PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
YCL vs. FXY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between YCL and FXY is 0.93, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

YCL vs. FXY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Ultra Yen (YCL) and Invesco CurrencyShares® Japanese Yen Trust (FXY). The values are adjusted to include any dividend payments, if applicable.

-80.00%-70.00%-60.00%-50.00%-40.00%JulyAugustSeptemberOctoberNovemberDecember
-80.10%
-43.46%
YCL
FXY

Key characteristics

Sharpe Ratio

YCL:

-1.05

FXY:

-0.79

Sortino Ratio

YCL:

-1.54

FXY:

-1.12

Omega Ratio

YCL:

0.83

FXY:

0.87

Calmar Ratio

YCL:

-0.26

FXY:

-0.15

Martin Ratio

YCL:

-1.32

FXY:

-1.13

Ulcer Index

YCL:

17.27%

FXY:

7.54%

Daily Std Dev

YCL:

21.87%

FXY:

10.75%

Max Drawdown

YCL:

-86.75%

FXY:

-56.03%

Current Drawdown

YCL:

-86.46%

FXY:

-54.62%

Returns By Period

In the year-to-date period, YCL achieves a -25.43% return, which is significantly lower than FXY's -10.29% return. Over the past 10 years, YCL has underperformed FXY with an annualized return of -10.11%, while FXY has yielded a comparatively higher -3.06% annualized return.


YCL

YTD

-25.43%

1M

-3.12%

6M

-0.63%

1Y

-24.13%

5Y*

-18.01%

10Y*

-10.11%

FXY

YTD

-10.29%

1M

-0.61%

6M

1.81%

1Y

-9.49%

5Y*

-7.43%

10Y*

-3.06%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


YCL vs. FXY - Expense Ratio Comparison

YCL has a 0.95% expense ratio, which is higher than FXY's 0.40% expense ratio.


YCL
ProShares Ultra Yen
Expense ratio chart for YCL: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for FXY: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

YCL vs. FXY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra Yen (YCL) and Invesco CurrencyShares® Japanese Yen Trust (FXY). 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 YCL, currently valued at -1.05, compared to the broader market0.002.004.00-1.05-0.79
The chart of Sortino ratio for YCL, currently valued at -1.54, compared to the broader market-2.000.002.004.006.008.0010.00-1.54-1.12
The chart of Omega ratio for YCL, currently valued at 0.83, compared to the broader market0.501.001.502.002.503.000.830.87
The chart of Calmar ratio for YCL, currently valued at -0.26, compared to the broader market0.005.0010.0015.00-0.26-0.15
The chart of Martin ratio for YCL, currently valued at -1.32, compared to the broader market0.0020.0040.0060.0080.00100.00-1.32-1.13
YCL
FXY

The current YCL Sharpe Ratio is -1.05, which is lower than the FXY Sharpe Ratio of -0.79. The chart below compares the historical Sharpe Ratios of YCL and FXY, 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-1.50-1.00-0.500.000.50JulyAugustSeptemberOctoberNovemberDecember
-1.05
-0.79
YCL
FXY

Dividends

YCL vs. FXY - Dividend Comparison

Neither YCL nor FXY has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

YCL vs. FXY - Drawdown Comparison

The maximum YCL drawdown since its inception was -86.75%, which is greater than FXY's maximum drawdown of -56.03%. Use the drawdown chart below to compare losses from any high point for YCL and FXY. For additional features, visit the drawdowns tool.


-90.00%-80.00%-70.00%-60.00%-50.00%JulyAugustSeptemberOctoberNovemberDecember
-86.46%
-54.62%
YCL
FXY

Volatility

YCL vs. FXY - Volatility Comparison

ProShares Ultra Yen (YCL) has a higher volatility of 6.79% compared to Invesco CurrencyShares® Japanese Yen Trust (FXY) at 3.24%. This indicates that YCL's price experiences larger fluctuations and is considered to be riskier than FXY 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
6.79%
3.24%
YCL
FXY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab