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

Key characteristics


JPYUSD=XBTC-USD
YTD Return-8.45%109.87%
1Y Return-1.52%139.38%
3Y Return (Ann)-8.96%11.40%
5Y Return (Ann)-6.35%58.71%
10Y Return (Ann)-2.64%71.72%
Sharpe Ratio-0.460.84
Sortino Ratio-0.571.51
Omega Ratio0.901.15
Calmar Ratio-0.110.66
Martin Ratio-1.033.48
Ulcer Index5.61%13.18%
Daily Std Dev12.68%44.51%
Max Drawdown-53.03%-93.07%
Current Drawdown-50.76%0.00%

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.

Performance

JPYUSD=X vs. BTC-USD - Performance Comparison

In the year-to-date period, JPYUSD=X achieves a -8.45% return, which is significantly lower than BTC-USD's 109.87% return. Over the past 10 years, JPYUSD=X has underperformed BTC-USD with an annualized return of -2.64%, while BTC-USD has yielded a comparatively higher 71.72% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
1.56%
41.02%
JPYUSD=X
BTC-USD

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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.


JPYUSD=X
Sharpe ratio
The chart of Sharpe ratio for JPYUSD=X, currently valued at -0.31, compared to the broader market-1.00-0.500.000.501.001.50-0.31
Sortino ratio
The chart of Sortino ratio for JPYUSD=X, currently valued at -0.35, compared to the broader market0.0050.00100.00150.00200.00250.00-0.35
Omega ratio
The chart of Omega ratio for JPYUSD=X, currently valued at 0.94, compared to the broader market20.0040.0060.000.94
Calmar ratio
The chart of Calmar ratio for JPYUSD=X, currently valued at -0.11, compared to the broader market0.00100.00200.00300.00400.00500.00-0.11
Martin ratio
The chart of Martin ratio for JPYUSD=X, currently valued at -0.83, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.83
BTC-USD
Sharpe ratio
The chart of Sharpe ratio for BTC-USD, currently valued at 1.13, compared to the broader market-1.00-0.500.000.501.001.501.13
Sortino ratio
The chart of Sortino ratio for BTC-USD, currently valued at 1.84, compared to the broader market0.0050.00100.00150.00200.00250.001.84
Omega ratio
The chart of Omega ratio for BTC-USD, currently valued at 1.18, compared to the broader market20.0040.0060.001.18
Calmar ratio
The chart of Calmar ratio for BTC-USD, currently valued at 0.98, compared to the broader market0.00100.00200.00300.00400.00500.000.98
Martin ratio
The chart of Martin ratio for BTC-USD, currently valued at 4.64, compared to the broader market0.001,000.002,000.003,000.004,000.004.64

JPYUSD=X vs. BTC-USD - Sharpe Ratio Comparison

The current JPYUSD=X Sharpe Ratio is -0.46, which is lower than the BTC-USD Sharpe Ratio of 0.84. 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
-0.31
1.13
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 4.35%, while Bitcoin (BTC-USD) has a volatility of 15.99%. 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
4.35%
15.99%
JPYUSD=X
BTC-USD