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

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Compare to other instruments

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Popular comparisons: JPYUSD=X vs. EURUSD=X, JPYUSD=X vs. BNDW, JPYUSD=X vs. EWJ, JPYUSD=X vs. BTC-USD, JPYUSD=X vs. SPY, JPYUSD=X vs. DXJ, JPYUSD=X vs. YCS, JPYUSD=X vs. ^TNX, JPYUSD=X vs. VDE, JPYUSD=X vs. XAU.TO

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.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
1.56%
14.94%
JPYUSD=X (JPY/USD)
Benchmark (^GSPC)

Returns By Period

JPY/USD had a return of -8.45% year-to-date (YTD) and -1.52% in the last 12 months. Over the past 10 years, JPY/USD had an annualized return of -2.64%, while the S&P 500 had an annualized return of 11.43%, indicating that JPY/USD did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date-8.45%25.82%
1 month-2.99%3.20%
6 months1.56%14.94%
1 year-1.52%35.92%
5 years (annualized)-6.35%14.22%
10 years (annualized)-2.64%11.43%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-4.23%-1.47%-1.49%-4.55%1.59%-3.12%8.06%1.49%2.94%-5.71%-8.45%
20231.32%-5.19%2.74%-2.67%-1.37%-4.17%1.45%-1.43%-2.90%-1.49%3.03%4.41%-6.58%
2022-0.00%0.00%-5.75%-6.10%1.30%-5.13%1.35%-4.00%-4.17%-2.90%7.46%5.56%-12.64%
2021-1.03%-2.08%-4.26%2.22%-1.09%-1.10%1.11%-0.00%-1.10%-2.22%-0.00%-1.14%-10.31%
2020-0.00%1.09%-0.00%0.00%0.00%0.00%2.15%-1.05%1.06%1.05%0.00%1.04%5.43%
20191.10%-2.17%0.00%0.00%2.22%1.09%-1.08%2.17%-1.06%0.00%-2.15%1.10%1.10%
20183.37%2.17%-0.00%-2.13%0.00%-2.17%-1.11%1.12%-2.22%1.14%-1.12%3.41%2.25%
20173.49%-0.00%1.12%0.00%-0.00%-1.11%2.25%0.00%-2.20%-1.12%1.14%-0.00%3.49%
20160.00%7.23%0.00%5.62%-4.26%7.78%1.03%-1.02%2.06%-4.04%-8.42%-1.15%3.61%
20151.19%-1.18%-1.19%1.20%-3.57%1.23%-1.22%2.47%0.00%0.00%-2.41%2.47%-1.19%
20143.16%0.00%-1.02%1.03%0.00%1.02%-2.02%-1.03%-5.21%-2.20%-5.62%0.00%-11.58%
2013-5.22%-0.92%-1.85%-2.83%-2.91%1.00%0.99%-0.00%0.00%-0.00%-3.92%-3.06%-17.39%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of JPYUSD=X is 21, indicating that it is in the bottom 21% of currencies on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of JPYUSD=X is 2121
Combined Rank
The Sharpe Ratio Rank of JPYUSD=X is 2222Sharpe Ratio Rank
The Sortino Ratio Rank of JPYUSD=X is 2323Sortino Ratio Rank
The Omega Ratio Rank of JPYUSD=X is 1414Omega Ratio Rank
The Calmar Ratio Rank of JPYUSD=X is 2020Calmar Ratio Rank
The Martin Ratio Rank of JPYUSD=X is 2323Martin 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 JPY/USD (JPYUSD=X) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


JPYUSD=X
Sharpe ratio
The chart of Sharpe ratio for JPYUSD=X, currently valued at -0.46, compared to the broader market-1.00-0.500.000.501.001.50-0.46
Sortino ratio
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.57, compared to the broader market0.0050.00100.00150.00200.00250.00-0.57
Omega ratio
The chart of Omega ratio for JPYUSD=X, currently valued at 0.90, compared to the broader market20.0040.0060.000.90
Calmar ratio
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.11, compared to the broader market0.00100.00200.00300.00400.00500.00-0.11
Martin ratio
The chart of Martin ratio for JPYUSD=X, currently valued at -1.03, compared to the broader market0.001,000.002,000.003,000.004,000.00-1.03
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.08, compared to the broader market-1.00-0.500.000.501.001.503.08
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.10, compared to the broader market0.0050.00100.00150.00200.00250.004.10
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.58, compared to the broader market20.0040.0060.001.58
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.48, compared to the broader market0.00100.00200.00300.00400.00500.004.48
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 20.05, compared to the broader market0.001,000.002,000.003,000.004,000.0020.05

Sharpe Ratio

The current JPY/USD Sharpe ratio is -0.46. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of JPY/USD with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.46
3.08
JPYUSD=X (JPY/USD)
Benchmark (^GSPC)

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.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-50.76%
0
JPYUSD=X (JPY/USD)
Benchmark (^GSPC)

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 53.03%, occurring on Jun 26, 2024. The portfolio has not yet recovered.

The current JPY/USD drawdown is 50.76%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-53.03%Oct 26, 20113319Jun 26, 2024
-45.16%Apr 19, 1995865Aug 14, 19983279Mar 16, 20114144
-11.27%Dec 27, 198964Mar 27, 1990119Sep 10, 1990183
-11.25%Oct 19, 1990165Jun 7, 1991151Jan 6, 1992316
-10.1%Aug 18, 199397Dec 30, 1993123Jun 21, 1994220

Volatility

Volatility Chart

The current JPY/USD volatility is 4.36%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.36%
3.89%
JPYUSD=X (JPY/USD)
Benchmark (^GSPC)