PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^N225 vs. FJPNX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^N225 and FJPNX is 0.53, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

^N225 vs. FJPNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Nikkei 225 (^N225) and Fidelity Japan Fund (FJPNX). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
2.06%
-0.79%
^N225
FJPNX

Key characteristics

Sharpe Ratio

^N225:

0.71

FJPNX:

0.30

Sortino Ratio

^N225:

1.06

FJPNX:

0.52

Omega Ratio

^N225:

1.17

FJPNX:

1.07

Calmar Ratio

^N225:

0.71

FJPNX:

0.29

Martin Ratio

^N225:

2.55

FJPNX:

1.41

Ulcer Index

^N225:

7.13%

FJPNX:

4.27%

Daily Std Dev

^N225:

25.95%

FJPNX:

20.33%

Max Drawdown

^N225:

-81.87%

FJPNX:

-61.98%

Current Drawdown

^N225:

-8.08%

FJPNX:

-15.46%

Returns By Period

In the year-to-date period, ^N225 achieves a 15.99% return, which is significantly higher than FJPNX's 1.87% return. Over the past 10 years, ^N225 has outperformed FJPNX with an annualized return of 8.35%, while FJPNX has yielded a comparatively lower 6.14% annualized return.


^N225

YTD

15.99%

1M

1.55%

6M

0.63%

1Y

16.84%

5Y*

10.52%

10Y*

8.35%

FJPNX

YTD

1.87%

1M

-5.48%

6M

-1.15%

1Y

5.61%

5Y*

3.55%

10Y*

6.14%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

^N225 vs. FJPNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Nikkei 225 (^N225) and Fidelity Japan Fund (FJPNX). 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 ^N225, currently valued at 0.16, compared to the broader market-1.000.001.002.000.160.15
The chart of Sortino ratio for ^N225, currently valued at 0.42, compared to the broader market-1.000.001.002.003.000.420.33
The chart of Omega ratio for ^N225, currently valued at 1.06, compared to the broader market0.800.901.001.101.201.301.401.061.04
The chart of Calmar ratio for ^N225, currently valued at 0.19, compared to the broader market0.001.002.003.004.000.190.16
The chart of Martin ratio for ^N225, currently valued at 0.68, compared to the broader market0.005.0010.0015.000.680.69
^N225
FJPNX

The current ^N225 Sharpe Ratio is 0.71, which is higher than the FJPNX Sharpe Ratio of 0.30. The chart below compares the historical Sharpe Ratios of ^N225 and FJPNX, 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 Ratio0.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
0.16
0.15
^N225
FJPNX

Drawdowns

^N225 vs. FJPNX - Drawdown Comparison

The maximum ^N225 drawdown since its inception was -81.87%, which is greater than FJPNX's maximum drawdown of -61.98%. Use the drawdown chart below to compare losses from any high point for ^N225 and FJPNX. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-13.68%
-15.46%
^N225
FJPNX

Volatility

^N225 vs. FJPNX - Volatility Comparison

The current volatility for Nikkei 225 (^N225) is 5.69%, while Fidelity Japan Fund (FJPNX) has a volatility of 8.02%. This indicates that ^N225 experiences smaller price fluctuations and is considered to be less risky than FJPNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
5.69%
8.02%
^N225
FJPNX
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