShares Core MSCI EAFE ETF (IEFA) has a volatility of 3.51%. 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.