JPYUSD=X vs. VDE
Compare and contrast key facts about JPY/USD (JPYUSD=X) and Vanguard Energy ETF (VDE).
VDE is a passively managed fund by Vanguard that tracks the performance of the MSCI US Investable Market Energy 25/50 Index. It was launched on Sep 23, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPYUSD=X or VDE.
Key characteristics
| JPYUSD=X | VDE | |
|---|---|---|
| YTD Return | -9.86% | 15.36% |
| 1Y Return | -4.48% | 14.64% |
| 3Y Return (Ann) | -9.38% | 22.10% |
| 5Y Return (Ann) | -6.62% | 15.64% |
| 10Y Return (Ann) | -2.78% | 4.36% |
| Sharpe Ratio | -0.57 | 0.87 |
| Sortino Ratio | -0.73 | 1.28 |
| Omega Ratio | 0.88 | 1.16 |
| Calmar Ratio | -0.14 | 1.17 |
| Martin Ratio | -1.28 | 2.84 |
| Ulcer Index | 5.68% | 5.56% |
| Daily Std Dev | 12.68% | 18.11% |
| Max Drawdown | -53.03% | -74.16% |
| Current Drawdown | -51.52% | -1.75% |
Correlation
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.
Performance
JPYUSD=X vs. VDE - Performance Comparison
In the year-to-date period, JPYUSD=X achieves a -9.86% return, which is significantly lower than VDE's 15.36% return. Over the past 10 years, JPYUSD=X has underperformed VDE with an annualized return of -2.78%, while VDE has yielded a comparatively higher 4.36% 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. 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.
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.
Volatility
JPYUSD=X vs. VDE - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 4.38%, while Vanguard Energy ETF (VDE) has a volatility of 4.98%. This indicates that JPYUSD=X experiences smaller price fluctuations and is considered to be less risky than VDE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.