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

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%JuneJulyAugustSeptemberOctoberNovember
1.56%
3.63%
JPYUSD=X
BNDW

Returns By Period

In the year-to-date period, JPYUSD=X achieves a -8.45% return, which is significantly lower than BNDW's 2.34% return.


JPYUSD=X

YTD

-8.45%

1M

-1.52%

6M

1.56%

1Y

-2.99%

5Y (annualized)

-6.34%

10Y (annualized)

-2.53%

BNDW

YTD

2.34%

1M

-0.36%

6M

3.63%

1Y

6.60%

5Y (annualized)

-0.15%

10Y (annualized)

N/A

Key characteristics


JPYUSD=XBNDW
Sharpe Ratio-0.341.41
Sortino Ratio-0.402.09
Omega Ratio0.931.25
Calmar Ratio-0.080.53
Martin Ratio-0.884.87
Ulcer Index5.04%1.37%
Daily Std Dev12.78%4.74%
Max Drawdown-53.03%-17.22%
Current Drawdown-50.76%-6.44%

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Correlation

-0.50.00.51.00.3

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.

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 -0.34, compared to the broader market-1.00-0.500.000.501.001.50-0.340.91
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.40, compared to the broader market0.0050.00100.00150.00200.00250.00-0.401.30
The chart of Omega ratio for JPYUSD=X, currently valued at 0.93, compared to the broader market10.0020.0030.0040.0050.0060.000.931.17
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.12, compared to the broader market0.00100.00200.00300.00400.00500.00-0.120.34
The chart of Martin ratio for JPYUSD=X, currently valued at -0.88, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.883.26
JPYUSD=X
BNDW

The current JPYUSD=X Sharpe Ratio is -0.34, which is lower than the BNDW Sharpe Ratio of 1.41. 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.34
0.91
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%JuneJulyAugustSeptemberOctoberNovember
-33.67%
-6.44%
JPYUSD=X
BNDW

Volatility

JPYUSD=X vs. BNDW - Volatility Comparison

JPY/USD (JPYUSD=X) has a higher volatility of 4.98% compared to Vanguard Total World Bond ETF (BNDW) at 1.04%. 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%JuneJulyAugustSeptemberOctoberNovember
4.98%
1.04%
JPYUSD=X
BNDW