AUDUSD=X vs. JPYUSD=X
AUDUSD=X (AUD/USD) and JPYUSD=X (JPY/USD) are both currencies. Over the past 10 years, AUDUSD=X returned -0.44%/yr vs -4.05%/yr for JPYUSD=X. At a 0.17 correlation, their price movements are largely independent.
Performance
AUDUSD=X vs. JPYUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, AUDUSD=X achieves a 5.54% return, which is significantly higher than JPYUSD=X's -2.23% return. Over the past 10 years, AUDUSD=X has outperformed JPYUSD=X with an annualized return of -0.44%, while JPYUSD=X has yielded a comparatively lower -4.05% annualized return.
AUDUSD=X
- 1D
- -0.08%
- 1M
- -2.95%
- YTD
- 5.54%
- 6M
- 5.93%
- 1Y
- 7.81%
- 3Y*
- 1.34%
- 5Y*
- -1.78%
- 10Y*
- -0.44%
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%
AUDUSD=X vs. JPYUSD=X - Yearly Performance Comparison
Correlation
The correlation between AUDUSD=X and JPYUSD=X is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.48 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.42 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.37 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.31 |
Correlation (All Time) Calculated using the full available price history since Jul 11, 2007 | 0.17 |
Over the past year, AUDUSD=X and JPYUSD=X have become more correlated (0.48) than their long-term average of 0.17, meaning their price movements have been converging.
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Return for Risk
AUDUSD=X vs. JPYUSD=X — Risk / Return Rank
AUDUSD=X
JPYUSD=X
AUDUSD=X vs. JPYUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AUD/USD (AUDUSD=X) 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.
| AUDUSD=X | JPYUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.95 | ||
| Sortino ratioReturn per unit of downside risk | +2.86 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 0.82 | +0.33 |
| Calmar ratioReturn relative to maximum drawdown | 1.49 | -0.79 | +2.28 |
| Martin ratioReturn relative to average drawdown | 3.83 | -1.16 | +5.00 |
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Drawdowns
AUDUSD=X vs. JPYUSD=X - Drawdown Comparison
The maximum AUDUSD=X drawdown since its inception was -47.87%, smaller than the maximum JPYUSD=X drawdown of -52.96%. Use the drawdown chart below to compare losses from any high point for AUDUSD=X and JPYUSD=X.
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Drawdown Indicators
| AUDUSD=X | JPYUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.87% | -52.96% | +5.09% |
Max Drawdown (1Y)Largest decline over 1 year | -4.20% | -10.68% | +6.48% |
Max Drawdown (3Y)Largest decline over 3 years | -13.83% | -14.63% | +0.80% |
Max Drawdown (5Y)Largest decline over 5 years | -22.74% | -32.59% | +9.85% |
Max Drawdown (10Y)Largest decline over 10 years | -29.18% | -38.21% | +9.03% |
Current DrawdownCurrent decline from peak | -36.06% | -52.52% | +16.46% |
Average DrawdownAverage peak-to-trough decline | -25.87% | -26.91% | +1.04% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.69% | 6.15% | -4.46% |
Volatility
AUDUSD=X vs. JPYUSD=X - Volatility Comparison
AUD/USD (AUDUSD=X) has a higher volatility of 2.13% compared to JPY/USD (JPYUSD=X) at 0.69%. This indicates that AUDUSD=X'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
| AUDUSD=X | JPYUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.13% | 0.69% | +1.44% |
Volatility (6M)Calculated over the trailing 6-month period | 6.65% | 5.49% | +1.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.64% | 7.51% | +0.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.08% | 9.56% | +0.52% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.66% | 8.89% | +0.77% |
Frequently Asked Questions
AUDUSD=X and JPYUSD=X have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AUDUSD=X has higher volatility (2.13%) compared to JPYUSD=X (0.69%). In terms of maximum drawdown, AUDUSD=X dropped -47.87% vs JPYUSD=X's -52.96%.
AUDUSD=X currently has the higher Sharpe Ratio (0.82 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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