JPYUSD=X vs. EWJ
Compare and contrast key facts about JPY/USD (JPYUSD=X) and iShares MSCI Japan ETF (EWJ).
EWJ is a passively managed fund by iShares that tracks the performance of the MSCI Japan Index. It was launched on Mar 12, 1996.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPYUSD=X or EWJ.
Key characteristics
| JPYUSD=X | EWJ | |
|---|---|---|
| YTD Return | -8.45% | 7.59% |
| 1Y Return | -1.52% | 15.77% |
| 3Y Return (Ann) | -8.95% | 1.02% |
| 5Y Return (Ann) | -6.35% | 4.64% |
| 10Y Return (Ann) | -2.64% | 5.50% |
| Sharpe Ratio | -0.46 | 0.91 |
| Sortino Ratio | -0.57 | 1.30 |
| Omega Ratio | 0.90 | 1.17 |
| Calmar Ratio | -0.11 | 0.99 |
| Martin Ratio | -1.03 | 4.09 |
| Ulcer Index | 5.64% | 3.84% |
| Daily Std Dev | 12.68% | 17.32% |
| Max Drawdown | -53.03% | -58.89% |
| Current Drawdown | -50.76% | -6.15% |
Correlation
The correlation between JPYUSD=X and EWJ is 0.05, 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
JPYUSD=X vs. EWJ - Performance Comparison
In the year-to-date period, JPYUSD=X achieves a -8.45% return, which is significantly lower than EWJ's 7.59% return. Over the past 10 years, JPYUSD=X has underperformed EWJ with an annualized return of -2.64%, while EWJ has yielded a comparatively higher 5.50% 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
JPYUSD=X vs. EWJ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and iShares MSCI Japan ETF (EWJ). 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
JPYUSD=X vs. EWJ - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -53.03%, smaller than the maximum EWJ drawdown of -58.89%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and EWJ. For additional features, visit the drawdowns tool.
Volatility
JPYUSD=X vs. EWJ - Volatility Comparison
JPY/USD (JPYUSD=X) and iShares MSCI Japan ETF (EWJ) have volatilities of 4.36% and 4.27%, 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.