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

Performance

JPYUSD=X vs. VDE - Performance Comparison

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

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
1.56%
8.33%
JPYUSD=X
VDE

Returns By Period

In the year-to-date period, JPYUSD=X achieves a -8.45% return, which is significantly lower than VDE's 18.82% return. Over the past 10 years, JPYUSD=X has underperformed VDE with an annualized return of -2.53%, while VDE has yielded a comparatively higher 4.49% annualized return.


JPYUSD=X

YTD

-8.45%

1M

-1.52%

6M

1.56%

1Y

-2.99%

5Y (annualized)

-6.34%

10Y (annualized)

-2.53%

VDE

YTD

18.82%

1M

8.17%

6M

8.33%

1Y

18.62%

5Y (annualized)

16.50%

10Y (annualized)

4.49%

Key characteristics


JPYUSD=XVDE
Sharpe Ratio-0.341.03
Sortino Ratio-0.401.48
Omega Ratio0.931.18
Calmar Ratio-0.081.38
Martin Ratio-0.883.33
Ulcer Index5.04%5.56%
Daily Std Dev12.78%17.97%
Max Drawdown-53.03%-74.16%
Current Drawdown-50.76%0.00%

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Correlation

-0.50.00.51.0-0.1

The correlation between JPYUSD=X and VDE is -0.12. 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.

Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and Vanguard Energy ETF (VDE). 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-1.00-0.500.000.501.001.50-0.341.49
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.40, compared to the broader market0.0050.00100.00150.00200.00250.00-0.402.04
The chart of Omega ratio for JPYUSD=X, currently valued at 0.93, compared to the broader market10.0020.0030.0040.0050.0060.000.931.29
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.08, compared to the broader market0.00100.00200.00300.00400.00500.00-0.081.83
The chart of Martin ratio for JPYUSD=X, currently valued at -0.88, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.884.20
JPYUSD=X
VDE

The current JPYUSD=X Sharpe Ratio is -0.34, which is lower than the VDE Sharpe Ratio of 1.03. The chart below compares the historical Sharpe Ratios of JPYUSD=X and VDE, 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
1.49
JPYUSD=X
VDE

Drawdowns

JPYUSD=X vs. VDE - Drawdown Comparison

The maximum JPYUSD=X drawdown since its inception was -53.03%, smaller than the maximum VDE drawdown of -74.16%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and VDE. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-50.76%
0
JPYUSD=X
VDE

Volatility

JPYUSD=X vs. VDE - Volatility Comparison

JPY/USD (JPYUSD=X) and Vanguard Energy ETF (VDE) have volatilities of 4.98% and 5.12%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.98%
5.12%
JPYUSD=X
VDE