JPY=X vs. BTC-USD
JPY=X (USD/JPY) is a currency, while BTC-USD (Bitcoin) is a cryptocurrency. Over the past 10 years, JPY=X returned 4.15%/yr vs 66.75%/yr for BTC-USD. At a 0.15 correlation, their price movements are largely independent.
Performance
JPY=X vs. BTC-USD - Performance Comparison
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Different Trading Currencies
JPY=X is traded in JPY, while BTC-USD is traded in USD. To make them comparable, the BTC-USD values have been converted to JPY using the latest available exchange rates.
Returns By Period
In the year-to-date period, JPY=X achieves a 1.96% return, which is significantly higher than BTC-USD's -26.30% return. Over the past 10 years, JPY=X has underperformed BTC-USD with an annualized return of 4.15%, while BTC-USD has yielded a comparatively higher 66.75% annualized return.
JPY=X
- 1D
- 0.18%
- 1M
- 1.72%
- YTD
- 1.96%
- 6M
- 3.03%
- 1Y
- 11.08%
- 3Y*
- 4.56%
- 5Y*
- 7.87%
- 10Y*
- 4.15%
BTC-USD
- 1D
- -5.01%
- 1M
- -19.43%
- YTD
- -26.30%
- 6M
- -30.27%
- 1Y
- -33.37%
- 3Y*
- 38.43%
- 5Y*
- 20.18%
- 10Y*
- 66.75%
JPY=X vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between JPY=X and BTC-USD is 0.13, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.13 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.19 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.16 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since Sep 19, 2012 | 0.15 |
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Return for Risk
JPY=X vs. BTC-USD — Risk / Return Rank
JPY=X
BTC-USD
JPY=X vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/JPY (JPY=X) and Bitcoin (BTC-USD). 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.
| JPY=X | BTC-USD | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.15 | -0.76 | +1.91 |
Sortino ratioReturn per unit of downside risk | 1.57 | -0.94 | +2.51 |
Omega ratioGain probability vs. loss probability | 1.22 | 0.90 | +0.32 |
Calmar ratioReturn relative to maximum drawdown | 2.04 | -0.70 | +2.74 |
Martin ratioReturn relative to average drawdown | 6.04 | -1.27 | +7.31 |
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
| JPY=X | BTC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.15 | -0.76 | +1.91 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.75 | 0.36 | +0.39 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.44 | 0.98 | -0.54 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.14 | 1.23 | -1.10 |
Drawdowns
JPY=X vs. BTC-USD - Drawdown Comparison
The maximum JPY=X drawdown since its inception was -38.14%, smaller than the maximum BTC-USD drawdown of -83.15%. Use the drawdown chart below to compare losses from any high point for JPY=X and BTC-USD.
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Drawdown Indicators
| JPY=X | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.14% | -83.15% | +45.01% |
Max Drawdown (1Y)Largest decline over 1 year | -4.34% | -47.65% | +43.31% |
Max Drawdown (3Y)Largest decline over 3 years | -13.02% | -47.65% | +34.63% |
Max Drawdown (5Y)Largest decline over 5 years | -14.84% | -71.55% | +56.71% |
Max Drawdown (10Y)Largest decline over 10 years | -14.84% | -83.09% | +68.25% |
Current DrawdownCurrent decline from peak | -1.08% | -46.29% | +45.21% |
Average DrawdownAverage peak-to-trough decline | -14.50% | -40.14% | +25.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.29% | 31.41% | -30.12% |
Volatility
JPY=X vs. BTC-USD - Volatility Comparison
The current volatility for USD/JPY (JPY=X) is 0.71%, while Bitcoin (BTC-USD) has a volatility of 10.90%. This indicates that JPY=X experiences smaller price fluctuations and is considered to be less risky than BTC-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JPY=X | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.71% | 10.90% | -10.19% |
Volatility (6M)Calculated over the trailing 6-month period | 5.59% | 35.33% | -29.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.71% | 36.55% | -28.84% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.58% | 46.26% | -36.68% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.86% | 56.60% | -47.74% |
Frequently Asked Questions
JPY=X and BTC-USD have a correlation of 0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTC-USD has higher volatility (10.90%) compared to JPY=X (0.71%). In terms of maximum drawdown, JPY=X dropped -38.14% vs BTC-USD's -83.15%.
JPY=X currently has the higher Sharpe Ratio (1.15 vs -0.76), 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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