EURUSD=X vs. JPYUSD=X
Compare and contrast key facts about EUR/USD (EURUSD=X) and JPY/USD (JPYUSD=X).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EURUSD=X or JPYUSD=X.
Performance
EURUSD=X vs. JPYUSD=X - Performance Comparison
Returns By Period
In the year-to-date period, EURUSD=X achieves a -4.43% return, which is significantly higher than JPYUSD=X's -8.45% return. Over the past 10 years, EURUSD=X has outperformed JPYUSD=X with an annualized return of -1.52%, while JPYUSD=X has yielded a comparatively lower -2.53% annualized return.
EURUSD=X
-4.43%
-2.49%
-2.53%
-3.32%
-0.83%
-1.52%
JPYUSD=X
-8.45%
-1.52%
1.56%
-2.99%
-6.35%
-2.53%
Key characteristics
| EURUSD=X | JPYUSD=X | |
|---|---|---|
| Sharpe Ratio | -0.58 | -0.34 |
| Sortino Ratio | -0.75 | -0.40 |
| Omega Ratio | 0.91 | 0.93 |
| Calmar Ratio | -0.09 | -0.08 |
| Martin Ratio | -1.60 | -0.88 |
| Ulcer Index | 1.93% | 5.01% |
| Daily Std Dev | 5.46% | 12.78% |
| Max Drawdown | -57.54% | -53.03% |
| Current Drawdown | -34.03% | -50.76% |
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Correlation
The correlation between EURUSD=X and JPYUSD=X is 0.30, 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.
Risk-Adjusted Performance
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.
Drawdowns
EURUSD=X vs. JPYUSD=X - Drawdown Comparison
The maximum EURUSD=X drawdown since its inception was -57.54%, which is greater than JPYUSD=X's maximum 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.
Volatility
EURUSD=X vs. JPYUSD=X - Volatility Comparison
The current volatility for EUR/USD (EURUSD=X) is 2.63%, while JPY/USD (JPYUSD=X) has a volatility of 4.98%. 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.