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 -4.48%/yr vs 57.69%/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 -3.09% return, which is significantly higher than BTC-USD's -30.61% return. Over the past 10 years, JPYUSD=X has underperformed BTC-USD with an annualized return of -4.48%, while BTC-USD has yielded a comparatively higher 57.69% annualized return.
JPYUSD=X
- 1D
- -0.08%
- 1M
- -1.70%
- YTD
- -3.09%
- 6M
- -3.57%
- 1Y
- -10.34%
- 3Y*
- -3.84%
- 5Y*
- -7.28%
- 10Y*
- -4.48%
BTC-USD
- 1D
- -3.08%
- 1M
- -21.40%
- YTD
- -30.61%
- 6M
- -30.69%
- 1Y
- -42.79%
- 3Y*
- 25.82%
- 5Y*
- 13.96%
- 10Y*
- 57.69%
JPYUSD=X vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between JPYUSD=X and BTC-USD is 0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.03 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since Oct 9, 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 | -0.13 | ||
| Sortino ratioReturn per unit of downside risk | -0.21 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 0.85 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | -0.74 | -0.83 | +0.09 |
| Martin ratioReturn relative to average drawdown | -1.12 | -1.40 | +0.28 |
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Drawdowns
JPYUSD=X vs. BTC-USD - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -52.96%, 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 | -52.96% | -85.30% | +32.34% |
Max Drawdown (1Y)Largest decline over 1 year | -11.31% | -51.32% | +40.01% |
Max Drawdown (3Y)Largest decline over 3 years | -14.63% | -51.32% | +36.69% |
Max Drawdown (5Y)Largest decline over 5 years | -32.59% | -76.67% | +44.08% |
Max Drawdown (10Y)Largest decline over 10 years | -38.21% | -83.80% | +45.59% |
Current DrawdownCurrent decline from peak | -52.94% | -51.32% | -1.62% |
Average DrawdownAverage peak-to-trough decline | -27.01% | -42.41% | +15.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.41% | 31.43% | -25.02% |
Volatility
JPYUSD=X vs. BTC-USD - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 0.73%, while Bitcoin (BTC-USD) has a volatility of 12.46%. 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 | 0.73% | 12.46% | -11.73% |
Volatility (6M)Calculated over the trailing 6-month period | 4.83% | 34.72% | -29.89% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.47% | 35.61% | -28.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.55% | 44.27% | -34.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.76% | 56.41% | -47.65% |
Frequently Asked Questions
JPYUSD=X and BTC-USD have a correlation of 0.07, 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 (12.46%) compared to JPYUSD=X (0.73%). In terms of maximum drawdown, JPYUSD=X dropped -52.96% vs BTC-USD's -85.30%.
BTC-USD currently has the higher Sharpe Ratio (-1.00 vs -1.13), 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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