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

Performance

JPYUSD=X vs. EWJ - Performance Comparison

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

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
1.56%
0.37%
JPYUSD=X
EWJ

Returns By Period

In the year-to-date period, JPYUSD=X achieves a -8.45% return, which is significantly lower than EWJ's 5.97% return. Over the past 10 years, JPYUSD=X has underperformed EWJ with an annualized return of -2.53%, while EWJ has yielded a comparatively higher 5.44% annualized return.


JPYUSD=X

YTD

-8.45%

1M

-1.52%

6M

1.56%

1Y

-2.99%

5Y (annualized)

-6.34%

10Y (annualized)

-2.53%

EWJ

YTD

5.97%

1M

-0.87%

6M

0.37%

1Y

10.29%

5Y (annualized)

4.27%

10Y (annualized)

5.44%

Key characteristics


JPYUSD=XEWJ
Sharpe Ratio-0.340.64
Sortino Ratio-0.400.96
Omega Ratio0.931.12
Calmar Ratio-0.080.81
Martin Ratio-0.882.72
Ulcer Index5.04%4.03%
Daily Std Dev12.78%17.19%
Max Drawdown-53.03%-58.89%
Current Drawdown-50.76%-7.56%

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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.

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.


Sharpe ratio
The chart of Sharpe ratio for JPYUSD=X, currently valued at -0.34, compared to the broader market-1.00-0.500.000.501.001.50-0.340.21
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.40, compared to the broader market0.0050.00100.00150.00200.00250.00-0.400.39
The chart of Omega ratio for JPYUSD=X, currently valued at 0.93, compared to the broader market10.0020.0030.0040.0050.0060.000.931.05
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.08, compared to the broader market0.00100.00200.00300.00400.00500.00-0.080.28
The chart of Martin ratio for JPYUSD=X, currently valued at -0.88, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.880.78
JPYUSD=X
EWJ

The current JPYUSD=X Sharpe Ratio is -0.34, which is lower than the EWJ Sharpe Ratio of 0.64. 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
-0.34
0.21
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
-50.76%
-7.56%
JPYUSD=X
EWJ

Volatility

JPYUSD=X vs. EWJ - Volatility Comparison

JPY/USD (JPYUSD=X) has a higher volatility of 4.98% compared to iShares MSCI Japan ETF (EWJ) at 3.26%. 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
4.98%
3.26%
JPYUSD=X
EWJ