JPY=X vs. SPY
Compare and contrast key facts about USD/JPY (JPY=X) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPY=X or SPY.
Performance
JPY=X vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, JPY=X achieves a 9.94% return, which is significantly lower than SPY's 25.41% return. Over the past 10 years, JPY=X has underperformed SPY with an annualized return of 2.61%, while SPY has yielded a comparatively higher 13.07% annualized return.
JPY=X
9.94%
2.81%
-1.09%
4.50%
6.69%
2.61%
SPY
25.41%
1.18%
12.15%
32.04%
15.51%
13.07%
Key characteristics
| JPY=X | SPY | |
|---|---|---|
| Sharpe Ratio | 0.62 | 2.62 |
| Sortino Ratio | 0.91 | 3.50 |
| Omega Ratio | 1.13 | 1.49 |
| Calmar Ratio | 0.45 | 3.78 |
| Martin Ratio | 1.03 | 17.00 |
| Ulcer Index | 5.71% | 1.87% |
| Daily Std Dev | 9.50% | 12.14% |
| Max Drawdown | -52.58% | -55.19% |
| Current Drawdown | -4.09% | -1.38% |
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Correlation
The correlation between JPY=X and SPY 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. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/JPY (JPY=X) and SPDR S&P 500 ETF (SPY). 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. SPY - Drawdown Comparison
The maximum JPY=X drawdown since its inception was -52.58%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for JPY=X and SPY. For additional features, visit the drawdowns tool.
Volatility
JPY=X vs. SPY - Volatility Comparison
The current volatility for USD/JPY (JPY=X) is 3.35%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.95%. This indicates that JPY=X experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.