EURUSD=X vs. JPYUSD=X
EURUSD=X (Euro / U.S. Dollar) and JPYUSD=X (JPY/USD) are both currencies. Over the past 10 years, EURUSD=X returned 0.40%/yr vs -4.25%/yr for JPYUSD=X. At a 0.33 correlation, their price movements are largely independent.
Performance
EURUSD=X vs. JPYUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, EURUSD=X achieves a -2.32% return, which is significantly higher than JPYUSD=X's -3.31% return. Over the past 10 years, EURUSD=X has outperformed JPYUSD=X with an annualized return of 0.40%, while JPYUSD=X has yielded a comparatively lower -4.25% annualized return.
EURUSD=X
- 1D
- 0.46%
- 1M
- -1.00%
- 6M
- -1.48%
- YTD
- -2.32%
- 1Y
- -1.12%
- 3Y*
- 0.73%
- 5Y*
- -0.56%
- 10Y*
- 0.40%
JPYUSD=X
- 1D
- 0.11%
- 1M
- -1.04%
- 6M
- -2.20%
- YTD
- -3.31%
- 1Y
- -8.13%
- 3Y*
- -5.02%
- 5Y*
- -7.44%
- 10Y*
- -4.25%
EURUSD=X vs. JPYUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EURUSD=X Euro / U.S. Dollar | -2.32% | 13.43% | -6.18% | 3.16% | -6.01% | -6.81% | 8.85% | -1.94% | -4.66% | 14.14% |
JPYUSD=X JPY/USD | -3.31% | 0.33% | -10.26% | -7.04% | -12.23% | -10.24% | 5.18% | 0.86% | 2.82% | 3.91% |
Correlation
The correlation between EURUSD=X and JPYUSD=X is 0.66, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.66 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.53 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.48 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.46 |
Correlation (All Time) Calculated using the full available price history since Aug 20, 2007 | 0.33 |
Over the past year, EURUSD=X and JPYUSD=X have become more correlated (0.66) than their long-term average of 0.33, meaning their price movements have been converging.
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Return for Risk
EURUSD=X vs. JPYUSD=X — Risk / Return Rank
EURUSD=X
JPYUSD=X
EURUSD=X vs. JPYUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Euro / U.S. Dollar (EURUSD=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.
| EURUSD=X | JPYUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.75 | ||
| Sortino ratioReturn per unit of downside risk | +1.15 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 0.85 | +0.13 |
| Calmar ratioReturn relative to maximum drawdown | -0.16 | -0.67 | +0.51 |
| Martin ratioReturn relative to average drawdown | -0.33 | -1.06 | +0.73 |
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Drawdowns
EURUSD=X vs. JPYUSD=X - Drawdown Comparison
The maximum EURUSD=X drawdown since its inception was -40.01%, smaller than the maximum JPYUSD=X drawdown of -53.20%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and JPYUSD=X.
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Drawdown Indicators
| EURUSD=X | JPYUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.01% | -53.20% | +13.19% |
Max Drawdown (1Y)Largest decline over 1 year | -5.67% | -9.90% | +4.23% |
Max Drawdown (3Y)Largest decline over 3 years | -8.83% | -14.68% | +5.85% |
Max Drawdown (5Y)Largest decline over 5 years | -19.28% | -32.94% | +13.66% |
Max Drawdown (10Y)Largest decline over 10 years | -23.31% | -38.53% | +15.22% |
Current DrawdownCurrent decline from peak | -28.25% | -53.04% | +24.79% |
Average DrawdownAverage peak-to-trough decline | -23.60% | -27.20% | +3.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.81% | 6.54% | -3.73% |
Volatility
EURUSD=X vs. JPYUSD=X - Volatility Comparison
The current volatility for Euro / U.S. Dollar (EURUSD=X) is 1.15%, while JPY/USD (JPYUSD=X) has a volatility of 1.25%. This indicates that EURUSD=X experiences smaller price fluctuations and is considered to be less risky 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
| EURUSD=X | JPYUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.15% | 1.25% | -0.10% |
Volatility (6M)Calculated over the trailing 6-month period | 4.02% | 4.43% | -0.41% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.83% | 7.34% | -1.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.39% | 9.54% | -2.15% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.09% | 8.70% | -1.61% |
Frequently Asked Questions
EURUSD=X and JPYUSD=X have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
JPYUSD=X has higher volatility (1.25%) compared to EURUSD=X (1.15%). In terms of maximum drawdown, EURUSD=X dropped -40.01% vs JPYUSD=X's -53.20%.
EURUSD=X currently has the higher Sharpe Ratio (-0.15 vs -0.90), 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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