JPYUSD=X vs. AUDUSD=X
JPYUSD=X (JPY/USD) and AUDUSD=X (AUD/USD) are both currencies. Over the past 10 years, JPYUSD=X returned -4.16%/yr vs -0.63%/yr for AUDUSD=X. At a 0.17 correlation, their price movements are largely independent.
Performance
JPYUSD=X vs. AUDUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, JPYUSD=X achieves a -3.56% return, which is significantly lower than AUDUSD=X's 4.93% return. Over the past 10 years, JPYUSD=X has underperformed AUDUSD=X with an annualized return of -4.16%, while AUDUSD=X has yielded a comparatively higher -0.63% annualized return.
JPYUSD=X
- 1D
- -0.08%
- 1M
- -0.70%
- 6M
- -2.66%
- YTD
- -3.56%
- 1Y
- -8.63%
- 3Y*
- -4.43%
- 5Y*
- -7.45%
- 10Y*
- -4.16%
- ALL TIME*
- -1.72%
AUDUSD=X
- 1D
- 0.12%
- 1M
- -0.12%
- 6M
- 4.29%
- YTD
- 4.93%
- 1Y
- 7.52%
- 3Y*
- 1.34%
- 5Y*
- -0.98%
- 10Y*
- -0.63%
- ALL TIME*
- -0.74%
JPYUSD=X vs. AUDUSD=X - Yearly Performance Comparison
Correlation
The correlation between JPYUSD=X and AUDUSD=X is 0.46, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.46 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.42 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.38 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.32 |
Correlation (All Time) Calculated using the full available price history since Aug 24, 2007 | 0.17 |
Over the past year, JPYUSD=X and AUDUSD=X have become more correlated (0.46) than their long-term average of 0.17, meaning their price movements have been converging.
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Return for Risk
JPYUSD=X vs. AUDUSD=X — Risk / Return Rank
JPYUSD=X
AUDUSD=X
JPYUSD=X vs. AUDUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and AUD/USD (AUDUSD=X). 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 | AUDUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.77 | ||
| Sortino ratioReturn per unit of downside risk | -2.61 | ||
| Omega ratioGain probability vs. loss probability | 0.84 | 1.15 | -0.31 |
| Calmar ratioReturn relative to maximum drawdown | -0.71 | 1.17 | -1.88 |
| Martin ratioReturn relative to average drawdown | -1.11 | 2.88 | -3.99 |
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Drawdowns
JPYUSD=X vs. AUDUSD=X - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -53.20%, which is greater than AUDUSD=X's maximum drawdown of -47.87%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and AUDUSD=X.
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Drawdown Indicators
| JPYUSD=X | AUDUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.20% | -47.87% | -5.33% |
Max Drawdown (1Y)Largest decline over 1 year | -9.90% | -5.12% | -4.78% |
Max Drawdown (3Y)Largest decline over 3 years | -14.17% | -13.83% | -0.34% |
Max Drawdown (5Y)Largest decline over 5 years | -32.94% | -21.39% | -11.55% |
Max Drawdown (10Y)Largest decline over 10 years | -38.53% | -29.18% | -9.35% |
Current DrawdownCurrent decline from peak | -53.17% | -36.44% | -16.73% |
Average DrawdownAverage peak-to-trough decline | -27.24% | -26.06% | -1.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.64% | 2.02% | +4.62% |
Volatility
JPYUSD=X vs. AUDUSD=X - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 1.24%, while AUD/USD (AUDUSD=X) has a volatility of 1.44%. This indicates that JPYUSD=X experiences smaller price fluctuations and is considered to be less risky than AUDUSD=X 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 | AUDUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.24% | 1.44% | -0.20% |
Volatility (6M)Calculated over the trailing 6-month period | 4.40% | 6.03% | -1.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.27% | 7.45% | -0.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.53% | 10.03% | -0.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.68% | 9.57% | -0.89% |
Frequently Asked Questions
JPYUSD=X and AUDUSD=X have a correlation of 0.46, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AUDUSD=X has higher volatility (1.44%) compared to JPYUSD=X (1.24%). In terms of maximum drawdown, JPYUSD=X dropped -53.20% vs AUDUSD=X's -47.87%.
AUDUSD=X currently has the higher Sharpe Ratio (0.81 vs -0.96), 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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