JPYUSD=X vs. DXJ
Compare and contrast key facts about JPY/USD (JPYUSD=X) and WisdomTree Japan Hedged Equity Fund (DXJ).
DXJ is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree Japan Hedged Equity Index. It was launched on Jun 16, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPYUSD=X or DXJ.
Performance
JPYUSD=X vs. DXJ - Performance Comparison
Returns By Period
In the year-to-date period, JPYUSD=X achieves a -8.45% return, which is significantly lower than DXJ's 25.53% return. Over the past 10 years, JPYUSD=X has underperformed DXJ with an annualized return of -2.53%, while DXJ has yielded a comparatively higher 11.42% annualized return.
JPYUSD=X
-8.45%
-2.99%
1.56%
-2.99%
-6.35%
-2.53%
DXJ
25.53%
0.60%
0.26%
24.20%
18.67%
11.42%
Key characteristics
| JPYUSD=X | DXJ | |
|---|---|---|
| Sharpe Ratio | -0.35 | 1.10 |
| Sortino Ratio | -0.41 | 1.46 |
| Omega Ratio | 0.93 | 1.22 |
| Calmar Ratio | -0.08 | 1.03 |
| Martin Ratio | -0.89 | 3.63 |
| Ulcer Index | 4.97% | 6.31% |
| Daily Std Dev | 12.61% | 20.87% |
| Max Drawdown | -53.03% | -49.63% |
| Current Drawdown | -50.76% | -6.72% |
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Correlation
The correlation between JPYUSD=X and DXJ is -0.33. 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.
Risk-Adjusted Performance
JPYUSD=X vs. DXJ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and WisdomTree Japan Hedged Equity Fund (DXJ). 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. DXJ - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -53.03%, which is greater than DXJ's maximum drawdown of -49.63%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and DXJ. For additional features, visit the drawdowns tool.
Volatility
JPYUSD=X vs. DXJ - Volatility Comparison
JPY/USD (JPYUSD=X) and WisdomTree Japan Hedged Equity Fund (DXJ) have volatilities of 4.70% and 4.66%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.