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

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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Popular comparisons:
JPYUSD=X vs. EURUSD=X JPYUSD=X vs. EWJ JPYUSD=X vs. BNDW 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
Popular comparisons:
JPYUSD=X vs. EURUSD=X JPYUSD=X vs. EWJ JPYUSD=X vs. BNDW 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%500.00%1,000.00%1,500.00%JulyAugustSeptemberOctoberNovemberDecember
-9.86%
1,612.75%
JPYUSD=X (JPY/USD)
Benchmark (^GSPC)

Returns By Period

JPY/USD had a return of -9.86% year-to-date (YTD) and -8.57% in the last 12 months. Over the past 10 years, JPY/USD had an annualized return of -2.56%, while the S&P 500 had an annualized return of 11.01%, indicating that JPY/USD did not perform as well as the benchmark.


JPYUSD=X

YTD

-9.86%

1M

-1.54%

6M

1.59%

1Y

-8.57%

5Y*

-6.41%

10Y*

-2.56%

^GSPC (Benchmark)

YTD

23.11%

1M

-0.36%

6M

7.02%

1Y

23.15%

5Y*

12.80%

10Y*

11.01%

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%1.52%-9.86%
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 37, indicating average performance compared to other currencies on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of JPYUSD=X is 3737
Overall Rank
The Sharpe Ratio Rank of JPYUSD=X is 3939
Sharpe Ratio Rank
The Sortino Ratio Rank of JPYUSD=X is 4040
Sortino Ratio Rank
The Omega Ratio Rank of JPYUSD=X is 3535
Omega Ratio Rank
The Calmar Ratio Rank of JPYUSD=X is 3333
Calmar Ratio Rank
The Martin Ratio Rank of JPYUSD=X is 3838
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 JPY/USD (JPYUSD=X) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


Sharpe ratio
The chart of Sharpe ratio for JPYUSD=X, currently valued at -0.35, compared to the broader market0.002.004.006.008.0010.00-0.351.90
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.41, compared to the broader market0.0010.0020.0030.0040.00-0.412.54
The chart of Omega ratio for JPYUSD=X, currently valued at 0.93, compared to the broader market2.004.006.008.0010.000.931.35
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.08, compared to the broader market0.0020.0040.0060.0080.00-0.082.81
The chart of Martin ratio for JPYUSD=X, currently valued at -0.82, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.8212.39
JPYUSD=X
^GSPC

The current JPY/USD Sharpe ratio is -0.35. 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.35
1.90
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%JulyAugustSeptemberOctoberNovemberDecember
-51.52%
-3.58%
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 51.52%.


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 4.10%, 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%JulyAugustSeptemberOctoberNovemberDecember
4.10%
3.64%
JPYUSD=X (JPY/USD)
Benchmark (^GSPC)
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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