EURUSD=X vs. JPYUSD=X

The year-to-date returns for both stocks are quite close, with EURUSD=X having a 9.77% return and JPYUSD=X slightly lower at 9.37%. Over the past 10 years, EURUSD=X has outperformed JPYUSD=X with an annualized return of 0.43%, while JPYUSD=X has yielded a comparatively lower -1.45% annualized return.

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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 current EURUSD=X Sharpe Ratio is 0.63, which is comparable to the JPYUSD=X Sharpe Ratio of 0.61. 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.

The maximum EURUSD=X drawdown since its inception was -39.98%, 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.

The current volatility for EUR/USD (EURUSD=X) is 2.26%, while JPY/USD (JPYUSD=X) has a volatility of 4.70%. 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.