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 4.73%/yr vs 64.34%/yr for BTC-USD. At a 0.14 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 3.18% return, which is significantly higher than BTC-USD's -29.75% return. Over the past 10 years, JPY=X has underperformed BTC-USD with an annualized return of 4.73%, while BTC-USD has yielded a comparatively higher 64.34% annualized return.
JPY=X
- 1D
- 0.03%
- 1M
- 1.60%
- YTD
- 3.18%
- 6M
- 3.65%
- 1Y
- 11.48%
- 3Y*
- 4.09%
- 5Y*
- 7.87%
- 10Y*
- 4.73%
BTC-USD
- 1D
- -2.28%
- 1M
- -20.18%
- YTD
- -29.75%
- 6M
- -29.17%
- 1Y
- -38.16%
- 3Y*
- 30.44%
- 5Y*
- 22.46%
- 10Y*
- 64.34%
JPY=X vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between JPY=X and BTC-USD is 0.10, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.10 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.15 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since Oct 10, 2012 | 0.14 |
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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.
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.
| JPY=X | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.10 | ||
| Sortino ratioReturn per unit of downside risk | +2.83 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 0.87 | +0.37 |
| Calmar ratioReturn relative to maximum drawdown | 2.11 | -0.78 | +2.89 |
| Martin ratioReturn relative to average drawdown | 6.38 | -1.33 | +7.72 |
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Drawdowns
JPY=X vs. BTC-USD - Drawdown Comparison
The maximum JPY=X drawdown since its inception was -36.72%, 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 | -36.72% | -83.15% | +46.43% |
Max Drawdown (1Y)Largest decline over 1 year | -4.34% | -48.81% | +44.47% |
Max Drawdown (3Y)Largest decline over 3 years | -13.02% | -48.81% | +35.79% |
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 | 0.00% | -48.81% | +48.81% |
Average DrawdownAverage peak-to-trough decline | -13.80% | -40.27% | +26.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.28% | 29.75% | -28.47% |
Volatility
JPY=X vs. BTC-USD - Volatility Comparison
The current volatility for USD/JPY (JPY=X) is 0.77%, while Bitcoin (BTC-USD) has a volatility of 12.00%. 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 | 0.77% | 12.00% | -11.23% |
Volatility (6M)Calculated over the trailing 6-month period | 4.89% | 35.42% | -30.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.47% | 36.43% | -28.96% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.55% | 45.36% | -35.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.74% | 56.19% | -47.45% |
Frequently Asked Questions
JPY=X and BTC-USD have a correlation of 0.10, 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 (12.00%) compared to JPY=X (0.77%). In terms of maximum drawdown, JPY=X dropped -36.72% vs BTC-USD's -83.15%.
JPY=X currently has the higher Sharpe Ratio (1.23 vs -0.87), 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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