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 4.09%/yr vs 65.89%/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 2.19% return, which is significantly higher than BTC-USD's -28.44% return. Over the past 10 years, JPY=X has underperformed BTC-USD with an annualized return of 4.09%, while BTC-USD has yielded a comparatively higher 65.89% annualized return.
JPY=X
- 1D
- 0.17%
- 1M
- 2.53%
- YTD
- 2.19%
- 6M
- 3.18%
- 1Y
- 11.69%
- 3Y*
- 4.71%
- 5Y*
- 7.92%
- 10Y*
- 4.09%
BTC-USD
- 1D
- -3.81%
- 1M
- -22.86%
- YTD
- -28.44%
- 6M
- -29.24%
- 1Y
- -32.62%
- 3Y*
- 37.19%
- 5Y*
- 19.47%
- 10Y*
- 65.89%
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 21, 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 | +1.97 | ||
| Sortino ratioReturn per unit of downside risk | +2.57 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 0.90 | +0.34 |
| Calmar ratioReturn relative to maximum drawdown | 2.15 | -0.68 | +2.83 |
| Martin ratioReturn relative to average drawdown | 6.37 | -1.23 | +7.60 |
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 | 1.22 | -0.74 | +1.97 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.76 | 0.35 | +0.41 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.97 | -0.53 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.14 | 1.23 | -1.09 |
Drawdowns
JPY=X vs. BTC-USD - Drawdown Comparison
The maximum JPY=X drawdown since its inception was -38.07%, 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 | -38.07% | -83.15% | +45.08% |
Max Drawdown (1Y)Largest decline over 1 year | -4.34% | -47.85% | +43.51% |
Max Drawdown (3Y)Largest decline over 3 years | -13.02% | -47.85% | +34.83% |
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 | -0.86% | -47.85% | +46.99% |
Average DrawdownAverage peak-to-trough decline | -14.46% | -40.15% | +25.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.29% | 31.68% | -30.39% |
Volatility
JPY=X vs. BTC-USD - Volatility Comparison
The current volatility for USD/JPY (JPY=X) is 0.64%, while Bitcoin (BTC-USD) has a volatility of 10.62%. 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 | 0.64% | 10.62% | -9.98% |
Volatility (6M)Calculated over the trailing 6-month period | 5.55% | 35.25% | -29.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.62% | 36.57% | -28.95% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.57% | 46.20% | -36.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.86% | 56.59% | -47.73% |
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 (10.62%) compared to JPY=X (0.64%). In terms of maximum drawdown, JPY=X dropped -38.07% vs BTC-USD's -83.15%.
JPY=X currently has the higher Sharpe Ratio (1.22 vs -0.74), 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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