USD/JPY Forex (USDJPY.Forex)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or performance of 39.5% in the last 5 years of USD/JPY Forex, we see it is relatively lower, thus worse in comparison to the benchmark SPY (103.3%)
• Looking at total return, or performance in of 9.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (59.7%).

CAGR:

'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.'

• The compounded annual growth rate (CAGR) over 5 years of USD/JPY Forex is 6.9%, which is lower, thus worse compared to the benchmark SPY (15.3%) in the same period.
• During the last 3 years, the annual return (CAGR) is 2.9%, which is smaller, thus worse than the value of 17% from the benchmark.

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.'

• Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the 30 days standard deviation of 9.7% of USD/JPY Forex is lower, thus better.
• Looking at historical 30 days volatility in of 11% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.3%).

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the downside deviation of 7% of USD/JPY Forex is lower, thus better.
• Looking at downside risk in of 8.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (11.5%).

Sharpe:

'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.'

• Looking at the risk / return profile (Sharpe) of 0.45 in the last 5 years of USD/JPY Forex, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.73)
• During the last 3 years, the risk / return profile (Sharpe) is 0.04, which is smaller, thus worse than the value of 0.84 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the ratio of annual return and downside deviation of 0.63 in the last 5 years of USD/JPY Forex, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.06)
• During the last 3 years, the ratio of annual return and downside deviation is 0.05, which is lower, thus worse than the value of 1.26 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.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Downside risk index of 5.56 of USD/JPY Forex is smaller, thus better.
• Compared with SPY (5.31 ) in the period of the last 3 years, the Downside risk index of 7.06 is larger, thus worse.

MaxDD:

'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.'

• The maximum reduction from previous high over 5 years of USD/JPY Forex is -14.8 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -14.8 days, which is greater, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'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) in days.'

• The maximum days under water over 5 years of USD/JPY Forex is 273 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 273 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (199 days).

AveDuration:

'The Average 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. 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.'

• Looking at the average time in days below previous high water mark of 79 days in the last 5 years of USD/JPY Forex, we see it is relatively lower, thus better in comparison to the benchmark SPY (120 days)
• During the last 3 years, the average days under water is 107 days, which is greater, thus worse than the value of 47 days from the benchmark.