JPYUSD=X vs. ^NDX
JPYUSD=X (JPY/USD) is a currency, while ^NDX (NASDAQ 100 Index) is an index. Over the past 10 years, JPYUSD=X returned -4.05%/yr vs 20.95%/yr for ^NDX. At a correlation of -0.21, they often move in opposite directions.
Performance
JPYUSD=X vs. ^NDX - Performance Comparison
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Returns By Period
In the year-to-date period, JPYUSD=X achieves a -2.23% return, which is significantly lower than ^NDX's 17.37% return. Over the past 10 years, JPYUSD=X has underperformed ^NDX with an annualized return of -4.05%, while ^NDX has yielded a comparatively higher 20.95% annualized return.
JPYUSD=X
- 1D
- -0.18%
- 1M
- -1.52%
- YTD
- -2.23%
- 6M
- -2.74%
- 1Y
- -10.40%
- 3Y*
- -4.35%
- 5Y*
- -7.30%
- 10Y*
- -4.05%
^NDX
- 1D
- 0.64%
- 1M
- 0.92%
- YTD
- 17.37%
- 6M
- 17.62%
- 1Y
- 35.24%
- 3Y*
- 25.76%
- 5Y*
- 16.18%
- 10Y*
- 20.95%
JPYUSD=X vs. ^NDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JPYUSD=X JPY/USD | -2.23% | 0.33% | -10.26% | -7.04% | -12.23% | -10.24% | 5.18% | 0.86% | 2.82% | 3.91% |
^NDX NASDAQ 100 Index | 17.37% | 20.17% | 24.88% | 53.81% | -32.97% | 26.63% | 47.58% | 37.96% | -1.04% | 31.52% |
Correlation
The correlation between JPYUSD=X and ^NDX is 0.15, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.15 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.02 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.09 |
Correlation (All Time) Calculated using the full available price history since Jul 11, 2007 | -0.21 |
The correlation between JPYUSD=X and ^NDX shifts across timeframes, from -0.21 (all time) to 0.15 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
JPYUSD=X vs. ^NDX — Risk / Return Rank
JPYUSD=X
^NDX
JPYUSD=X vs. ^NDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and NASDAQ 100 Index (^NDX). 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.
| JPYUSD=X | ^NDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.18 | ||
| Sortino ratioReturn per unit of downside risk | -4.34 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 1.36 | -0.54 |
| Calmar ratioReturn relative to maximum drawdown | -0.79 | 2.92 | -3.71 |
| Martin ratioReturn relative to average drawdown | -1.16 | 10.85 | -12.01 |
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Drawdowns
JPYUSD=X vs. ^NDX - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -52.96%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and ^NDX.
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Drawdown Indicators
| JPYUSD=X | ^NDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.96% | -82.90% | +29.94% |
Max Drawdown (1Y)Largest decline over 1 year | -10.68% | -12.12% | +1.44% |
Max Drawdown (3Y)Largest decline over 3 years | -14.63% | -22.93% | +8.30% |
Max Drawdown (5Y)Largest decline over 5 years | -32.59% | -35.56% | +2.97% |
Max Drawdown (10Y)Largest decline over 10 years | -38.21% | -35.56% | -2.65% |
Current DrawdownCurrent decline from peak | -52.52% | -3.34% | -49.18% |
Average DrawdownAverage peak-to-trough decline | -26.91% | -24.61% | -2.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.15% | 3.26% | +2.89% |
Volatility
JPYUSD=X vs. ^NDX - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 0.69%, while NASDAQ 100 Index (^NDX) has a volatility of 7.51%. This indicates that JPYUSD=X experiences smaller price fluctuations and is considered to be less risky than ^NDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JPYUSD=X | ^NDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.69% | 7.51% | -6.82% |
Volatility (6M)Calculated over the trailing 6-month period | 5.49% | 13.84% | -8.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.51% | 17.29% | -9.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.56% | 22.76% | -13.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.89% | 22.61% | -13.72% |
Frequently Asked Questions
JPYUSD=X and ^NDX have a correlation of 0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^NDX has higher volatility (7.51%) compared to JPYUSD=X (0.69%). In terms of maximum drawdown, JPYUSD=X dropped -52.96% vs ^NDX's -82.90%.
^NDX currently has the higher Sharpe Ratio (2.05 vs -1.13), 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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