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

Key characteristics


JPYUSD=XEWJ
YTD Return-9.86%6.39%
1Y Return-4.48%12.26%
3Y Return (Ann)-9.38%0.64%
5Y Return (Ann)-6.62%4.28%
10Y Return (Ann)-2.78%5.38%
Sharpe Ratio-0.570.83
Sortino Ratio-0.731.21
Omega Ratio0.881.15
Calmar Ratio-0.140.98
Martin Ratio-1.283.75
Ulcer Index5.68%3.87%
Daily Std Dev12.68%17.36%
Max Drawdown-53.03%-58.89%
Current Drawdown-51.52%-7.19%

Correlation

-0.50.00.51.00.1

The correlation between JPYUSD=X and EWJ is 0.05, 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. EWJ - Performance Comparison

In the year-to-date period, JPYUSD=X achieves a -9.86% return, which is significantly lower than EWJ's 6.39% return. Over the past 10 years, JPYUSD=X has underperformed EWJ with an annualized return of -2.78%, while EWJ has yielded a comparatively higher 5.38% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-1.53%
-1.06%
JPYUSD=X
EWJ

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Risk-Adjusted Performance

JPYUSD=X vs. EWJ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and iShares MSCI Japan ETF (EWJ). 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
Sharpe ratio
The chart of Sharpe ratio for JPYUSD=X, currently valued at -0.57, compared to the broader market-1.00-0.500.000.501.001.50-0.57
Sortino ratio
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.73, compared to the broader market0.0050.00100.00150.00200.00250.00-0.73
Omega ratio
The chart of Omega ratio for JPYUSD=X, currently valued at 0.88, compared to the broader market10.0020.0030.0040.0050.0060.000.88
Calmar ratio
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.14, compared to the broader market0.00100.00200.00300.00400.00500.00-0.14
Martin ratio
The chart of Martin ratio for JPYUSD=X, currently valued at -1.28, compared to the broader market0.001,000.002,000.003,000.004,000.00-1.28
EWJ
Sharpe ratio
The chart of Sharpe ratio for EWJ, currently valued at 0.28, compared to the broader market-1.00-0.500.000.501.001.500.28
Sortino ratio
The chart of Sortino ratio for EWJ, currently valued at 0.49, compared to the broader market0.0050.00100.00150.00200.00250.000.49
Omega ratio
The chart of Omega ratio for EWJ, currently valued at 1.07, compared to the broader market10.0020.0030.0040.0050.0060.001.07
Calmar ratio
The chart of Calmar ratio for EWJ, currently valued at 0.38, compared to the broader market0.00100.00200.00300.00400.00500.000.38
Martin ratio
The chart of Martin ratio for EWJ, currently valued at 1.09, compared to the broader market0.001,000.002,000.003,000.004,000.001.09

JPYUSD=X vs. EWJ - Sharpe Ratio Comparison

The current JPYUSD=X Sharpe Ratio is -0.57, which is lower than the EWJ Sharpe Ratio of 0.83. The chart below compares the historical Sharpe Ratios of JPYUSD=X and EWJ, 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-1.00-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
-0.57
0.28
JPYUSD=X
EWJ

Drawdowns

JPYUSD=X vs. EWJ - Drawdown Comparison

The maximum JPYUSD=X drawdown since its inception was -53.03%, smaller than the maximum EWJ drawdown of -58.89%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and EWJ. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-51.52%
-7.19%
JPYUSD=X
EWJ

Volatility

JPYUSD=X vs. EWJ - Volatility Comparison

JPY/USD (JPYUSD=X) has a higher volatility of 4.38% compared to iShares MSCI Japan ETF (EWJ) at 4.09%. This indicates that JPYUSD=X's price experiences larger fluctuations and is considered to be riskier than EWJ 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%JuneJulyAugustSeptemberOctoberNovember
4.38%
4.09%
JPYUSD=X
EWJ