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 -3.98%/yr vs 60.00%/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 -2.00% return, which is significantly higher than BTC-USD's -27.71% return. Over the past 10 years, JPYUSD=X has underperformed BTC-USD with an annualized return of -3.98%, while BTC-USD has yielded a comparatively higher 60.00% annualized return.
JPYUSD=X
- 1D
- -0.17%
- 1M
- -1.69%
- YTD
- -2.00%
- 6M
- -2.90%
- 1Y
- -9.92%
- 3Y*
- -4.34%
- 5Y*
- -7.29%
- 10Y*
- -3.98%
BTC-USD
- 1D
- -5.18%
- 1M
- -20.79%
- YTD
- -27.71%
- 6M
- -32.32%
- 1Y
- -40.02%
- 3Y*
- 32.61%
- 5Y*
- 11.41%
- 10Y*
- 60.00%
JPYUSD=X vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between JPYUSD=X and BTC-USD is 0.04, 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 | 0.04 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.02 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since Sep 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.
| JPYUSD=X | BTC-USD | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -1.06 | -0.93 | -0.13 |
Sortino ratioReturn per unit of downside risk | -1.55 | -1.31 | -0.24 |
Omega ratioGain probability vs. loss probability | 0.83 | 0.87 | -0.04 |
Calmar ratioReturn relative to maximum drawdown | -0.73 | -0.81 | +0.07 |
Martin ratioReturn relative to average drawdown | -1.08 | -1.42 | +0.33 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JPYUSD=X | BTC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.06 | -0.93 | -0.13 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.70 | 0.21 | -0.92 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.42 | 0.88 | -1.30 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.13 | 1.13 | -1.26 |
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 | -11.01% | -49.65% | +38.64% |
Max Drawdown (3Y)Largest decline over 3 years | -14.63% | -49.65% | +35.02% |
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 | -52.41% | -49.29% | -3.12% |
Average DrawdownAverage peak-to-trough decline | -26.83% | -42.27% | +15.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.96% | 33.73% | -27.77% |
Volatility
JPYUSD=X vs. BTC-USD - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 0.74%, while Bitcoin (BTC-USD) has a volatility of 10.81%. 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 | 0.74% | 10.81% | -10.07% |
Volatility (6M)Calculated over the trailing 6-month period | 5.57% | 34.33% | -28.76% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.65% | 35.60% | -27.95% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.57% | 45.05% | -35.48% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.91% | 56.69% | -47.78% |
Frequently Asked Questions
JPYUSD=X and BTC-USD have a correlation of 0.04, 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 (10.81%) compared to JPYUSD=X (0.74%). In terms of maximum drawdown, JPYUSD=X dropped -52.96% vs BTC-USD's -85.30%.
BTC-USD currently has the higher Sharpe Ratio (-0.93 vs -1.06), 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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