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.
Key characteristics
| JPY=X | SPY | |
|---|---|---|
| YTD Return | 8.81% | 27.16% |
| 1Y Return | 1.37% | 37.73% |
| 3Y Return (Ann) | 9.13% | 10.28% |
| 5Y Return (Ann) | 6.47% | 15.97% |
| 10Y Return (Ann) | 2.64% | 13.38% |
| Sharpe Ratio | 0.37 | 3.25 |
| Sortino Ratio | 0.57 | 4.32 |
| Omega Ratio | 1.08 | 1.61 |
| Calmar Ratio | 0.26 | 4.74 |
| Martin Ratio | 0.61 | 21.51 |
| Ulcer Index | 5.66% | 1.85% |
| Daily Std Dev | 9.49% | 12.20% |
| Max Drawdown | -52.58% | -55.19% |
| Current Drawdown | -5.07% | 0.00% |
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.
Performance
JPY=X vs. SPY - Performance Comparison
In the year-to-date period, JPY=X achieves a 8.81% return, which is significantly lower than SPY's 27.16% return. Over the past 10 years, JPY=X has underperformed SPY with an annualized return of 2.64%, while SPY has yielded a comparatively higher 13.38% 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. 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 3.20%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.73%. 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.