JPY=X vs. VOO
Compare and contrast key facts about USD/JPY (JPY=X) and Vanguard S&P 500 ETF (VOO).
VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPY=X or VOO.
Key characteristics
| JPY=X | VOO | |
|---|---|---|
| YTD Return | 9.89% | 26.88% |
| 1Y Return | 2.17% | 37.59% |
| 3Y Return (Ann) | 9.44% | 10.23% |
| 5Y Return (Ann) | 6.73% | 15.93% |
| 10Y Return (Ann) | 2.73% | 13.41% |
| Sharpe Ratio | 0.54 | 3.06 |
| Sortino Ratio | 0.80 | 4.08 |
| Omega Ratio | 1.11 | 1.58 |
| Calmar Ratio | 0.39 | 4.43 |
| Martin Ratio | 0.90 | 20.25 |
| Ulcer Index | 5.67% | 1.85% |
| Daily Std Dev | 9.51% | 12.23% |
| Max Drawdown | -52.58% | -33.99% |
| Current Drawdown | -4.13% | -0.30% |
Correlation
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.
Performance
JPY=X vs. VOO - Performance Comparison
In the year-to-date period, JPY=X achieves a 9.89% return, which is significantly lower than VOO's 26.88% return. Over the past 10 years, JPY=X has underperformed VOO with an annualized return of 2.73%, while VOO has yielded a comparatively higher 13.41% 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. 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.
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.
Volatility
JPY=X vs. VOO - Volatility Comparison
The current volatility for USD/JPY (JPY=X) is 3.26%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.76%. 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.