EWJ vs. JPYUSD=X
EWJ (iShares MSCI Japan ETF) is Japan Equities fund tracking the MSCI Japan Index, while JPYUSD=X (JPY/USD) is a currency. Over the past 10 years, EWJ returned 9.15%/yr vs -4.25%/yr for JPYUSD=X. At a correlation of -0.09, they often move in opposite directions.
Performance
EWJ vs. JPYUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, EWJ achieves a 16.43% return, which is significantly higher than JPYUSD=X's -3.31% return. Over the past 10 years, EWJ has outperformed JPYUSD=X with an annualized return of 9.15%, while JPYUSD=X has yielded a comparatively lower -4.25% annualized return.
EWJ
- 1D
- -0.42%
- 1M
- -0.60%
- 6M
- 10.55%
- YTD
- 16.43%
- 1Y
- 36.04%
- 3Y*
- 17.79%
- 5Y*
- 9.39%
- 10Y*
- 9.15%
JPYUSD=X
- 1D
- 0.11%
- 1M
- -1.04%
- 6M
- -2.20%
- YTD
- -3.31%
- 1Y
- -8.13%
- 3Y*
- -5.02%
- 5Y*
- -7.44%
- 10Y*
- -4.25%
EWJ vs. JPYUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EWJ iShares MSCI Japan ETF | 16.43% | 25.84% | 7.03% | 20.29% | -17.72% | 1.16% | 15.40% | 19.34% | -14.10% | 24.27% |
JPYUSD=X JPY/USD | -3.31% | 0.33% | -10.26% | -7.04% | -12.23% | -10.24% | 5.18% | 0.86% | 2.82% | 3.91% |
Correlation
The correlation between EWJ and JPYUSD=X is 0.36, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.36 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.24 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.25 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.10 |
Correlation (All Time) Calculated using the full available price history since Aug 20, 2007 | -0.09 |
The correlation between EWJ and JPYUSD=X shifts across timeframes, from -0.09 (all time) to 0.36 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
EWJ vs. JPYUSD=X — Risk / Return Rank
EWJ
JPYUSD=X
EWJ vs. JPYUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Japan ETF (EWJ) 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.
| EWJ | JPYUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.65 | ||
| Sortino ratioReturn per unit of downside risk | +3.75 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 0.85 | +0.47 |
| Calmar ratioReturn relative to maximum drawdown | 2.66 | -0.67 | +3.33 |
| Martin ratioReturn relative to average drawdown | 8.90 | -1.06 | +9.96 |
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Drawdowns
EWJ vs. JPYUSD=X - Drawdown Comparison
The maximum EWJ drawdown since its inception was -60.93%, which is greater than JPYUSD=X's maximum drawdown of -53.20%. Use the drawdown chart below to compare losses from any high point for EWJ and JPYUSD=X.
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Drawdown Indicators
| EWJ | JPYUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.93% | -53.20% | -7.73% |
Max Drawdown (1Y)Largest decline over 1 year | -13.59% | -9.90% | -3.69% |
Max Drawdown (3Y)Largest decline over 3 years | -14.68% | -14.68% | 0.00% |
Max Drawdown (5Y)Largest decline over 5 years | -33.14% | -32.94% | -0.20% |
Max Drawdown (10Y)Largest decline over 10 years | -33.14% | -38.53% | +5.39% |
Current DrawdownCurrent decline from peak | -3.58% | -53.04% | +49.46% |
Average DrawdownAverage peak-to-trough decline | -21.67% | -27.20% | +5.53% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.06% | 6.54% | -2.48% |
Volatility
EWJ vs. JPYUSD=X - Volatility Comparison
iShares MSCI Japan ETF (EWJ) has a higher volatility of 7.11% compared to JPY/USD (JPYUSD=X) at 1.25%. This indicates that EWJ's price experiences larger fluctuations and is considered to be riskier 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
| EWJ | JPYUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.11% | 1.25% | +5.86% |
Volatility (6M)Calculated over the trailing 6-month period | 16.95% | 4.43% | +12.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.80% | 7.34% | +13.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.54% | 9.54% | +9.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.35% | 8.70% | +8.65% |
Frequently Asked Questions
EWJ and JPYUSD=X have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EWJ has higher volatility (7.11%) compared to JPYUSD=X (1.25%). In terms of maximum drawdown, EWJ dropped -60.93% vs JPYUSD=X's -53.20%.
EWJ currently has the higher Sharpe Ratio (1.74 vs -0.90), 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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