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JPYUSD=X vs. BTC-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between JPYUSD=X and BTC-USD is 0.02, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.0

Performance

JPYUSD=X vs. BTC-USD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPY/USD (JPYUSD=X) and Bitcoin (BTC-USD). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
1.58%
52.14%
JPYUSD=X
BTC-USD

Key characteristics

Sharpe Ratio

JPYUSD=X:

-0.35

BTC-USD:

1.41

Sortino Ratio

JPYUSD=X:

-0.41

BTC-USD:

2.14

Omega Ratio

JPYUSD=X:

0.93

BTC-USD:

1.21

Calmar Ratio

JPYUSD=X:

-0.08

BTC-USD:

1.22

Martin Ratio

JPYUSD=X:

-0.82

BTC-USD:

6.70

Ulcer Index

JPYUSD=X:

5.48%

BTC-USD:

10.77%

Daily Std Dev

JPYUSD=X:

12.75%

BTC-USD:

44.31%

Max Drawdown

JPYUSD=X:

-53.03%

BTC-USD:

-93.07%

Current Drawdown

JPYUSD=X:

-51.52%

BTC-USD:

-7.90%

Returns By Period

In the year-to-date period, JPYUSD=X achieves a -9.86% return, which is significantly lower than BTC-USD's 131.29% return. Over the past 10 years, JPYUSD=X has underperformed BTC-USD with an annualized return of -2.45%, while BTC-USD has yielded a comparatively higher 76.43% annualized return.


JPYUSD=X

YTD

-9.86%

1M

0.00%

6M

1.59%

1Y

-8.57%

5Y*

-6.41%

10Y*

-2.45%

BTC-USD

YTD

131.29%

1M

3.62%

6M

52.51%

1Y

122.84%

5Y*

67.06%

10Y*

76.43%

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Risk-Adjusted Performance

JPYUSD=X vs. BTC-USD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=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.


Sharpe ratio
The chart of Sharpe ratio for JPYUSD=X, currently valued at -0.15, compared to the broader market0.002.004.006.008.0010.00-0.151.41
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.11, compared to the broader market0.0010.0020.0030.0040.00-0.112.14
The chart of Omega ratio for JPYUSD=X, currently valued at 0.98, compared to the broader market2.004.006.008.0010.000.981.21
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.08, compared to the broader market0.0020.0040.0060.0080.00-0.081.22
The chart of Martin ratio for JPYUSD=X, currently valued at -0.50, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.506.70
JPYUSD=X
BTC-USD

The current JPYUSD=X Sharpe Ratio is -0.35, which is lower than the BTC-USD Sharpe Ratio of 1.41. The chart below compares the historical Sharpe Ratios of JPYUSD=X and BTC-USD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
-0.15
1.41
JPYUSD=X
BTC-USD

Drawdowns

JPYUSD=X vs. BTC-USD - Drawdown Comparison

The maximum JPYUSD=X drawdown since its inception was -53.03%, smaller than the maximum BTC-USD drawdown of -93.07%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and BTC-USD. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-51.52%
-7.90%
JPYUSD=X
BTC-USD

Volatility

JPYUSD=X vs. BTC-USD - Volatility Comparison

The current volatility for JPY/USD (JPYUSD=X) is 4.38%, while Bitcoin (BTC-USD) has a volatility of 14.07%. This indicates that JPYUSD=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.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
4.38%
14.07%
JPYUSD=X
BTC-USD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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