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

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.


-0.50.00.51.0-0.3

Performance

JPYUSD=X vs. DXJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPY/USD (JPYUSD=X) and WisdomTree Japan Hedged Equity Fund (DXJ). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
1.59%
2.25%
JPYUSD=X
DXJ

Key characteristics

Sharpe Ratio

JPYUSD=X:

-0.35

DXJ:

1.36

Sortino Ratio

JPYUSD=X:

-0.41

DXJ:

1.75

Omega Ratio

JPYUSD=X:

0.93

DXJ:

1.26

Calmar Ratio

JPYUSD=X:

-0.08

DXJ:

1.28

Martin Ratio

JPYUSD=X:

-0.82

DXJ:

4.37

Ulcer Index

JPYUSD=X:

5.48%

DXJ:

6.50%

Daily Std Dev

JPYUSD=X:

12.75%

DXJ:

20.91%

Max Drawdown

JPYUSD=X:

-53.03%

DXJ:

-49.63%

Current Drawdown

JPYUSD=X:

-51.52%

DXJ:

-6.15%

Returns By Period

In the year-to-date period, JPYUSD=X achieves a -9.86% return, which is significantly lower than DXJ's 26.30% return. Over the past 10 years, JPYUSD=X has underperformed DXJ with an annualized return of -2.45%, while DXJ has yielded a comparatively higher 11.22% annualized return.


JPYUSD=X

YTD

-9.86%

1M

0.00%

6M

1.59%

1Y

-8.57%

5Y*

-6.41%

10Y*

-2.45%

DXJ

YTD

26.30%

1M

0.77%

6M

2.25%

1Y

27.58%

5Y*

18.03%

10Y*

11.22%

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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.


Sharpe ratio
The chart of Sharpe ratio for JPYUSD=X, currently valued at -0.35, compared to the broader market0.002.004.006.008.0010.00-0.350.47
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.41, compared to the broader market0.0010.0020.0030.0040.00-0.410.72
The chart of Omega ratio for JPYUSD=X, currently valued at 0.93, compared to the broader market2.004.006.008.0010.000.931.11
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.08, compared to the broader market0.0020.0040.0060.0080.00-0.080.43
The chart of Martin ratio for JPYUSD=X, currently valued at -0.82, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.821.35
JPYUSD=X
DXJ

The current JPYUSD=X Sharpe Ratio is -0.35, which is lower than the DXJ Sharpe Ratio of 1.36. The chart below compares the historical Sharpe Ratios of JPYUSD=X and DXJ, 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
0.47
JPYUSD=X
DXJ

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.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-51.52%
-6.15%
JPYUSD=X
DXJ

Volatility

JPYUSD=X vs. DXJ - Volatility Comparison

The current volatility for JPY/USD (JPYUSD=X) is 4.10%, while WisdomTree Japan Hedged Equity Fund (DXJ) has a volatility of 4.54%. This indicates that JPYUSD=X experiences smaller price fluctuations and is considered to be less risky than DXJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
4.10%
4.54%
JPYUSD=X
DXJ
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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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