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

Performance

JPY=X vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/JPY (JPY=X) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.02%
12.85%
JPY=X
VOO

Returns By Period

In the year-to-date period, JPY=X achieves a 9.57% return, which is significantly lower than VOO's 26.16% return. Over the past 10 years, JPY=X has underperformed VOO with an annualized return of 2.54%, while VOO has yielded a comparatively higher 13.18% annualized return.


JPY=X

YTD

9.57%

1M

2.31%

6M

-1.51%

1Y

3.36%

5Y (annualized)

6.62%

10Y (annualized)

2.54%

VOO

YTD

26.16%

1M

1.77%

6M

13.62%

1Y

32.33%

5Y (annualized)

15.68%

10Y (annualized)

13.18%

Key characteristics


JPY=XVOO
Sharpe Ratio0.442.70
Sortino Ratio0.663.60
Omega Ratio1.091.50
Calmar Ratio0.323.90
Martin Ratio0.7317.65
Ulcer Index5.72%1.86%
Daily Std Dev9.49%12.19%
Max Drawdown-52.58%-33.99%
Current Drawdown-4.41%-0.86%

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Correlation

-0.50.00.51.00.0

The correlation between JPY=X and VOO 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. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/JPY (JPY=X) and Vanguard S&P 500 ETF (VOO). 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.


Sharpe ratio
The chart of Sharpe ratio for JPY=X, currently valued at 0.13, compared to the broader market-1.00-0.500.000.501.001.500.131.87
The chart of Sortino ratio for JPY=X, currently valued at 0.24, compared to the broader market0.0050.00100.00150.00200.00250.000.242.60
The chart of Omega ratio for JPY=X, currently valued at 1.03, compared to the broader market10.0020.0030.0040.0050.0060.001.031.40
The chart of Calmar ratio for JPY=X, currently valued at 0.71, compared to the broader market0.00100.00200.00300.00400.00500.000.712.52
The chart of Martin ratio for JPY=X, currently valued at 1.24, compared to the broader market0.001,000.002,000.003,000.004,000.001.2410.56
JPY=X
VOO

The current JPY=X Sharpe Ratio is 0.44, which is lower than the VOO Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of JPY=X and VOO, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.13
1.87
JPY=X
VOO

Drawdowns

JPY=X vs. VOO - Drawdown Comparison

The maximum JPY=X drawdown since its inception was -52.58%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for JPY=X and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.36%
-0.86%
JPY=X
VOO

Volatility

JPY=X vs. VOO - Volatility Comparison

The current volatility for USD/JPY (JPY=X) is 3.22%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.98%. This indicates that JPY=X experiences smaller price fluctuations and is considered to be less risky than VOO 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
3.22%
3.98%
JPY=X
VOO