EWJ vs. JPY=X
EWJ (iShares MSCI Japan ETF) is Japan Equities fund tracking the MSCI Japan Index, while JPY=X (USD/JPY) is a currency. Over the past 10 years, EWJ returned 8.81%/yr vs 0.00%/yr for JPY=X. At a correlation of -0.05, they often move in opposite directions.
Performance
EWJ vs. JPY=X - Performance Comparison
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Different Trading Currencies
EWJ is traded in USD, while JPY=X is traded in JPY. To make them comparable, the JPY=X values have been converted to USD using the latest available exchange rates.
Returns By Period
In the year-to-date period, EWJ achieves a 12.36% return, which is significantly higher than JPY=X's -0.09% return.
EWJ
- 1D
- -3.62%
- 1M
- -1.05%
- YTD
- 12.36%
- 6M
- 12.44%
- 1Y
- 29.28%
- 3Y*
- 16.28%
- 5Y*
- 8.04%
- 10Y*
- 8.81%
JPY=X
- 1D
- 0.01%
- 1M
- 0.05%
- YTD
- -0.09%
- 6M
- 0.07%
- 1Y
- 0.02%
- 3Y*
- 0.01%
- 5Y*
- 0.01%
- 10Y*
- 0.00%
EWJ vs. JPY=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EWJ iShares MSCI Japan ETF | 12.36% | 25.84% | 7.03% | 20.29% | -17.72% | 1.16% | 15.40% | 19.34% | -14.10% | 24.27% |
JPY=X USD/JPY | -0.09% | 0.04% | 0.14% | -0.04% | -0.02% | 0.05% | -0.02% | -0.12% | 0.11% | 0.07% |
Correlation
The correlation between EWJ and JPY=X is -0.08, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.00 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.00 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.03 |
Correlation (All Time) Calculated using the full available price history since Jul 13, 2007 | -0.05 |
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Return for Risk
EWJ vs. JPY=X — Risk / Return Rank
EWJ
JPY=X
EWJ vs. JPY=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Japan ETF (EWJ) and USD/JPY (JPY=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.
| EWJ | JPY=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.47 | ||
| Sortino ratioReturn per unit of downside risk | +2.12 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.00 | +0.28 |
| Calmar ratioReturn relative to maximum drawdown | 2.16 | 0.03 | +2.13 |
| Martin ratioReturn relative to average drawdown | 7.31 | 0.05 | +7.27 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EWJ | JPY=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.48 | 0.01 | +1.47 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.44 | 0.01 | +0.43 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.51 | 0.00 | +0.51 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.11 | 0.02 | +0.09 |
Drawdowns
EWJ vs. JPY=X - Drawdown Comparison
The maximum EWJ drawdown since its inception was -60.93%, which is greater than JPY=X's maximum drawdown of -3.46%. Use the drawdown chart below to compare losses from any high point for EWJ and JPY=X.
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Drawdown Indicators
| EWJ | JPY=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.93% | -3.46% | -57.47% |
Max Drawdown (1Y)Largest decline over 1 year | -13.59% | -0.55% | -13.04% |
Max Drawdown (3Y)Largest decline over 3 years | -14.68% | -1.14% | -13.54% |
Max Drawdown (5Y)Largest decline over 5 years | -33.14% | -1.14% | -32.00% |
Max Drawdown (10Y)Largest decline over 10 years | -33.14% | -1.19% | -31.95% |
Current DrawdownCurrent decline from peak | -3.62% | -2.36% | -1.26% |
Average DrawdownAverage peak-to-trough decline | -21.73% | -2.08% | -19.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.01% | 0.40% | +3.61% |
Volatility
EWJ vs. JPY=X - Volatility Comparison
iShares MSCI Japan ETF (EWJ) has a higher volatility of 5.08% compared to USD/JPY (JPY=X) at 0.15%. This indicates that EWJ's price experiences larger fluctuations and is considered to be riskier than JPY=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EWJ | JPY=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.08% | 0.15% | +4.93% |
Volatility (6M)Calculated over the trailing 6-month period | 15.50% | 0.80% | +14.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.84% | 1.48% | +18.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.29% | 1.20% | +17.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.31% | 1.16% | +16.15% |
Frequently Asked Questions
EWJ and JPY=X have a correlation of -0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EWJ has higher volatility (5.08%) compared to JPY=X (0.15%). In terms of maximum drawdown, EWJ dropped -60.93% vs JPY=X's -3.46%.
EWJ currently has the higher Sharpe Ratio (1.48 vs 0.01), 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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