PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
JPYUSD=X vs. ^TNX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


JPYUSD=X^TNX
YTD Return-8.45%11.38%
1Y Return-1.52%-6.96%
3Y Return (Ann)-8.96%40.00%
5Y Return (Ann)-6.35%18.25%
10Y Return (Ann)-2.64%6.41%
Sharpe Ratio-0.46-0.20
Sortino Ratio-0.57-0.14
Omega Ratio0.900.99
Calmar Ratio-0.11-0.09
Martin Ratio-1.03-0.40
Ulcer Index5.61%11.87%
Daily Std Dev12.68%23.41%
Max Drawdown-53.03%-93.78%
Current Drawdown-50.76%-46.33%

Correlation

-0.50.00.51.0-0.2

The correlation between JPYUSD=X and ^TNX is -0.23. 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

JPYUSD=X vs. ^TNX - Performance Comparison

In the year-to-date period, JPYUSD=X achieves a -8.45% return, which is significantly lower than ^TNX's 11.38% return. Over the past 10 years, JPYUSD=X has underperformed ^TNX with an annualized return of -2.64%, while ^TNX has yielded a comparatively higher 6.41% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
1.55%
-3.90%
JPYUSD=X
^TNX

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

JPYUSD=X vs. ^TNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and Treasury Yield 10 Years (^TNX). 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.


JPYUSD=X
Sharpe ratio
The chart of Sharpe ratio for JPYUSD=X, currently valued at -0.46, compared to the broader market-1.00-0.500.000.501.001.50-0.46
Sortino ratio
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.57, compared to the broader market0.0050.00100.00150.00200.00250.00-0.57
Omega ratio
The chart of Omega ratio for JPYUSD=X, currently valued at 0.90, compared to the broader market20.0040.0060.000.90
Calmar ratio
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.11, compared to the broader market0.00100.00200.00300.00400.00500.00-0.11
Martin ratio
The chart of Martin ratio for JPYUSD=X, currently valued at -1.03, compared to the broader market0.001,000.002,000.003,000.004,000.00-1.03
^TNX
Sharpe ratio
The chart of Sharpe ratio for ^TNX, currently valued at 0.37, compared to the broader market-1.00-0.500.000.501.001.500.37
Sortino ratio
The chart of Sortino ratio for ^TNX, currently valued at 0.71, compared to the broader market0.0050.00100.00150.00200.00250.000.71
Omega ratio
The chart of Omega ratio for ^TNX, currently valued at 1.08, compared to the broader market20.0040.0060.001.08
Calmar ratio
The chart of Calmar ratio for ^TNX, currently valued at 0.14, compared to the broader market0.00100.00200.00300.00400.00500.000.14
Martin ratio
The chart of Martin ratio for ^TNX, currently valued at 0.70, compared to the broader market0.001,000.002,000.003,000.004,000.000.70

JPYUSD=X vs. ^TNX - Sharpe Ratio Comparison

The current JPYUSD=X Sharpe Ratio is -0.46, which is lower than the ^TNX Sharpe Ratio of -0.20. The chart below compares the historical Sharpe Ratios of JPYUSD=X and ^TNX, 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 Ratio-1.00-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
-0.46
0.37
JPYUSD=X
^TNX

Drawdowns

JPYUSD=X vs. ^TNX - Drawdown Comparison

The maximum JPYUSD=X drawdown since its inception was -53.03%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and ^TNX. For additional features, visit the drawdowns tool.


-54.00%-52.00%-50.00%-48.00%-46.00%-44.00%-42.00%JuneJulyAugustSeptemberOctoberNovember
-50.76%
-46.33%
JPYUSD=X
^TNX

Volatility

JPYUSD=X vs. ^TNX - Volatility Comparison

The current volatility for JPY/USD (JPYUSD=X) is 4.36%, while Treasury Yield 10 Years (^TNX) has a volatility of 5.49%. This indicates that JPYUSD=X experiences smaller price fluctuations and is considered to be less risky than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.36%
5.49%
JPYUSD=X
^TNX