JPY=X vs. XMR-USD
JPY=X (USD/JPY) is a currency, while XMR-USD (Monero) is a cryptocurrency. Over the past 10 years, JPY=X returned 4.09%/yr vs 84.79%/yr for XMR-USD. At a 0.11 correlation, their price movements are largely independent.
Performance
JPY=X vs. XMR-USD - Performance Comparison
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Different Trading Currencies
JPY=X is traded in JPY, while XMR-USD is traded in USD. To make them comparable, the XMR-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 XMR-USD's -26.59% return. Over the past 10 years, JPY=X has underperformed XMR-USD with an annualized return of 4.09%, while XMR-USD has yielded a comparatively higher 84.79% 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%
XMR-USD
- 1D
- -16.46%
- 1M
- -23.25%
- YTD
- -26.59%
- 6M
- -19.50%
- 1Y
- 9.76%
- 3Y*
- 34.43%
- 5Y*
- 9.58%
- 10Y*
- 84.79%
JPY=X vs. XMR-USD - Yearly Performance Comparison
Correlation
The correlation between JPY=X and XMR-USD is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.16 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.20 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.17 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.11 |
Correlation (All Time) Calculated using the full available price history since May 21, 2014 | 0.11 |
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Return for Risk
JPY=X vs. XMR-USD — Risk / Return Rank
JPY=X
XMR-USD
JPY=X vs. XMR-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/JPY (JPY=X) and Monero (XMR-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 | XMR-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.11 | ||
| Sortino ratioReturn per unit of downside risk | +0.89 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.09 | +0.14 |
| Calmar ratioReturn relative to maximum drawdown | 2.15 | 0.16 | +1.98 |
| Martin ratioReturn relative to average drawdown | 6.37 | 0.31 | +6.06 |
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 | XMR-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.22 | 0.11 | +1.11 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.76 | 0.13 | +0.63 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.78 | -0.35 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.14 | 0.52 | -0.38 |
Drawdowns
JPY=X vs. XMR-USD - Drawdown Comparison
The maximum JPY=X drawdown since its inception was -38.07%, smaller than the maximum XMR-USD drawdown of -93.97%. Use the drawdown chart below to compare losses from any high point for JPY=X and XMR-USD.
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Drawdown Indicators
| JPY=X | XMR-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.07% | -93.97% | +55.90% |
Max Drawdown (1Y)Largest decline over 1 year | -4.34% | -59.34% | +55.00% |
Max Drawdown (3Y)Largest decline over 3 years | -13.02% | -59.34% | +46.32% |
Max Drawdown (5Y)Largest decline over 5 years | -14.84% | -60.69% | +45.85% |
Max Drawdown (10Y)Largest decline over 10 years | -14.84% | -93.63% | +78.79% |
Current DrawdownCurrent decline from peak | -0.86% | -55.74% | +54.88% |
Average DrawdownAverage peak-to-trough decline | -14.46% | -58.19% | +43.73% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.29% | 36.41% | -35.12% |
Volatility
JPY=X vs. XMR-USD - Volatility Comparison
The current volatility for USD/JPY (JPY=X) is 0.64%, while Monero (XMR-USD) has a volatility of 30.82%. This indicates that JPY=X experiences smaller price fluctuations and is considered to be less risky than XMR-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 | XMR-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.64% | 30.82% | -30.18% |
Volatility (6M)Calculated over the trailing 6-month period | 5.55% | 69.18% | -63.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.62% | 70.76% | -63.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.57% | 62.94% | -53.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.86% | 90.16% | -81.30% |
Frequently Asked Questions
JPY=X and XMR-USD have a correlation of 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XMR-USD has higher volatility (30.82%) compared to JPY=X (0.64%). In terms of maximum drawdown, JPY=X dropped -38.07% vs XMR-USD's -93.97%.
JPY=X currently has the higher Sharpe Ratio (1.22 vs 0.11), 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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