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 -0.63%/yr vs -4.16%/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 4.93% return, which is significantly higher than JPYUSD=X's -3.56% return. Over the past 10 years, AUDUSD=X has outperformed JPYUSD=X with an annualized return of -0.63%, while JPYUSD=X has yielded a comparatively lower -4.16% annualized return.
AUDUSD=X
- 1D
- 0.12%
- 1M
- -0.12%
- 6M
- 4.29%
- YTD
- 4.93%
- 1Y
- 7.52%
- 3Y*
- 1.34%
- 5Y*
- -0.98%
- 10Y*
- -0.63%
- ALL TIME*
- -0.74%
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%
AUDUSD=X vs. JPYUSD=X - Yearly Performance Comparison
Correlation
The correlation between AUDUSD=X and JPYUSD=X is 0.46, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.46 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.42 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.38 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.32 |
Correlation (All Time) Calculated using the full available price history since Aug 24, 2007 | 0.17 |
Over the past year, AUDUSD=X and JPYUSD=X have become more correlated (0.46) 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 | +1.77 | ||
| Sortino ratioReturn per unit of downside risk | +2.61 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 0.84 | +0.31 |
| Calmar ratioReturn relative to maximum drawdown | 1.17 | -0.71 | +1.88 |
| Martin ratioReturn relative to average drawdown | 2.88 | -1.11 | +3.99 |
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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 -53.20%. 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% | -53.20% | +5.33% |
Max Drawdown (1Y)Largest decline over 1 year | -5.12% | -9.90% | +4.78% |
Max Drawdown (3Y)Largest decline over 3 years | -13.83% | -14.17% | +0.34% |
Max Drawdown (5Y)Largest decline over 5 years | -21.39% | -32.94% | +11.55% |
Max Drawdown (10Y)Largest decline over 10 years | -29.18% | -38.53% | +9.35% |
Current DrawdownCurrent decline from peak | -36.44% | -53.17% | +16.73% |
Average DrawdownAverage peak-to-trough decline | -26.06% | -27.24% | +1.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 6.64% | -4.62% |
Volatility
AUDUSD=X vs. JPYUSD=X - Volatility Comparison
AUD/USD (AUDUSD=X) has a higher volatility of 1.44% compared to JPY/USD (JPYUSD=X) at 1.24%. 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 | 1.44% | 1.24% | +0.20% |
Volatility (6M)Calculated over the trailing 6-month period | 6.03% | 4.40% | +1.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.45% | 7.27% | +0.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.03% | 9.53% | +0.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.57% | 8.68% | +0.89% |
Frequently Asked Questions
AUDUSD=X and JPYUSD=X have a correlation of 0.46, 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 (1.44%) compared to JPYUSD=X (1.24%). In terms of maximum drawdown, AUDUSD=X dropped -47.87% vs JPYUSD=X's -53.20%.
AUDUSD=X currently has the higher Sharpe Ratio (0.81 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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