USD/JPY Forex (USDJPY.Forex)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• The total return, or increase in value over 5 years of USD/JPY Forex is 45.7%, which is lower, thus worse compared to the benchmark SPY (74.4%) in the same period.
• During the last 3 years, the total return is 22.2%, which is smaller, thus worse than the value of 69.4% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the annual return (CAGR) of 7.8% of USD/JPY Forex is smaller, thus worse.
• Compared with SPY (19.3%) in the period of the last 3 years, the annual performance (CAGR) of 6.9% is lower, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The historical 30 days volatility over 5 years of USD/JPY Forex is 10%, which is lower, thus better compared to the benchmark SPY (17%) in the same period.
• Looking at volatility in of 9.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15%).

DownVol:

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

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 7.2% of USD/JPY Forex is lower, thus better.
• During the last 3 years, the downside volatility is 7%, which is lower, thus better than the value of 10.1% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the Sharpe Ratio of 0.53 in the last 5 years of USD/JPY Forex, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.55)
• Compared with SPY (1.12) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.45 is lower, thus worse.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the excess return divided by the downside deviation of 0.75 of USD/JPY Forex is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.64, which is smaller, thus worse than the value of 1.66 from the benchmark.

Ulcer:

'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.'

• The Ulcer Index over 5 years of USD/JPY Forex is 5.87 , which is lower, thus better compared to the benchmark SPY (8.43 ) in the same period.
• During the last 3 years, the Ulcer Index is 5.78 , which is higher, thus worse than the value of 3.44 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -14.8 days of USD/JPY Forex is greater, thus better.
• During the last 3 years, the maximum drop from peak to valley is -13 days, which is larger, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 433 days of USD/JPY Forex is lower, thus better.
• During the last 3 years, the maximum days below previous high is 433 days, which is greater, thus worse than the value of 87 days from the benchmark.

AveDuration:

'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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 118 days of USD/JPY Forex is lower, thus better.
• Looking at average days below previous high in of 144 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20 days).