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

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.


-0.50.00.51.0
Correlation: 0.0

Performance

JPY=X vs. IEFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/JPY (JPY=X) and iShares Core MSCI EAFE ETF (IEFA). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%100.00%120.00%NovemberDecember2025FebruaryMarchApril
-0.38%
129.73%
JPY=X
IEFA

Key characteristics

Sharpe Ratio

JPY=X:

-1.12

IEFA:

0.72

Sortino Ratio

JPY=X:

-1.49

IEFA:

1.12

Omega Ratio

JPY=X:

0.82

IEFA:

1.15

Calmar Ratio

JPY=X:

-0.91

IEFA:

0.92

Martin Ratio

JPY=X:

-1.55

IEFA:

2.68

Ulcer Index

JPY=X:

7.66%

IEFA:

4.70%

Daily Std Dev

JPY=X:

10.05%

IEFA:

17.66%

Max Drawdown

JPY=X:

-52.58%

IEFA:

-34.79%

Current Drawdown

JPY=X:

-12.04%

IEFA:

-0.04%

Returns By Period

In the year-to-date period, JPY=X achieves a -9.53% return, which is significantly lower than IEFA's 11.87% return. Over the past 10 years, JPY=X has underperformed IEFA with an annualized return of 1.58%, while IEFA has yielded a comparatively higher 5.58% annualized return.


JPY=X

YTD

-9.53%

1M

-5.08%

6M

-7.22%

1Y

-10.17%

5Y*

5.28%

10Y*

1.58%

IEFA

YTD

11.87%

1M

2.91%

6M

6.53%

1Y

12.31%

5Y*

11.04%

10Y*

5.58%

*Annualized

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Risk-Adjusted Performance

JPY=X vs. IEFA — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JPY=X
The Risk-Adjusted Performance Rank of JPY=X is 44
Overall Rank
The Sharpe Ratio Rank of JPY=X is 22
Sharpe Ratio Rank
The Sortino Ratio Rank of JPY=X is 22
Sortino Ratio Rank
The Omega Ratio Rank of JPY=X is 55
Omega Ratio Rank
The Calmar Ratio Rank of JPY=X is 00
Calmar Ratio Rank
The Martin Ratio Rank of JPY=X is 99
Martin Ratio Rank

IEFA
The Risk-Adjusted Performance Rank of IEFA is 7373
Overall Rank
The Sharpe Ratio Rank of IEFA is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of IEFA is 7272
Sortino Ratio Rank
The Omega Ratio Rank of IEFA is 7070
Omega Ratio Rank
The Calmar Ratio Rank of IEFA is 8181
Calmar Ratio Rank
The Martin Ratio Rank of IEFA is 7070
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for JPY=X, currently valued at -0.05, compared to the broader market-1.000.001.002.00
JPY=X: -0.05
IEFA: 0.50
The chart of Sortino ratio for JPY=X, currently valued at -0.01, compared to the broader market-1.000.001.002.003.004.00
JPY=X: -0.01
IEFA: 0.84
The chart of Omega ratio for JPY=X, currently valued at 1.00, compared to the broader market1.001.502.002.50
JPY=X: 1.00
IEFA: 1.13
The chart of Calmar ratio for JPY=X, currently valued at -0.23, compared to the broader market0.001.002.003.004.00
JPY=X: -0.23
IEFA: 0.61
The chart of Martin ratio for JPY=X, currently valued at -0.51, compared to the broader market0.005.0010.0015.0020.0025.00
JPY=X: -0.51
IEFA: 1.60

The current JPY=X Sharpe Ratio is -1.12, which is lower than the IEFA Sharpe Ratio of 0.72. 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 Ratio-0.40-0.200.000.200.400.600.801.00NovemberDecember2025FebruaryMarchApril
-0.05
0.50
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 -34.79%. Use the drawdown chart below to compare losses from any high point for JPY=X and IEFA. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-1.88%
-0.04%
JPY=X
IEFA

Volatility

JPY=X vs. IEFA - Volatility Comparison

The current volatility for USD/JPY (JPY=X) is 3.56%, while iShares Core MSCI EAFE ETF (IEFA) has a volatility of 8.90%. 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.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
3.56%
8.90%
JPY=X
IEFA