JPYUSD=X vs. BTC-USD
JPYUSD=X (JPY/USD) is a currency, while BTC-USD (Bitcoin) is a cryptocurrency. Over the past 10 years, JPYUSD=X returned -4.25%/yr vs 57.66%/yr for BTC-USD. At a 0.01 correlation, their price movements are largely independent.
Performance
JPYUSD=X vs. BTC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, JPYUSD=X achieves a -3.31% return, which is significantly higher than BTC-USD's -26.24% return. Over the past 10 years, JPYUSD=X has underperformed BTC-USD with an annualized return of -4.25%, while BTC-USD has yielded a comparatively higher 57.66% annualized return.
JPYUSD=X
- 1D
- 0.11%
- 1M
- -1.04%
- 6M
- -2.20%
- YTD
- -3.31%
- 1Y
- -8.13%
- 3Y*
- -5.02%
- 5Y*
- -7.44%
- 10Y*
- -4.25%
BTC-USD
- 1D
- -0.69%
- 1M
- -2.62%
- 6M
- -33.43%
- YTD
- -26.24%
- 1Y
- -45.20%
- 3Y*
- 28.74%
- 5Y*
- 15.51%
- 10Y*
- 57.66%
JPYUSD=X vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between JPYUSD=X and BTC-USD is 0.11, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.03 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.03 |
Correlation (All Time) Calculated using the full available price history since Oct 30, 2012 | 0.01 |
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Return for Risk
JPYUSD=X vs. BTC-USD — Risk / Return Rank
JPYUSD=X
BTC-USD
JPYUSD=X vs. BTC-USD - Risk-Adjusted Trends 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.
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 | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.15 | ||
| Sortino ratioReturn per unit of downside risk | +0.24 | ||
| Omega ratioGain probability vs. loss probability | 0.85 | 0.84 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | -0.67 | -0.85 | +0.19 |
| Martin ratioReturn relative to average drawdown | -1.06 | -1.38 | +0.31 |
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Drawdowns
JPYUSD=X vs. BTC-USD - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -53.20%, smaller than the maximum BTC-USD drawdown of -85.30%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and BTC-USD.
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Drawdown Indicators
| JPYUSD=X | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.20% | -85.30% | +32.10% |
Max Drawdown (1Y)Largest decline over 1 year | -9.90% | -53.08% | +43.18% |
Max Drawdown (3Y)Largest decline over 3 years | -14.68% | -53.08% | +38.40% |
Max Drawdown (5Y)Largest decline over 5 years | -32.94% | -76.67% | +43.73% |
Max Drawdown (10Y)Largest decline over 10 years | -38.53% | -83.80% | +45.27% |
Current DrawdownCurrent decline from peak | -53.04% | -48.25% | -4.79% |
Average DrawdownAverage peak-to-trough decline | -27.20% | -42.57% | +15.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.54% | 29.20% | -22.66% |
Volatility
JPYUSD=X vs. BTC-USD - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 1.25%, while Bitcoin (BTC-USD) has a volatility of 9.75%. 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.
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Volatility by Period
| JPYUSD=X | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.25% | 9.75% | -8.50% |
Volatility (6M)Calculated over the trailing 6-month period | 4.43% | 34.90% | -30.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.34% | 35.75% | -28.41% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.54% | 43.96% | -34.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.70% | 56.34% | -47.64% |
Frequently Asked Questions
JPYUSD=X and BTC-USD have a correlation of 0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTC-USD has higher volatility (9.75%) compared to JPYUSD=X (1.25%). In terms of maximum drawdown, JPYUSD=X dropped -53.20% vs BTC-USD's -85.30%.
JPYUSD=X currently has the higher Sharpe Ratio (-0.90 vs -1.05), 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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