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 -4.27%/yr vs 59.72%/yr for BTC-USD. Their 0.01 correlation means their historical movements had little consistent relationship.
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 -0.51% return, which is significantly higher than BTC-USD's -26.92% return. Over the past 10 years, JPYUSD=X has underperformed BTC-USD with an annualized return of -4.27%, while BTC-USD has yielded a comparatively higher 59.72% annualized return.
JPYUSD=X
- 1D
- -0.17%
- 1M
- 2.72%
- 6M
- -1.07%
- YTD
- -0.51%
- 1Y
- -6.57%
- 3Y*
- -3.45%
- 5Y*
- -6.97%
- 10Y*
- -4.27%
- ALL TIME*
- -1.65%
BTC-USD
- 1D
- 0.76%
- 1M
- 0.58%
- 6M
- -15.48%
- YTD
- -26.92%
- 1Y
- -44.42%
- 3Y*
- 30.09%
- 5Y*
- 9.36%
- 10Y*
- 59.72%
- ALL TIME*
- 87.41%
Liquidity Comparison
JPYUSD=X vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between JPYUSD=X and BTC-USD is 0.10, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.10 |
Correlation (3Y) Balances recent behavior with more history. | 0.04 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.04 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.03 |
Correlation (All Time) Calculated using the full available price history since Nov 19, 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 | +0.30 | ||
| Sortino ratioReturn per unit of downside risk | +0.44 | ||
| Omega ratioGain probability vs. loss probability | 0.88 | 0.85 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | -0.50 | -0.84 | +0.33 |
| Martin ratioReturn relative to average drawdown | -0.81 | -1.28 | +0.47 |
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Drawdowns
JPYUSD=X vs. BTC-USD - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -53.57%, 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 | -53.57% | -85.30% | +31.73% |
Max Drawdown (1Y)Largest decline over 1 year | -10.61% | -53.08% | +42.47% |
Max Drawdown (3Y)Largest decline over 3 years | -14.18% | -53.08% | +38.90% |
Max Drawdown (5Y)Largest decline over 5 years | -33.35% | -76.67% | +43.32% |
Max Drawdown (10Y)Largest decline over 10 years | -39.01% | -83.80% | +44.79% |
Current DrawdownCurrent decline from peak | -51.69% | -48.73% | -2.96% |
Average DrawdownAverage peak-to-trough decline | -27.37% | -42.75% | +15.38% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.93% | 25.12% | -20.19% |
Volatility
JPYUSD=X vs. BTC-USD - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 2.97%, while Bitcoin (BTC-USD) has a volatility of 8.45%. 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 | 2.97% | 8.45% | -5.48% |
Volatility (6M)Calculated over the trailing 6-month period | 5.07% | 33.45% | -28.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.34% | 35.85% | -28.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.60% | 43.62% | -34.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.65% | 56.22% | -47.57% |
Frequently Asked Questions
JPYUSD=X and BTC-USD have a correlation of 0.10, 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 (8.45%) compared to JPYUSD=X (2.97%). In terms of maximum drawdown, JPYUSD=X dropped -53.57% vs BTC-USD's -85.30%.
JPYUSD=X currently has the higher Sharpe Ratio (-0.73 vs -1.03), 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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