US Dollar/Japanese Yen Forex

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Using this definition on our asset we see for example:- Looking at the total return of 30.4% in the last 5 years of USD/JPY Forex, we see it is relatively lower, thus worse in comparison to the benchmark SPY (80%)
- During the last 3 years, the total return, or increase in value is 41.9%, which is greater, thus better than the value of 31.8% from the benchmark.

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Using this definition on our asset we see for example:- Looking at the compounded annual growth rate (CAGR) of 5.5% in the last 5 years of USD/JPY Forex, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.5%)
- Looking at annual return (CAGR) in of 12.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (9.7%).

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Which means for our asset as example:- Looking at the historical 30 days volatility of 8.8% in the last 5 years of USD/JPY Forex, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.3%)
- Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 9.4% is smaller, thus better.

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:- The downside risk over 5 years of USD/JPY Forex is 6.2%, which is lower, thus better compared to the benchmark SPY (15.3%) in the same period.
- Looking at downside volatility in of 6.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.3%).

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:- The ratio of return and volatility (Sharpe) over 5 years of USD/JPY Forex is 0.34, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
- Compared with SPY (0.41) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.05 is higher, thus better.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:- The ratio of annual return and downside deviation over 5 years of USD/JPY Forex is 0.48, which is lower, thus worse compared to the benchmark SPY (0.66) in the same period.
- During the last 3 years, the excess return divided by the downside deviation is 1.49, which is greater, thus better than the value of 0.58 from the benchmark.

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Which means for our asset as example:- Looking at the Downside risk index of 5.48 in the last 5 years of USD/JPY Forex, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.43 )
- Looking at Downside risk index in of 4.95 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Applying this definition to our asset in some examples:- The maximum drop from peak to valley over 5 years of USD/JPY Forex is -14.8 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum DrawDown is -14.8 days, which is higher, thus better than the value of -24.5 days from the benchmark.

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as example:- Compared with the benchmark SPY (480 days) in the period of the last 5 years, the maximum days below previous high of 721 days of USD/JPY Forex is larger, thus worse.
- Looking at maximum days under water in of 254 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (480 days).

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Using this definition on our asset we see for example:- Looking at the average days below previous high of 248 days in the last 5 years of USD/JPY Forex, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
- Looking at average time in days below previous high water mark in of 60 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (174 days).

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of USD/JPY Forex are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.