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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in JPY/USD, 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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Returns By Period
JPY/USD (JPYUSD=X) has returned -1.34% so far this year and -5.56% over the past 12 months. Over the last ten years, JPYUSD=X has returned -3.46% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
JPY/USD
- 1D
- 0.60%
- 1M
- -1.44%
- YTD
- -1.34%
- 6M
- -6.87%
- 1Y
- -5.56%
- 3Y*
- -5.78%
- 5Y*
- -6.98%
- 10Y*
- -3.46%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Apr 27, 2007, JPYUSD=X's average daily return is 0.00%, while the average monthly return is -0.08%.
Historically, 50% of months were positive and 50% were negative. The best month was Nov 2022 with a return of +7.7%, while the worst month was Nov 2016 at -8.5%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 8 months.
On a daily basis, JPYUSD=X closed higher 47% of trading days. The best single day was Mar 16, 2011 with a return of +5.6%, while the worst single day was Oct 28, 2008 at -6.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.24% | -0.84% | -1.73% | -1.34% | |||||||||
| 2025 | 1.31% | 3.03% | 0.42% | 4.86% | -0.70% | -0.03% | -4.38% | 2.59% | -0.69% | -3.98% | -0.97% | -0.73% | 0.33% |
| 2024 | -4.01% | -2.01% | -0.89% | -4.10% | 0.32% | -2.27% | 7.37% | 2.53% | 1.73% | -5.49% | 1.52% | -4.72% | -10.26% |
| 2023 | 0.79% | -4.50% | 2.58% | -2.51% | -2.21% | -3.46% | 1.43% | -2.26% | -2.56% | -1.52% | 2.35% | 5.07% | -7.04% |
| 2022 | -0.05% | 0.16% | -5.53% | -6.27% | 0.87% | -5.19% | 1.90% | -4.22% | -3.90% | -2.71% | 7.74% | 5.30% | -12.23% |
| 2021 | -1.34% | -1.70% | -3.78% | 1.25% | -0.21% | -1.36% | 1.28% | -0.29% | -1.16% | -2.40% | 0.72% | -1.64% | -10.24% |
Benchmark Metrics
JPY/USD has an annualized alpha of 0.56%, beta of -0.17, and R² of 0.10 versus S&P 500 Index. Calculated based on daily prices since April 30, 2007.
- This currency tended to rise when S&P 500 Index fell (downside capture of -8.17%), but participation in market rallies was also limited (-8.59%) — a profile typical of counter-cyclical assets.
- Beta of -0.17 may look defensive, but with R² of 0.10 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 0.10 means this currency moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 0.56%
- Beta
- -0.17
- R²
- 0.10
- Upside Capture
- -8.59%
- Downside Capture
- -8.17%
Return for Risk
Risk / Return Rank
JPYUSD=X ranks 23 for risk / return — below 23% of currencies on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and compare them to a chosen benchmark (S&P 500 Index).
| JPYUSD=X | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.50 | 0.90 | -1.40 |
Sortino ratioReturn per unit of downside risk | -0.66 | 1.39 | -2.05 |
Omega ratioGain probability vs. loss probability | 0.92 | 1.21 | -0.29 |
Calmar ratioReturn relative to maximum drawdown | -0.81 | 1.40 | -2.21 |
Martin ratioReturn relative to average drawdown | -1.32 | 6.61 | -7.92 |
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 JPYUSD=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 JPY/USD. 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 JPY/USD was 52.96%, occurring on Jul 3, 2024. The portfolio has not yet recovered.
The current JPY/USD drawdown is 52.09%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -52.96% | Oct 31, 2011 | 3308 | Jul 3, 2024 | — | — | — |
| -13.76% | Dec 18, 2008 | 78 | Apr 6, 2009 | 168 | Nov 26, 2009 | 246 |
| -12.02% | Mar 18, 2008 | 109 | Aug 15, 2008 | 50 | Oct 24, 2008 | 159 |
| -9.4% | Mar 17, 2011 | 15 | Apr 6, 2011 | 82 | Jul 29, 2011 | 97 |
| -8.93% | Dec 1, 2009 | 111 | May 4, 2010 | 65 | Aug 3, 2010 | 176 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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