^NDX vs. JPYUSD=X
^NDX (NASDAQ 100 Index) is an index, while JPYUSD=X (JPY/USD) is a currency. Over the past 10 years, ^NDX returned 19.88%/yr vs -4.16%/yr for JPYUSD=X. At a correlation of -0.21, they often move in opposite directions.
Performance
^NDX vs. JPYUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, ^NDX achieves a 13.28% return, which is significantly higher than JPYUSD=X's -3.56% return. Over the past 10 years, ^NDX has outperformed JPYUSD=X with an annualized return of 19.88%, while JPYUSD=X has yielded a comparatively lower -4.16% annualized return.
^NDX
- 1D
- 0.04%
- 1M
- -5.93%
- 6M
- 12.04%
- YTD
- 13.28%
- 1Y
- 24.01%
- 3Y*
- 22.86%
- 5Y*
- 14.02%
- 10Y*
- 19.88%
- ALL TIME*
- 14.59%
JPYUSD=X
- 1D
- -0.08%
- 1M
- -0.70%
- 6M
- -2.66%
- YTD
- -3.56%
- 1Y
- -8.63%
- 3Y*
- -4.43%
- 5Y*
- -7.45%
- 10Y*
- -4.16%
- ALL TIME*
- -1.72%
^NDX vs. JPYUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^NDX NASDAQ 100 Index | 13.28% | 20.17% | 24.88% | 53.81% | -32.97% | 26.63% | 47.58% | 37.96% | -1.04% | 31.52% |
JPYUSD=X JPY/USD | -3.56% | 0.33% | -10.26% | -7.04% | -12.23% | -10.24% | 5.18% | 0.86% | 2.82% | 3.91% |
Correlation
The correlation between ^NDX and JPYUSD=X is 0.12, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.00 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.01 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.08 |
Correlation (All Time) Calculated using the full available price history since Aug 24, 2007 | -0.21 |
The correlation between ^NDX and JPYUSD=X shifts across timeframes, from -0.21 (all time) to 0.12 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
^NDX vs. JPYUSD=X — Risk / Return Rank
^NDX
JPYUSD=X
^NDX vs. JPYUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 Index (^NDX) 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.
| ^NDX | JPYUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.25 | ||
| Sortino ratioReturn per unit of downside risk | +3.22 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 0.84 | +0.39 |
| Calmar ratioReturn relative to maximum drawdown | 1.99 | -0.71 | +2.70 |
| Martin ratioReturn relative to average drawdown | 6.93 | -1.11 | +8.04 |
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Drawdowns
^NDX vs. JPYUSD=X - Drawdown Comparison
The maximum ^NDX drawdown since its inception was -82.90%, which is greater than JPYUSD=X's maximum drawdown of -53.20%. Use the drawdown chart below to compare losses from any high point for ^NDX and JPYUSD=X.
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Drawdown Indicators
| ^NDX | JPYUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -82.90% | -53.20% | -29.70% |
Max Drawdown (1Y)Largest decline over 1 year | -12.12% | -9.90% | -2.22% |
Max Drawdown (3Y)Largest decline over 3 years | -22.93% | -14.17% | -8.76% |
Max Drawdown (5Y)Largest decline over 5 years | -35.56% | -32.94% | -2.62% |
Max Drawdown (10Y)Largest decline over 10 years | -35.56% | -38.53% | +2.97% |
Current DrawdownCurrent decline from peak | -6.71% | -53.17% | +46.46% |
Average DrawdownAverage peak-to-trough decline | -24.56% | -27.24% | +2.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.47% | 6.64% | -3.17% |
Volatility
^NDX vs. JPYUSD=X - Volatility Comparison
NASDAQ 100 Index (^NDX) has a higher volatility of 7.15% compared to JPY/USD (JPYUSD=X) at 1.24%. This indicates that ^NDX'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
| ^NDX | JPYUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.15% | 1.24% | +5.91% |
Volatility (6M)Calculated over the trailing 6-month period | 15.43% | 4.40% | +11.03% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.75% | 7.27% | +11.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.00% | 9.53% | +13.47% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.68% | 8.68% | +14.00% |
Frequently Asked Questions
^NDX and JPYUSD=X have a correlation of 0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^NDX has higher volatility (7.15%) compared to JPYUSD=X (1.24%). In terms of maximum drawdown, ^NDX dropped -82.90% vs JPYUSD=X's -53.20%.
^NDX currently has the higher Sharpe Ratio (1.29 vs -0.96), 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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