JPY=X vs. VT
Compare and contrast key facts about USD/JPY (JPY=X) and Vanguard Total World Stock ETF (VT).
VT is a passively managed fund by Vanguard that tracks the performance of the FTSE Global All Cap Index. It was launched on Jun 24, 2008.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPY=X or VT.
Performance
JPY=X vs. VT - Performance Comparison
Returns By Period
In the year-to-date period, JPY=X achieves a 9.57% return, which is significantly lower than VT's 18.18% return. Over the past 10 years, JPY=X has underperformed VT with an annualized return of 2.54%, while VT has yielded a comparatively higher 9.25% annualized return.
JPY=X
9.57%
2.31%
-1.51%
3.36%
6.62%
2.54%
VT
18.18%
0.34%
8.94%
24.96%
11.19%
9.25%
Key characteristics
| JPY=X | VT | |
|---|---|---|
| Sharpe Ratio | 0.44 | 2.17 |
| Sortino Ratio | 0.66 | 2.97 |
| Omega Ratio | 1.09 | 1.39 |
| Calmar Ratio | 0.32 | 3.11 |
| Martin Ratio | 0.73 | 13.89 |
| Ulcer Index | 5.72% | 1.82% |
| Daily Std Dev | 9.49% | 11.63% |
| Max Drawdown | -52.58% | -50.27% |
| Current Drawdown | -4.41% | -1.38% |
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Correlation
The correlation between JPY=X and VT is 0.00, 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. 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.
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. For additional features, visit the drawdowns tool.
Volatility
JPY=X vs. VT - Volatility Comparison
USD/JPY (JPY=X) and Vanguard Total World Stock ETF (VT) have volatilities of 3.22% and 3.13%, 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.