JPYUSD=X vs. SPY
Compare and contrast key facts about JPY/USD (JPYUSD=X) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPYUSD=X or SPY.
Key characteristics
| JPYUSD=X | SPY | |
|---|---|---|
| YTD Return | -7.04% | 27.04% |
| 1Y Return | 0.00% | 39.75% |
| 3Y Return (Ann) | -8.85% | 10.21% |
| 5Y Return (Ann) | -6.08% | 15.93% |
| 10Y Return (Ann) | -2.50% | 13.36% |
| Sharpe Ratio | -0.45 | 3.15 |
| Sortino Ratio | -0.56 | 4.19 |
| Omega Ratio | 0.90 | 1.59 |
| Calmar Ratio | -0.11 | 4.60 |
| Martin Ratio | -1.03 | 20.85 |
| Ulcer Index | 5.55% | 1.85% |
| Daily Std Dev | 12.63% | 12.29% |
| Max Drawdown | -53.03% | -55.19% |
| Current Drawdown | -50.00% | 0.00% |
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.
Performance
JPYUSD=X vs. SPY - Performance Comparison
In the year-to-date period, JPYUSD=X achieves a -7.04% return, which is significantly lower than SPY's 27.04% return. Over the past 10 years, JPYUSD=X has underperformed SPY with an annualized return of -2.50%, while SPY has yielded a comparatively higher 13.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Volatility
JPYUSD=X vs. SPY - Volatility Comparison
JPY/USD (JPYUSD=X) has a higher volatility of 4.12% compared to SPDR S&P 500 ETF (SPY) at 3.75%. 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.