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 -4.27%/yr for JPYUSD=X. Their 0.33 correlation means their historical movements had little consistent relationship.
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 -1.83% return, which is significantly lower than JPYUSD=X's -0.51% 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 -4.27% annualized return.
EURUSD=X
- 1D
- 0.20%
- 1M
- 0.88%
- 6M
- -2.43%
- YTD
- -1.83%
- 1Y
- -0.36%
- 3Y*
- 1.56%
- 5Y*
- -0.51%
- 10Y*
- 0.40%
- ALL TIME*
- -0.90%
JPYUSD=X
- 1D
- -0.17%
- 1M
- 2.72%
- 6M
- -1.07%
- YTD
- -0.51%
- 1Y
- -6.57%
- 3Y*
- -3.45%
- 5Y*
- -6.97%
- 10Y*
- -4.27%
- ALL TIME*
- -1.65%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
EURUSD=X Euro / U.S. Dollar | $110.05K | $130.91K | $141.40K |
JPYUSD=X JPY/USD | $763.15 | $670.97 | $589.12 |
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 | -1.83% | 13.43% | -6.18% | 3.16% | -6.01% | -6.81% | 8.85% | -1.94% | -4.66% | 14.14% |
JPYUSD=X JPY/USD | -0.51% | 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 0.65, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.65 |
Correlation (3Y) Balances recent behavior with more history. | 0.54 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.48 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.46 |
Correlation (All Time) Calculated using the full available price history since Sep 12, 2007 | 0.33 |
Over the past year, EURUSD=X and JPYUSD=X have become more correlated (0.65) 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 | +0.67 | ||
| Sortino ratioReturn per unit of downside risk | +1.05 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 0.88 | +0.12 |
| Calmar ratioReturn relative to maximum drawdown | -0.05 | -0.50 | +0.45 |
| Martin ratioReturn relative to average drawdown | -0.10 | -0.81 | +0.71 |
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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 -53.57%. 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% | -53.57% | +13.56% |
Max Drawdown (1Y)Largest decline over 1 year | -5.67% | -10.61% | +4.94% |
Max Drawdown (3Y)Largest decline over 3 years | -8.48% | -14.18% | +5.70% |
Max Drawdown (5Y)Largest decline over 5 years | -19.24% | -33.35% | +14.11% |
Max Drawdown (10Y)Largest decline over 10 years | -23.31% | -39.01% | +15.70% |
Current DrawdownCurrent decline from peak | -27.89% | -51.69% | +23.80% |
Average DrawdownAverage peak-to-trough decline | -23.69% | -27.37% | +3.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.06% | 4.93% | -1.87% |
Volatility
EURUSD=X vs. JPYUSD=X - Volatility Comparison
The current volatility for Euro / U.S. Dollar (EURUSD=X) is 1.27%, while JPY/USD (JPYUSD=X) has a volatility of 2.97%. 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 | 1.27% | 2.97% | -1.70% |
Volatility (6M)Calculated over the trailing 6-month period | 3.72% | 5.07% | -1.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.40% | 7.34% | -1.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.39% | 9.60% | -2.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.07% | 8.65% | -1.58% |
Frequently Asked Questions
EURUSD=X and JPYUSD=X have a correlation of 0.65, 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 (2.97%) compared to EURUSD=X (1.27%). In terms of maximum drawdown, EURUSD=X dropped -40.01% vs JPYUSD=X's -53.57%.
EURUSD=X currently has the higher Sharpe Ratio (-0.05 vs -0.73), 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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