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

Correlation

The correlation between JPYUSD=X and YCS is -0.73. 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.


-0.50.00.51.0-0.7

Performance

JPYUSD=X vs. YCS - Performance Comparison

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

-50.00%0.00%50.00%100.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
-39.05%
153.42%
JPYUSD=X
YCS

Key characteristics

Sharpe Ratio

JPYUSD=X:

-0.35

YCS:

1.38

Sortino Ratio

JPYUSD=X:

-0.41

YCS:

1.86

Omega Ratio

JPYUSD=X:

0.93

YCS:

1.26

Calmar Ratio

JPYUSD=X:

-0.08

YCS:

1.33

Martin Ratio

JPYUSD=X:

-0.82

YCS:

3.25

Ulcer Index

JPYUSD=X:

5.45%

YCS:

9.42%

Daily Std Dev

JPYUSD=X:

12.75%

YCS:

22.16%

Max Drawdown

JPYUSD=X:

-53.03%

YCS:

-49.56%

Current Drawdown

JPYUSD=X:

-51.52%

YCS:

-4.95%

Returns By Period

In the year-to-date period, JPYUSD=X achieves a -9.86% return, which is significantly lower than YCS's 33.21% return. Over the past 10 years, JPYUSD=X has underperformed YCS with an annualized return of -2.56%, while YCS has yielded a comparatively higher 7.53% annualized return.


JPYUSD=X

YTD

-9.86%

1M

-1.54%

6M

1.59%

1Y

-8.57%

5Y*

-6.41%

10Y*

-2.56%

YCS

YTD

33.21%

1M

0.95%

6M

0.68%

1Y

28.75%

5Y*

18.96%

10Y*

7.53%

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and ProShares UltraShort Yen (YCS). 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 market0.002.004.006.008.0010.00-0.350.75
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.41, compared to the broader market0.0010.0020.0030.0040.00-0.411.10
The chart of Omega ratio for JPYUSD=X, currently valued at 0.93, compared to the broader market2.004.006.008.0010.000.931.17
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.08, compared to the broader market0.0020.0040.0060.0080.00-0.080.68
The chart of Martin ratio for JPYUSD=X, currently valued at -0.82, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.821.53
JPYUSD=X
YCS

The current JPYUSD=X Sharpe Ratio is -0.35, which is lower than the YCS Sharpe Ratio of 1.38. The chart below compares the historical Sharpe Ratios of JPYUSD=X and YCS, 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
0.75
JPYUSD=X
YCS

Drawdowns

JPYUSD=X vs. YCS - Drawdown Comparison

The maximum JPYUSD=X drawdown since its inception was -53.03%, which is greater than YCS's maximum drawdown of -49.56%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and YCS. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-51.52%
-4.95%
JPYUSD=X
YCS

Volatility

JPYUSD=X vs. YCS - Volatility Comparison

The current volatility for JPY/USD (JPYUSD=X) is 4.10%, while ProShares UltraShort Yen (YCS) has a volatility of 5.72%. This indicates that JPYUSD=X experiences smaller price fluctuations and is considered to be less risky than YCS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.10%
5.72%
JPYUSD=X
YCS
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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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