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

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%JuneJulyAugustSeptemberOctoberNovember
1.56%
45.01%
JPYUSD=X
BTC-USD

Returns By Period

In the year-to-date period, JPYUSD=X achieves a -8.45% return, which is significantly lower than BTC-USD's 133.06% return. Over the past 10 years, JPYUSD=X has underperformed BTC-USD with an annualized return of -2.53%, while BTC-USD has yielded a comparatively higher 74.47% annualized return.


JPYUSD=X

YTD

-8.45%

1M

-1.52%

6M

1.56%

1Y

-2.99%

5Y (annualized)

-6.34%

10Y (annualized)

-2.53%

BTC-USD

YTD

133.06%

1M

46.23%

6M

45.01%

1Y

163.15%

5Y (annualized)

67.83%

10Y (annualized)

74.47%

Key characteristics


JPYUSD=XBTC-USD
Sharpe Ratio-0.341.09
Sortino Ratio-0.401.80
Omega Ratio0.931.18
Calmar Ratio-0.080.94
Martin Ratio-0.885.10
Ulcer Index5.04%11.65%
Daily Std Dev12.78%44.23%
Max Drawdown-53.03%-93.07%
Current Drawdown-50.76%0.00%

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Correlation

-0.50.00.51.00.0

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.

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 -0.30, compared to the broader market-1.00-0.500.000.501.001.50-0.301.22
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.34, compared to the broader market0.0050.00100.00150.00200.00250.00-0.341.93
The chart of Omega ratio for JPYUSD=X, currently valued at 0.95, compared to the broader market10.0020.0030.0040.0050.0060.000.951.19
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.08, compared to the broader market0.00100.00200.00300.00400.00500.00-0.081.08
The chart of Martin ratio for JPYUSD=X, currently valued at -0.91, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.915.68
JPYUSD=X
BTC-USD

The current JPYUSD=X Sharpe Ratio is -0.34, which is lower than the BTC-USD Sharpe Ratio of 1.09. 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 Ratio0.002.004.006.00JuneJulyAugustSeptemberOctoberNovember
-0.30
1.22
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%JuneJulyAugustSeptemberOctoberNovember
-50.76%
0
JPYUSD=X
BTC-USD

Volatility

JPYUSD=X vs. BTC-USD - Volatility Comparison

The current volatility for JPY/USD (JPYUSD=X) is 5.17%, while Bitcoin (BTC-USD) has a volatility of 16.62%. 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%JuneJulyAugustSeptemberOctoberNovember
5.17%
16.62%
JPYUSD=X
BTC-USD