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Performance
Performance Chart
The chart shows the growth of an initial investment of ¥10,000 in USD/JPY, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Different Benchmark Currency
JPY=X is traded in JPY, while the ^GSPC benchmark is in USD. To make them comparable, the benchmark values have been converted to JPY using the latest available exchange rates.
Returns By Period
USD/JPY (JPY=X) has returned 1.31% so far this year and 5.98% over the past 12 months. Over the last ten years, JPY=X has returned 3.60% per year, falling short of the S&P 500 Index benchmark, which averaged 16.19% annually.
USD/JPY
- 1D
- -0.48%
- 1M
- 1.51%
- YTD
- 1.31%
- 6M
- 7.51%
- 1Y
- 5.98%
- 3Y*
- 6.18%
- 5Y*
- 7.52%
- 10Y*
- 3.60%
Benchmark (S&P 500 Index)
- 1D
- 2.42%
- 1M
- -3.33%
- YTD
- -3.38%
- 6M
- 4.94%
- 1Y
- 23.29%
- 3Y*
- 23.90%
- 5Y*
- 18.47%
- 10Y*
- 16.19%
Monthly Returns
Based on dividend-adjusted daily data since May 9, 2007, JPY=X's average daily return is +0.01%, while the average monthly return is +0.16%. At this rate, your investment would double in approximately 36.1 years.
Historically, 50% of months were positive and 50% were negative. The best month was Nov 2016 with a return of +9.2%, while the worst month was Oct 2008 at -7.1%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 6 months.
On a daily basis, JPY=X closed higher 51% of trading days. The best single day was Oct 28, 2008 with a return of +5.7%, while the worst single day was Dec 20, 2022 at -3.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -1.34% | 0.81% | 1.86% | 1.31% | |||||||||
| 2025 | -1.37% | -2.93% | -0.44% | -4.60% | 0.69% | -0.04% | 4.68% | -2.52% | 0.60% | 4.20% | 1.23% | 0.61% | -0.29% |
| 2024 | 4.17% | 2.12% | 0.90% | 4.28% | -0.35% | 2.42% | -6.89% | -2.55% | -1.71% | 5.85% | -1.53% | 5.08% | 11.58% |
| 2023 | -0.79% | 4.66% | -2.49% | 2.68% | 2.24% | 3.55% | -1.39% | 2.29% | 2.60% | 1.57% | -2.30% | -4.86% | 7.54% |
| 2022 | 0.04% | -0.16% | 5.82% | 6.74% | -0.96% | 5.48% | -1.81% | 4.32% | 4.15% | 2.74% | -7.10% | -5.08% | 13.91% |
| 2021 | 1.38% | 1.75% | 3.91% | -1.25% | 0.22% | 1.43% | -1.27% | 0.28% | 1.15% | 2.45% | -0.73% | 1.71% | 11.47% |
Benchmark Metrics
USD/JPY has an annualized alpha of -1.25%, beta of 0.26, and R² of 0.43 versus S&P 500 Index. Calculated based on daily prices since May 10, 2007.
- This currency participated in 36.05% of S&P 500 Index downside but only 21.26% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.26 may look defensive, but with R² of 0.43 this currency is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this currency's risk.
- R² of 0.43 means the benchmark explains less than half of this currency's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- -1.25%
- Beta
- 0.26
- R²
- 0.43
- Upside Capture
- 21.26%
- Downside Capture
- 36.05%
Return for Risk
Risk / Return Rank
JPY=X ranks 72 for risk / return — better than 72% of currencies on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for USD/JPY (JPY=X) and compare them to a chosen benchmark (S&P 500 Index).
| JPY=X | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.52 | 1.02 | -0.50 |
Sortino ratioReturn per unit of downside risk | 0.78 | 1.53 | -0.75 |
Omega ratioGain probability vs. loss probability | 1.10 | 1.24 | -0.14 |
Calmar ratioReturn relative to maximum drawdown | 2.17 | 1.70 | +0.46 |
Martin ratioReturn relative to average drawdown | 6.07 | 6.96 | -0.89 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore JPY=X risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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 38.80%, occurring on Oct 28, 2011. Recovery took 934 trading sessions.
The current USD/JPY drawdown is 1.70%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -38.8% | Jun 25, 2007 | 1134 | Oct 28, 2011 | 934 | May 28, 2015 | 2068 |
| -20.47% | Jun 8, 2015 | 314 | Aug 18, 2016 | 1474 | Apr 13, 2022 | 1788 |
| -14.84% | Oct 21, 2022 | 61 | Jan 13, 2023 | 203 | Oct 25, 2023 | 264 |
| -13.02% | Jul 11, 2024 | 52 | Sep 16, 2024 | — | — | — |
| -7.1% | Nov 14, 2023 | 35 | Jan 1, 2024 | 70 | Apr 8, 2024 | 105 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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