GBPUSD=X vs. JPYUSD=X
GBPUSD=X (GBP/USD) and JPYUSD=X (JPY/USD) are both currencies. Over the past 10 years, GBPUSD=X returned 0.24%/yr vs -4.16%/yr for JPYUSD=X. At a 0.24 correlation, their price movements are largely independent.
Performance
GBPUSD=X vs. JPYUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, GBPUSD=X achieves a -0.18% return, which is significantly higher than JPYUSD=X's -3.56% return. Over the past 10 years, GBPUSD=X has outperformed JPYUSD=X with an annualized return of 0.24%, while JPYUSD=X has yielded a comparatively lower -4.16% annualized return.
GBPUSD=X
- 1D
- -0.22%
- 1M
- 1.54%
- 6M
- 0.06%
- YTD
- -0.18%
- 1Y
- 0.12%
- 3Y*
- 1.48%
- 5Y*
- -0.41%
- 10Y*
- 0.24%
- ALL TIME*
- -2.10%
JPYUSD=X
- 1D
- -0.08%
- 1M
- -0.70%
- 6M
- -2.66%
- YTD
- -3.56%
- 1Y
- -8.63%
- 3Y*
- -4.43%
- 5Y*
- -7.45%
- 10Y*
- -4.16%
- ALL TIME*
- -1.72%
GBPUSD=X vs. JPYUSD=X - Yearly Performance Comparison
Correlation
The correlation between GBPUSD=X and JPYUSD=X is 0.63, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.63 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.50 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.46 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.38 |
Correlation (All Time) Calculated using the full available price history since Aug 24, 2007 | 0.24 |
Over the past year, GBPUSD=X and JPYUSD=X have become more correlated (0.63) than their long-term average of 0.24, meaning their price movements have been converging.
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Return for Risk
GBPUSD=X vs. JPYUSD=X — Risk / Return Rank
GBPUSD=X
JPYUSD=X
GBPUSD=X vs. JPYUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GBP/USD (GBPUSD=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.
| GBPUSD=X | JPYUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.98 | ||
| Sortino ratioReturn per unit of downside risk | +1.50 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 0.84 | +0.17 |
| Calmar ratioReturn relative to maximum drawdown | 0.02 | -0.71 | +0.73 |
| Martin ratioReturn relative to average drawdown | 0.04 | -1.11 | +1.15 |
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Drawdowns
GBPUSD=X vs. JPYUSD=X - Drawdown Comparison
The maximum GBPUSD=X drawdown since its inception was -49.29%, smaller than the maximum JPYUSD=X drawdown of -53.20%. Use the drawdown chart below to compare losses from any high point for GBPUSD=X and JPYUSD=X.
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Drawdown Indicators
| GBPUSD=X | JPYUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.29% | -53.20% | +3.91% |
Max Drawdown (1Y)Largest decline over 1 year | -4.89% | -9.90% | +5.01% |
Max Drawdown (3Y)Largest decline over 3 years | -9.34% | -14.17% | +4.83% |
Max Drawdown (5Y)Largest decline over 5 years | -23.41% | -32.94% | +9.53% |
Max Drawdown (10Y)Largest decline over 10 years | -25.46% | -38.53% | +13.07% |
Current DrawdownCurrent decline from peak | -36.26% | -53.17% | +16.91% |
Average DrawdownAverage peak-to-trough decline | -31.40% | -27.24% | -4.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.59% | 6.64% | -4.05% |
Volatility
GBPUSD=X vs. JPYUSD=X - Volatility Comparison
GBP/USD (GBPUSD=X) has a higher volatility of 1.58% compared to JPY/USD (JPYUSD=X) at 1.24%. This indicates that GBPUSD=X'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
| GBPUSD=X | JPYUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.58% | 1.24% | +0.34% |
Volatility (6M)Calculated over the trailing 6-month period | 4.75% | 4.40% | +0.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.23% | 7.27% | -1.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.22% | 9.53% | -1.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.57% | 8.68% | -0.11% |
Frequently Asked Questions
GBPUSD=X and JPYUSD=X have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GBPUSD=X has higher volatility (1.58%) compared to JPYUSD=X (1.24%). In terms of maximum drawdown, GBPUSD=X dropped -49.29% vs JPYUSD=X's -53.20%.
GBPUSD=X currently has the higher Sharpe Ratio (0.02 vs -0.96), 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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