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.'

• Compared with the benchmark SPY (115%) in the period of the last 5 years, the total return of 39.7% of USD/JPY Forex is lower, thus worse.
• Compared with SPY (90.2%) in the period of the last 3 years, the total return, or increase in value of 1.8% is lower, thus worse.

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.'

• Compared with the benchmark SPY (16.6%) in the period of the last 5 years, the annual return (CAGR) of 6.9% of USD/JPY Forex is lower, thus worse.
• During the last 3 years, the annual performance (CAGR) is 0.6%, which is smaller, thus worse than the value of 24% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The volatility over 5 years of USD/JPY Forex is 9.7%, which is smaller, thus better compared to the benchmark SPY (17.2%) in the same period.
• During the last 3 years, the volatility is 10.9%, which is lower, thus better than the value of 16.5% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside risk of 7% in the last 5 years of USD/JPY Forex, we see it is relatively lower, thus better in comparison to the benchmark SPY (11.8%)
• Compared with SPY (10.7%) in the period of the last 3 years, the downside risk of 8.1% is lower, thus better.

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.'

• Compared with the benchmark SPY (0.82) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.46 of USD/JPY Forex is smaller, thus worse.
• Compared with SPY (1.31) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.17 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.'

• The excess return divided by the downside deviation over 5 years of USD/JPY Forex is 0.64, which is smaller, thus worse compared to the benchmark SPY (1.19) in the same period.
• Looking at excess return divided by the downside deviation in of -0.23 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (2.02).

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 (8.42 ) in the period of the last 5 years, the Downside risk index of 5.75 of USD/JPY Forex is lower, thus better.
• Compared with SPY (3.65 ) in the period of the last 3 years, the Downside risk index of 7.34 is greater, 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.'

• 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 higher, thus better.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -14.8 days is higher, thus better.

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.'

• Looking at the maximum days under water of 314 days in the last 5 years of USD/JPY Forex, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 314 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 days).

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.'

• The average time in days below previous high water mark over 5 years of USD/JPY Forex is 84 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• Looking at average days below previous high in of 121 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (21 days).