JPY=X vs. EWJ
JPY=X (USD/JPY) is a currency, while EWJ (iShares MSCI Japan ETF) is Japan Equities fund tracking the MSCI Japan Index. Over the past 10 years, JPY=X returned 4.09%/yr vs 13.26%/yr for EWJ. At a 0.48 correlation, their price movements are largely independent.
Performance
JPY=X vs. EWJ - Performance Comparison
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Different Trading Currencies
JPY=X is traded in JPY, while EWJ is traded in USD. To make them comparable, the EWJ 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 lower than EWJ's 14.82% return. Over the past 10 years, JPY=X has underperformed EWJ with an annualized return of 4.09%, while EWJ has yielded a comparatively higher 13.26% 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%
EWJ
- 1D
- -3.46%
- 1M
- 1.45%
- YTD
- 14.82%
- 6M
- 16.02%
- 1Y
- 44.40%
- 3Y*
- 21.75%
- 5Y*
- 16.60%
- 10Y*
- 13.26%
JPY=X vs. EWJ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JPY=X USD/JPY | 2.19% | -0.29% | 11.58% | 7.54% | 13.91% | 11.47% | -4.94% | -0.97% | -2.63% | -3.70% |
EWJ iShares MSCI Japan ETF | 14.82% | 25.47% | 19.43% | 29.36% | -6.28% | 12.75% | 9.69% | 18.18% | -16.36% | 19.67% |
Correlation
The correlation between JPY=X and EWJ is -0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.01 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.21 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.23 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.36 |
Correlation (All Time) Calculated using the full available price history since Jul 16, 2007 | 0.48 |
The correlation between JPY=X and EWJ shifts across timeframes, from -0.01 (1 year) to 0.48 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
JPY=X vs. EWJ — Risk / Return Rank
JPY=X
EWJ
JPY=X vs. EWJ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/JPY (JPY=X) and iShares MSCI Japan ETF (EWJ). 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 | EWJ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.13 | ||
| Sortino ratioReturn per unit of downside risk | -1.55 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.43 | -0.20 |
| Calmar ratioReturn relative to maximum drawdown | 2.15 | 4.22 | -2.08 |
| Martin ratioReturn relative to average drawdown | 6.37 | 16.17 | -9.80 |
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 | EWJ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.22 | 2.36 | -1.13 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.76 | 0.88 | -0.12 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.69 | -0.26 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.14 | 0.23 | -0.09 |
Drawdowns
JPY=X vs. EWJ - Drawdown Comparison
The maximum JPY=X drawdown since its inception was -38.07%, smaller than the maximum EWJ drawdown of -61.45%. Use the drawdown chart below to compare losses from any high point for JPY=X and EWJ.
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Drawdown Indicators
| JPY=X | EWJ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.07% | -61.45% | +23.38% |
Max Drawdown (1Y)Largest decline over 1 year | -4.34% | -10.56% | +6.22% |
Max Drawdown (3Y)Largest decline over 3 years | -13.02% | -20.96% | +7.94% |
Max Drawdown (5Y)Largest decline over 5 years | -14.84% | -20.96% | +6.12% |
Max Drawdown (10Y)Largest decline over 10 years | -14.84% | -33.34% | +18.50% |
Current DrawdownCurrent decline from peak | -0.86% | -3.46% | +2.60% |
Average DrawdownAverage peak-to-trough decline | -14.46% | -20.82% | +6.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.29% | 2.75% | -1.46% |
Volatility
JPY=X vs. EWJ - Volatility Comparison
The current volatility for USD/JPY (JPY=X) is 0.64%, while iShares MSCI Japan ETF (EWJ) has a volatility of 4.80%. This indicates that JPY=X experiences smaller price fluctuations and is considered to be less risky than EWJ 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 | EWJ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.64% | 4.80% | -4.16% |
Volatility (6M)Calculated over the trailing 6-month period | 5.55% | 13.98% | -8.43% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.62% | 18.94% | -11.32% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.57% | 18.93% | -9.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.86% | 19.26% | -10.40% |
Frequently Asked Questions
JPY=X and EWJ have a correlation of -0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EWJ has higher volatility (4.80%) compared to JPY=X (0.64%). In terms of maximum drawdown, JPY=X dropped -38.07% vs EWJ's -61.45%.
EWJ currently has the higher Sharpe Ratio (2.36 vs 1.22), 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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