JPYUSD=X vs. BNDW
Compare and contrast key facts about JPY/USD (JPYUSD=X) and Vanguard Total World Bond ETF (BNDW).
BNDW is a passively managed fund by Vanguard that tracks the performance of the Bloomberg Barclays Global Aggregate Float Adjusted TR Index. It was launched on Sep 4, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPYUSD=X or BNDW.
Key characteristics
| JPYUSD=X | BNDW | |
|---|---|---|
| YTD Return | -9.86% | 2.18% |
| 1Y Return | -4.48% | 6.97% |
| 3Y Return (Ann) | -9.38% | -1.62% |
| 5Y Return (Ann) | -6.62% | -0.13% |
| Sharpe Ratio | -0.57 | 1.65 |
| Sortino Ratio | -0.73 | 2.47 |
| Omega Ratio | 0.88 | 1.29 |
| Calmar Ratio | -0.14 | 0.62 |
| Martin Ratio | -1.28 | 6.01 |
| Ulcer Index | 5.68% | 1.34% |
| Daily Std Dev | 12.68% | 4.88% |
| Max Drawdown | -53.03% | -17.22% |
| Current Drawdown | -51.52% | -6.59% |
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.
Performance
JPYUSD=X vs. BNDW - Performance Comparison
In the year-to-date period, JPYUSD=X achieves a -9.86% return, which is significantly lower than BNDW's 2.18% 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. 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.
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.
Volatility
JPYUSD=X vs. BNDW - Volatility Comparison
JPY/USD (JPYUSD=X) has a higher volatility of 4.38% compared to Vanguard Total World Bond ETF (BNDW) at 1.07%. 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.