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

Correlation

The correlation between JPYUSD=X and SPY is -0.14. 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.


-0.50.00.51.0-0.1

Performance

JPYUSD=X vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPY/USD (JPYUSD=X) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
1.59%
8.25%
JPYUSD=X
SPY

Key characteristics

Sharpe Ratio

JPYUSD=X:

-0.35

SPY:

2.17

Sortino Ratio

JPYUSD=X:

-0.41

SPY:

2.88

Omega Ratio

JPYUSD=X:

0.93

SPY:

1.41

Calmar Ratio

JPYUSD=X:

-0.08

SPY:

3.19

Martin Ratio

JPYUSD=X:

-0.82

SPY:

14.10

Ulcer Index

JPYUSD=X:

5.48%

SPY:

1.90%

Daily Std Dev

JPYUSD=X:

12.75%

SPY:

12.39%

Max Drawdown

JPYUSD=X:

-53.03%

SPY:

-55.19%

Current Drawdown

JPYUSD=X:

-51.52%

SPY:

-3.19%

Returns By Period

In the year-to-date period, JPYUSD=X achieves a -9.86% return, which is significantly lower than SPY's 24.97% return. Over the past 10 years, JPYUSD=X has underperformed SPY with an annualized return of -2.45%, while SPY has yielded a comparatively higher 12.92% annualized return.


JPYUSD=X

YTD

-9.86%

1M

-1.54%

6M

1.59%

1Y

-8.57%

5Y*

-6.41%

10Y*

-2.45%

SPY

YTD

24.97%

1M

-0.32%

6M

8.25%

1Y

26.85%

5Y*

14.57%

10Y*

12.92%

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and SPDR S&P 500 ETF (SPY). 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 market0.002.004.006.008.0010.00-0.351.68
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.41, compared to the broader market0.0010.0020.0030.0040.00-0.412.29
The chart of Omega ratio for JPYUSD=X, currently valued at 0.93, compared to the broader market2.004.006.008.0010.000.931.35
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.08, compared to the broader market0.0020.0040.0060.0080.00-0.082.33
The chart of Martin ratio for JPYUSD=X, currently valued at -0.82, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.829.76
JPYUSD=X
SPY

The current JPYUSD=X Sharpe Ratio is -0.35, which is lower than the SPY Sharpe Ratio of 2.17. The chart below compares the historical Sharpe Ratios of JPYUSD=X and SPY, 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
1.68
JPYUSD=X
SPY

Drawdowns

JPYUSD=X vs. SPY - Drawdown Comparison

The maximum JPYUSD=X drawdown since its inception was -53.03%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and SPY. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-51.52%
-3.19%
JPYUSD=X
SPY

Volatility

JPYUSD=X vs. SPY - Volatility Comparison

JPY/USD (JPYUSD=X) has a higher volatility of 4.10% compared to SPDR S&P 500 ETF (SPY) at 3.50%. This indicates that JPYUSD=X's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.10%
3.50%
JPYUSD=X
SPY
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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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