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EURUSD=X vs. JPYUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EURUSD=X and JPYUSD=X is 0.08, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.0
Correlation: 0.1

Performance

EURUSD=X vs. JPYUSD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in EUR/USD (EURUSD=X) and JPY/USD (JPYUSD=X). The values are adjusted to include any dividend payments, if applicable.

-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%NovemberDecember2025FebruaryMarchApril
-3.62%
-21.35%
EURUSD=X
JPYUSD=X

Key characteristics

Sharpe Ratio

EURUSD=X:

0.80

JPYUSD=X:

0.93

Sortino Ratio

EURUSD=X:

1.31

JPYUSD=X:

1.41

Omega Ratio

EURUSD=X:

1.13

JPYUSD=X:

1.24

Calmar Ratio

EURUSD=X:

0.04

JPYUSD=X:

0.24

Martin Ratio

EURUSD=X:

1.73

JPYUSD=X:

2.15

Ulcer Index

EURUSD=X:

4.22%

JPYUSD=X:

5.99%

Daily Std Dev

EURUSD=X:

7.41%

JPYUSD=X:

13.84%

Max Drawdown

EURUSD=X:

-39.99%

JPYUSD=X:

-53.03%

Current Drawdown

EURUSD=X:

-28.70%

JPYUSD=X:

-46.97%

Returns By Period

In the year-to-date period, EURUSD=X achieves a 10.10% return, which is significantly higher than JPYUSD=X's 9.37% return. Over the past 10 years, EURUSD=X has outperformed JPYUSD=X with an annualized return of 0.24%, while JPYUSD=X has yielded a comparatively lower -1.60% annualized return.


EURUSD=X

YTD

10.10%

1M

5.28%

6M

5.43%

1Y

6.60%

5Y*

1.32%

10Y*

0.24%

JPYUSD=X

YTD

9.37%

1M

4.48%

6M

7.69%

1Y

11.11%

5Y*

-5.35%

10Y*

-1.60%

*Annualized

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Risk-Adjusted Performance

EURUSD=X vs. JPYUSD=X — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EURUSD=X
The Risk-Adjusted Performance Rank of EURUSD=X is 7070
Overall Rank
The Sharpe Ratio Rank of EURUSD=X is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of EURUSD=X is 7777
Sortino Ratio Rank
The Omega Ratio Rank of EURUSD=X is 7171
Omega Ratio Rank
The Calmar Ratio Rank of EURUSD=X is 5151
Calmar Ratio Rank
The Martin Ratio Rank of EURUSD=X is 7676
Martin Ratio Rank

JPYUSD=X
The Risk-Adjusted Performance Rank of JPYUSD=X is 8686
Overall Rank
The Sharpe Ratio Rank of JPYUSD=X is 8787
Sharpe Ratio Rank
The Sortino Ratio Rank of JPYUSD=X is 8585
Sortino Ratio Rank
The Omega Ratio Rank of JPYUSD=X is 9292
Omega Ratio Rank
The Calmar Ratio Rank of JPYUSD=X is 8585
Calmar Ratio Rank
The Martin Ratio Rank of JPYUSD=X is 8484
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

EURUSD=X vs. JPYUSD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for EUR/USD (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.


The chart of Sharpe ratio for EURUSD=X, currently valued at 1.00, compared to the broader market-1.000.001.002.00
EURUSD=X: 1.00
JPYUSD=X: 1.15
The chart of Sortino ratio for EURUSD=X, currently valued at 1.64, compared to the broader market-1.000.001.002.003.004.00
EURUSD=X: 1.64
JPYUSD=X: 1.70
The chart of Omega ratio for EURUSD=X, currently valued at 1.17, compared to the broader market1.001.502.002.50
EURUSD=X: 1.17
JPYUSD=X: 1.24
The chart of Calmar ratio for EURUSD=X, currently valued at 0.05, compared to the broader market0.001.002.003.004.00
EURUSD=X: 0.05
JPYUSD=X: 0.10
The chart of Martin ratio for EURUSD=X, currently valued at 2.03, compared to the broader market0.005.0010.0015.0020.0025.00
EURUSD=X: 2.03
JPYUSD=X: 3.20

The current EURUSD=X Sharpe Ratio is 0.80, which is comparable to the JPYUSD=X Sharpe Ratio of 0.93. The chart below compares the historical Sharpe Ratios of EURUSD=X and JPYUSD=X, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00NovemberDecember2025FebruaryMarchApril
1.00
1.15
EURUSD=X
JPYUSD=X

Drawdowns

EURUSD=X vs. JPYUSD=X - Drawdown Comparison

The maximum EURUSD=X drawdown since its inception was -39.99%, smaller than the maximum JPYUSD=X drawdown of -53.03%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and JPYUSD=X. For additional features, visit the drawdowns tool.


-50.00%-45.00%-40.00%-35.00%-30.00%NovemberDecember2025FebruaryMarchApril
-28.70%
-46.97%
EURUSD=X
JPYUSD=X

Volatility

EURUSD=X vs. JPYUSD=X - Volatility Comparison

The current volatility for EUR/USD (EURUSD=X) is 4.00%, while JPY/USD (JPYUSD=X) has a volatility of 5.42%. 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.


1.00%2.00%3.00%4.00%5.00%6.00%NovemberDecember2025FebruaryMarchApril
4.00%
5.42%
EURUSD=X
JPYUSD=X