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JPY=X vs. BTC-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

JPY=X vs. BTC-USD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/JPY (JPY=X) and Bitcoin (BTC-USD). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
0.46%
36.48%
JPY=X
BTC-USD

Returns By Period

In the year-to-date period, JPY=X achieves a 9.94% return, which is significantly lower than BTC-USD's 123.21% return. Over the past 10 years, JPY=X has underperformed BTC-USD with an annualized return of 2.61%, while BTC-USD has yielded a comparatively higher 74.15% annualized return.


JPY=X

YTD

9.94%

1M

2.81%

6M

-1.09%

1Y

4.50%

5Y (annualized)

6.69%

10Y (annualized)

2.61%

BTC-USD

YTD

123.21%

1M

40.04%

6M

36.48%

1Y

163.42%

5Y (annualized)

66.85%

10Y (annualized)

74.15%

Key characteristics


JPY=XBTC-USD
Sharpe Ratio0.620.83
Sortino Ratio0.911.51
Omega Ratio1.131.15
Calmar Ratio0.450.64
Martin Ratio1.033.82
Ulcer Index5.71%11.71%
Daily Std Dev9.50%44.27%
Max Drawdown-52.58%-93.07%
Current Drawdown-4.09%0.00%

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Correlation

-0.50.00.51.0-0.0

The correlation between JPY=X and BTC-USD is -0.00. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

JPY=X vs. BTC-USD - Risk-Adjusted Performance 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.


Sharpe ratio
The chart of Sharpe ratio for JPY=X, currently valued at 0.24, compared to the broader market-1.00-0.500.000.501.001.500.240.92
The chart of Sortino ratio for JPY=X, currently valued at 0.39, compared to the broader market0.0050.00100.00150.00200.00250.000.391.61
The chart of Omega ratio for JPY=X, currently valued at 1.05, compared to the broader market10.0020.0030.0040.0050.0060.001.051.16
The chart of Calmar ratio for JPY=X, currently valued at 0.14, compared to the broader market0.00100.00200.00300.00400.00500.000.140.74
The chart of Martin ratio for JPY=X, currently valued at 2.66, compared to the broader market0.001,000.002,000.003,000.004,000.002.664.27
JPY=X
BTC-USD

The current JPY=X Sharpe Ratio is 0.62, which is comparable to the BTC-USD Sharpe Ratio of 0.83. The chart below compares the historical Sharpe Ratios of JPY=X and BTC-USD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.001.002.003.004.005.006.00JuneJulyAugustSeptemberOctoberNovember
0.24
0.92
JPY=X
BTC-USD

Drawdowns

JPY=X vs. BTC-USD - Drawdown Comparison

The maximum JPY=X drawdown since its inception was -52.58%, smaller than the maximum BTC-USD drawdown of -93.07%. Use the drawdown chart below to compare losses from any high point for JPY=X and BTC-USD. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.02%
0
JPY=X
BTC-USD

Volatility

JPY=X vs. BTC-USD - Volatility Comparison

The current volatility for USD/JPY (JPY=X) is 3.80%, while Bitcoin (BTC-USD) has a volatility of 16.53%. 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.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
3.80%
16.53%
JPY=X
BTC-USD