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JPYUSD=X vs. BNDW
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between JPYUSD=X and BNDW is 0.32, 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.


-0.50.00.51.00.3

Performance

JPYUSD=X vs. BNDW - Performance Comparison

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

0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
1.59%
2.54%
JPYUSD=X
BNDW

Key characteristics

Sharpe Ratio

JPYUSD=X:

-0.35

BNDW:

0.57

Sortino Ratio

JPYUSD=X:

-0.41

BNDW:

0.83

Omega Ratio

JPYUSD=X:

0.93

BNDW:

1.10

Calmar Ratio

JPYUSD=X:

-0.08

BNDW:

0.24

Martin Ratio

JPYUSD=X:

-0.82

BNDW:

1.81

Ulcer Index

JPYUSD=X:

5.48%

BNDW:

1.41%

Daily Std Dev

JPYUSD=X:

12.75%

BNDW:

4.49%

Max Drawdown

JPYUSD=X:

-53.03%

BNDW:

-17.22%

Current Drawdown

JPYUSD=X:

-51.52%

BNDW:

-6.24%

Returns By Period

In the year-to-date period, JPYUSD=X achieves a -9.86% return, which is significantly lower than BNDW's 2.55% return.


JPYUSD=X

YTD

-9.86%

1M

0.00%

6M

1.59%

1Y

-8.57%

5Y*

-6.41%

10Y*

-2.45%

BNDW

YTD

2.55%

1M

0.24%

6M

2.55%

1Y

2.62%

5Y*

-0.08%

10Y*

N/A

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Risk-Adjusted Performance

JPYUSD=X vs. BNDW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and Vanguard Total World Bond ETF (BNDW). 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.


Sharpe ratio
The chart of Sharpe ratio for JPYUSD=X, currently valued at -0.35, compared to the broader market0.002.004.006.008.0010.00-0.351.05
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.41, compared to the broader market0.0010.0020.0030.0040.00-0.411.53
The chart of Omega ratio for JPYUSD=X, currently valued at 0.93, compared to the broader market2.004.006.008.0010.000.931.20
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.12, compared to the broader market0.0020.0040.0060.0080.00-0.120.38
The chart of Martin ratio for JPYUSD=X, currently valued at -0.82, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.824.09
JPYUSD=X
BNDW

The current JPYUSD=X Sharpe Ratio is -0.35, which is lower than the BNDW Sharpe Ratio of 0.57. The chart below compares the historical Sharpe Ratios of JPYUSD=X and BNDW, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.35
1.05
JPYUSD=X
BNDW

Drawdowns

JPYUSD=X vs. BNDW - Drawdown Comparison

The maximum JPYUSD=X drawdown since its inception was -53.03%, which is greater than BNDW's maximum drawdown of -17.22%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and BNDW. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-34.69%
-6.24%
JPYUSD=X
BNDW

Volatility

JPYUSD=X vs. BNDW - Volatility Comparison

JPY/USD (JPYUSD=X) has a higher volatility of 4.10% compared to Vanguard Total World Bond ETF (BNDW) at 1.05%. This indicates that JPYUSD=X's price experiences larger fluctuations and is considered to be riskier than BNDW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
4.10%
1.05%
JPYUSD=X
BNDW
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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