^GSPC vs. JPYUSD=X
^GSPC (S&P 500 Index) is an index, while JPYUSD=X (JPY/USD) is a currency. Over the past 10 years, ^GSPC returned 13.61%/yr vs -4.05%/yr for JPYUSD=X. At a correlation of -0.24, they often move in opposite directions.
Performance
^GSPC vs. JPYUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, ^GSPC achieves a 8.56% return, which is significantly higher than JPYUSD=X's -2.23% return. Over the past 10 years, ^GSPC has outperformed JPYUSD=X with an annualized return of 13.61%, while JPYUSD=X has yielded a comparatively lower -4.05% annualized return.
^GSPC
- 1D
- 0.50%
- 1M
- -0.17%
- YTD
- 8.56%
- 6M
- 8.85%
- 1Y
- 22.93%
- 3Y*
- 19.37%
- 5Y*
- 11.84%
- 10Y*
- 13.61%
JPYUSD=X
- 1D
- -0.18%
- 1M
- -1.52%
- YTD
- -2.23%
- 6M
- -2.74%
- 1Y
- -10.40%
- 3Y*
- -4.35%
- 5Y*
- -7.30%
- 10Y*
- -4.05%
^GSPC vs. JPYUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^GSPC S&P 500 Index | 8.56% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
JPYUSD=X JPY/USD | -2.23% | 0.33% | -10.26% | -7.04% | -12.23% | -10.24% | 5.18% | 0.86% | 2.82% | 3.91% |
Correlation
The correlation between ^GSPC and JPYUSD=X is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.02 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.11 |
Correlation (All Time) Calculated using the full available price history since Jul 11, 2007 | -0.24 |
The correlation between ^GSPC and JPYUSD=X shifts across timeframes, from -0.24 (all time) to 0.22 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
^GSPC vs. JPYUSD=X — Risk / Return Rank
^GSPC
JPYUSD=X
^GSPC vs. JPYUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and JPY/USD (JPYUSD=X). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^GSPC | JPYUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.99 | ||
| Sortino ratioReturn per unit of downside risk | +4.20 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 0.82 | +0.52 |
| Calmar ratioReturn relative to maximum drawdown | 2.53 | -0.79 | +3.32 |
| Martin ratioReturn relative to average drawdown | 11.37 | -1.16 | +12.53 |
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Drawdowns
^GSPC vs. JPYUSD=X - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than JPYUSD=X's maximum drawdown of -52.96%. Use the drawdown chart below to compare losses from any high point for ^GSPC and JPYUSD=X.
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Drawdown Indicators
| ^GSPC | JPYUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.78% | -52.96% | -3.82% |
Max Drawdown (1Y)Largest decline over 1 year | -9.10% | -10.68% | +1.58% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | -14.63% | -4.27% |
Max Drawdown (5Y)Largest decline over 5 years | -25.43% | -32.59% | +7.16% |
Max Drawdown (10Y)Largest decline over 10 years | -33.92% | -38.21% | +4.29% |
Current DrawdownCurrent decline from peak | -2.34% | -52.52% | +50.18% |
Average DrawdownAverage peak-to-trough decline | -10.72% | -26.91% | +16.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 6.15% | -4.13% |
Volatility
^GSPC vs. JPYUSD=X - Volatility Comparison
S&P 500 Index (^GSPC) has a higher volatility of 4.43% compared to JPY/USD (JPYUSD=X) at 0.69%. This indicates that ^GSPC's price experiences larger fluctuations and is considered to be riskier than JPYUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^GSPC | JPYUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.43% | 0.69% | +3.74% |
Volatility (6M)Calculated over the trailing 6-month period | 9.70% | 5.49% | +4.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.38% | 7.51% | +4.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.97% | 9.56% | +7.41% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.09% | 8.89% | +9.20% |
Frequently Asked Questions
^GSPC and JPYUSD=X have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (4.43%) compared to JPYUSD=X (0.69%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs JPYUSD=X's -52.96%.
^GSPC currently has the higher Sharpe Ratio (1.86 vs -1.13), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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