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USD/JPY (JPY=X)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Compare to other instruments

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Performance

Performance Chart


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Returns By Period

USD/JPY (JPY=X) returned -7.56% year-to-date (YTD) and -6.18% over the past 12 months. Over the past 10 years, JPY=X returned 1.87% annually, underperforming the S&P 500 benchmark at 10.79%.


JPY=X

YTD

-7.56%

1M

1.43%

6M

-7.01%

1Y

-6.18%

5Y*

6.08%

10Y*

1.87%

^GSPC (Benchmark)

YTD

0.60%

1M

9.64%

6M

-0.54%

1Y

11.47%

5Y*

15.67%

10Y*

10.79%

*Annualized

Monthly Returns

The table below presents the monthly returns of JPY=X, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2025-1.27%-2.95%-0.44%-4.59%1.56%-7.56%
20244.13%2.10%0.89%4.29%-0.31%2.25%-6.76%-2.54%-1.74%5.85%-1.49%4.96%11.43%
2023-0.78%4.70%-2.51%2.63%2.24%3.58%-1.41%2.28%2.63%1.55%-2.29%-4.82%7.58%
20220.02%-0.10%5.80%6.71%-0.89%5.48%-1.87%4.32%4.17%2.74%-7.18%-5.01%13.93%
20211.39%1.81%3.87%-1.29%0.25%1.42%-1.26%0.29%1.14%2.45%-0.75%1.71%11.47%
2020-0.21%-0.29%-0.50%-0.33%0.56%0.14%-1.89%0.01%-0.42%-0.77%-0.35%-0.99%-4.94%
2019-0.63%2.30%-0.48%0.51%-2.83%-0.35%0.80%-2.25%1.67%-0.04%1.37%-0.81%-0.87%
2018-3.11%-2.30%-0.37%2.88%-0.47%1.71%1.08%-0.75%2.39%-0.66%0.47%-3.44%-2.76%
2017-3.51%-0.01%-1.23%0.13%-0.69%1.45%-1.89%-0.25%2.29%1.02%-0.97%0.13%-3.60%
20160.61%-6.91%-0.10%-5.52%4.08%-6.70%-1.19%1.33%-2.01%3.43%9.20%2.12%-2.85%
2015-1.87%1.78%0.50%-0.64%4.00%-1.33%1.18%-2.19%-1.12%0.63%2.05%-2.26%0.52%
2014-3.11%-0.23%1.39%-0.93%-0.46%-0.45%1.45%1.25%5.36%2.43%5.62%0.89%13.65%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of JPY=X is 11, meaning it’s performing worse than 89% of other currencies on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of JPY=X is 1111
Overall Rank
The Sharpe Ratio Rank of JPY=X is 1515
Sharpe Ratio Rank
The Sortino Ratio Rank of JPY=X is 1010
Sortino Ratio Rank
The Omega Ratio Rank of JPY=X is 1717
Omega Ratio Rank
The Calmar Ratio Rank of JPY=X is 00
Calmar Ratio Rank
The Martin Ratio Rank of JPY=X is 1515
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for USD/JPY (JPY=X) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

USD/JPY Sharpe ratios as of May 16, 2025 (values are recalculated daily):

  • 1-Year: -0.56
  • 5-Year: 0.65
  • 10-Year: 0.20
  • All Time: 0.01

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

The chart below shows the rolling Sharpe ratio of USD/JPY compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


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Worst Drawdowns

The table below displays the maximum drawdowns of the USD/JPY. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the USD/JPY was 52.58%, occurring on Oct 28, 2011. Recovery took 3303 trading sessions.

The current USD/JPY drawdown is 10.13%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-52.58%Apr 18, 19905610Oct 28, 20113303Jun 26, 20248913
-13.04%Jul 4, 202453Sep 16, 2024
-2.56%Jan 3, 199018Jan 26, 199020Feb 23, 199038
-1.71%Nov 21, 198926Dec 26, 19894Jan 2, 199030
-1.56%Apr 4, 19902Apr 5, 19908Apr 17, 199010

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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