JPYUSD=X vs. BNDW
JPYUSD=X (JPY/USD) is a currency, while BNDW (Vanguard Total World Bond ETF) is Global Bonds fund tracking the Bloomberg Global Aggregate Float Adjusted Composite Index. Over the past 5 years, JPYUSD=X returned -7.34%/yr vs 0.19%/yr for BNDW. At a 0.45 correlation, their price movements are largely independent.
Performance
JPYUSD=X vs. BNDW - Performance Comparison
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Returns By Period
In the year-to-date period, JPYUSD=X achieves a -2.29% return, which is significantly lower than BNDW's 0.24% return.
JPYUSD=X
- 1D
- -0.22%
- 1M
- -2.53%
- YTD
- -2.29%
- 6M
- -3.12%
- 1Y
- -10.47%
- 3Y*
- -4.50%
- 5Y*
- -7.34%
- 10Y*
- -3.93%
BNDW
- 1D
- -0.29%
- 1M
- -0.32%
- YTD
- 0.24%
- 6M
- 0.29%
- 1Y
- 3.24%
- 3Y*
- 3.93%
- 5Y*
- 0.19%
- 10Y*
- —
JPYUSD=X vs. BNDW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
JPYUSD=X JPY/USD | -2.29% | 0.33% | -10.26% | -7.04% | -12.23% | -10.24% | 5.18% | 0.86% | 0.97% |
BNDW Vanguard Total World Bond ETF | 0.24% | 5.02% | 2.42% | 7.18% | -12.88% | -2.10% | 6.22% | 8.37% | 1.21% |
Correlation
The correlation between JPYUSD=X and BNDW is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.48 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.46 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.48 |
Correlation (All Time) Calculated using the full available price history since Sep 7, 2018 | 0.45 |
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Return for Risk
JPYUSD=X vs. BNDW — Risk / Return Rank
JPYUSD=X
BNDW
JPYUSD=X vs. BNDW - Risk-Adjusted Trends 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.
| JPYUSD=X | BNDW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.10 | ||
| Sortino ratioReturn per unit of downside risk | -3.04 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 1.17 | -0.35 |
| Calmar ratioReturn relative to maximum drawdown | -0.80 | 1.21 | -2.01 |
| Martin ratioReturn relative to average drawdown | -1.19 | 3.38 | -4.57 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JPYUSD=X | BNDW | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.13 | 0.97 | -2.10 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.71 | 0.04 | -0.75 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.42 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.13 | 0.37 | -0.50 |
Drawdowns
JPYUSD=X vs. BNDW - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -52.96%, 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.
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Drawdown Indicators
| JPYUSD=X | BNDW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.96% | -17.22% | -35.74% |
Max Drawdown (1Y)Largest decline over 1 year | -10.63% | -2.70% | -7.93% |
Max Drawdown (3Y)Largest decline over 3 years | -14.63% | -4.27% | -10.36% |
Max Drawdown (5Y)Largest decline over 5 years | -32.59% | -16.93% | -15.66% |
Max Drawdown (10Y)Largest decline over 10 years | -38.21% | — | — |
Current DrawdownCurrent decline from peak | -52.55% | -1.71% | -50.84% |
Average DrawdownAverage peak-to-trough decline | -26.85% | -4.97% | -21.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.01% | 0.96% | +5.05% |
Volatility
JPYUSD=X vs. BNDW - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 0.68%, while Vanguard Total World Bond ETF (BNDW) has a volatility of 1.26%. This indicates that JPYUSD=X experiences smaller price fluctuations and is considered to be less risky than BNDW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JPYUSD=X | BNDW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.68% | 1.26% | -0.58% |
Volatility (6M)Calculated over the trailing 6-month period | 5.53% | 2.64% | +2.89% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.56% | 3.36% | +4.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.57% | 5.21% | +4.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.90% | 4.90% | +4.00% |
Frequently Asked Questions
JPYUSD=X and BNDW have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BNDW has higher volatility (1.26%) compared to JPYUSD=X (0.68%). In terms of maximum drawdown, JPYUSD=X dropped -52.96% vs BNDW's -17.22%.
BNDW currently has the higher Sharpe Ratio (0.97 vs -1.13), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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