JPYUSD=X vs. XAU.TO
Compare and contrast key facts about JPY/USD (JPYUSD=X) and Goldmoney Inc. (XAU.TO).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPYUSD=X or XAU.TO.
Key characteristics
| JPYUSD=X | XAU.TO | |
|---|---|---|
| YTD Return | -7.04% | 23.30% |
| 1Y Return | 0.00% | 15.33% |
| 3Y Return (Ann) | -8.85% | -5.35% |
| 5Y Return (Ann) | -6.08% | -1.44% |
| 10Y Return (Ann) | -2.50% | 195.46% |
| Sharpe Ratio | -0.45 | 0.42 |
| Sortino Ratio | -0.56 | 0.91 |
| Omega Ratio | 0.90 | 1.11 |
| Calmar Ratio | -0.11 | 0.17 |
| Martin Ratio | -1.03 | 1.50 |
| Ulcer Index | 5.55% | 9.69% |
| Daily Std Dev | 12.63% | 34.18% |
| Max Drawdown | -53.03% | -83.45% |
| Current Drawdown | -50.00% | -75.29% |
Correlation
The correlation between JPYUSD=X and XAU.TO is 0.04, 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.
Performance
JPYUSD=X vs. XAU.TO - Performance Comparison
In the year-to-date period, JPYUSD=X achieves a -7.04% return, which is significantly lower than XAU.TO's 23.30% return. Over the past 10 years, JPYUSD=X has underperformed XAU.TO with an annualized return of -2.50%, while XAU.TO has yielded a comparatively higher 195.46% 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. XAU.TO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and Goldmoney Inc. (XAU.TO). 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. XAU.TO - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -53.03%, smaller than the maximum XAU.TO drawdown of -83.45%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and XAU.TO. For additional features, visit the drawdowns tool.
Volatility
JPYUSD=X vs. XAU.TO - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 4.12%, while Goldmoney Inc. (XAU.TO) has a volatility of 4.45%. This indicates that JPYUSD=X experiences smaller price fluctuations and is considered to be less risky than XAU.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.