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Performance
JPY=X Performance Chart
USD/JPY (JPY=X) is up 2.0% since the beginning of the year. JPY=X is currently trading at ¥160 per share. Investors who bought ¥1,000 worth of JPY=X shares 5 years ago would now be looking at an investment worth ¥1,461.
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Returns By Period
USD/JPY (JPY=X) has returned 1.96% so far this year and 11.08% over the past 12 months. Over the last ten years, JPY=X has returned 4.15% per year, falling short of the S&P 500 Index benchmark, which averaged 18.37% annually.
USD/JPY
- 1D
- 0.18%
- 1M
- 1.72%
- YTD
- 1.96%
- 6M
- 3.03%
- 1Y
- 11.08%
- 3Y*
- 4.56%
- 5Y*
- 7.87%
- 10Y*
- 4.15%
Benchmark (S&P 500 Index)
- 1D
- -0.56%
- 1M
- 6.70%
- YTD
- 12.50%
- 6M
- 13.62%
- 1Y
- 40.54%
- 3Y*
- 26.33%
- 5Y*
- 21.14%
- 10Y*
- 18.37%
JPY=X Monthly Returns History
Based on dividend-adjusted daily data since Jul 11, 2007, JPY=X's average daily return is +0.01%, while the average monthly return is +0.16%. At this rate, an 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% | 1.74% | -1.34% | 1.84% | 0.28% | 1.96% | ||||||
| 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 -1.53%, beta of 0.26, and R2 of 0.43 versus S&P 500 Index. Calculated based on daily prices since July 12, 2007.
- This currency participated in 36.28% of S&P 500 Index downside but only 20.51% 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
- -1.53%
- Beta
- 0.26
- R²
- 0.43
- Upside Capture
- 20.51%
- Downside Capture
- 36.28%
Return for Risk
Risk / Return Rank
JPY=X ranks 87 for risk / return — in the top 87% of currencies on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for USD/JPY (JPY=X) and compare them to S&P 500 Index.
| JPY=X | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.15 | 2.94 | -1.79 |
Sortino ratioReturn per unit of downside risk | 1.57 | 3.73 | -2.16 |
Omega ratioGain probability vs. loss probability | 1.22 | 1.53 | -0.31 |
Calmar ratioReturn relative to maximum drawdown | 2.04 | 4.76 | -2.72 |
Martin ratioReturn relative to average drawdown | 6.04 | 18.56 | -12.52 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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 38.14%, occurring on Oct 28, 2011. Recovery took 932 trading sessions.
The current USD/JPY drawdown is 1.08%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2011 bear market2011 | -38.14%Oct 2011 | 4y 3mo | 3y 7mo | 7y 10moJul 2007 - May 2015 |
2016 bear market2016 | -20.47%Aug 2016 | 1y 2mo | 5y 7mo | 6y 10moJun 2015 - Apr 2022 |
2023 correction2023 | -14.84%Jan 2023 | 2mo 24d | 9mo 15d | 1y 4dOct 2022 - Oct 2023 |
2024 correction2024 | -13.02%Sep 2024 | 2mo 7d | — | 1y 10moJul 2024 - now |
2024 pullback2024 | -7.10%Jan 2024 | 1mo 18d | 3mo 8d | 4mo 26dNov 2023 - Apr 2024 |
Drawdown Indicators
| JPY=X | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.14% | -64.72% | +26.58% |
Max Drawdown (1Y)Largest decline over 1 year | -4.34% | -8.56% | +4.22% |
Max Drawdown (3Y)Largest decline over 3 years | -13.02% | -23.90% | +10.88% |
Max Drawdown (5Y)Largest decline over 5 years | -14.84% | -23.90% | +9.06% |
Max Drawdown (10Y)Largest decline over 10 years | -14.84% | -34.19% | +19.35% |
Current DrawdownCurrent decline from peak | -1.08% | -0.56% | -0.52% |
Average DrawdownAverage peak-to-trough decline | -14.50% | -16.15% | +1.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.29% | 2.19% | -0.90% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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