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

Correlation

The correlation between JPY=X and VT is -0.00. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


Performance

JPY=X vs. VT - Performance Comparison

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

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Key characteristics

Sharpe Ratio

JPY=X:

-0.70

VT:

0.78

Sortino Ratio

JPY=X:

-0.98

VT:

1.09

Omega Ratio

JPY=X:

0.89

VT:

1.16

Calmar Ratio

JPY=X:

-0.65

VT:

0.75

Martin Ratio

JPY=X:

-1.10

VT:

3.29

Ulcer Index

JPY=X:

7.73%

VT:

3.77%

Daily Std Dev

JPY=X:

11.27%

VT:

17.81%

Max Drawdown

JPY=X:

-52.58%

VT:

-50.27%

Current Drawdown

JPY=X:

-10.95%

VT:

-0.48%

Returns By Period

In the year-to-date period, JPY=X achieves a -8.40% return, which is significantly lower than VT's 5.36% return. Over the past 10 years, JPY=X has underperformed VT with an annualized return of 1.50%, while VT has yielded a comparatively higher 9.24% annualized return.


JPY=X

YTD

-8.40%

1M

0.64%

6M

-3.86%

1Y

-8.18%

3Y*

3.81%

5Y*

5.96%

10Y*

1.50%

VT

YTD

5.36%

1M

5.81%

6M

2.26%

1Y

13.72%

3Y*

12.04%

5Y*

13.37%

10Y*

9.24%

*Annualized

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USD/JPY

Vanguard Total World Stock ETF

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

JPY=X vs. VT — 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 1717
Overall Rank
The Sharpe Ratio Rank of JPY=X is 1717
Sharpe Ratio Rank
The Sortino Ratio Rank of JPY=X is 1616
Sortino Ratio Rank
The Omega Ratio Rank of JPY=X is 2323
Omega Ratio Rank
The Calmar Ratio Rank of JPY=X is 11
Calmar Ratio Rank
The Martin Ratio Rank of JPY=X is 2525
Martin Ratio Rank

VT
The Risk-Adjusted Performance Rank of VT is 6868
Overall Rank
The Sharpe Ratio Rank of VT is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of VT is 6363
Sortino Ratio Rank
The Omega Ratio Rank of VT is 6767
Omega Ratio Rank
The Calmar Ratio Rank of VT is 7070
Calmar Ratio Rank
The Martin Ratio Rank of VT is 7474
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. VT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/JPY (JPY=X) and Vanguard Total World Stock ETF (VT). 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 current JPY=X Sharpe Ratio is -0.70, which is lower than the VT Sharpe Ratio of 0.78. The chart below compares the historical Sharpe Ratios of JPY=X and VT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

JPY=X vs. VT - Drawdown Comparison

The maximum JPY=X drawdown since its inception was -52.58%, roughly equal to the maximum VT drawdown of -50.27%. Use the drawdown chart below to compare losses from any high point for JPY=X and VT.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

JPY=X vs. VT - Volatility Comparison

USD/JPY (JPY=X) and Vanguard Total World Stock ETF (VT) have volatilities of 3.66% and 3.82%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


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