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JPYUSD=X vs. EURUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between JPYUSD=X and EURUSD=X is 0.12, 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.

JPYUSD=X vs. EURUSD=X

Last updated May 25, 2025

Compare and contrast key facts about JPY/USD (JPYUSD=X) and EUR/USD (EURUSD=X).

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPYUSD=X or EURUSD=X.

Performance

JPYUSD=X vs. EURUSD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPY/USD (JPYUSD=X) and EUR/USD (EURUSD=X). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

JPYUSD=X:

0.61

EURUSD=X:

0.63

Sortino Ratio

JPYUSD=X:

1.01

EURUSD=X:

0.49

Omega Ratio

JPYUSD=X:

1.16

EURUSD=X:

1.05

Calmar Ratio

JPYUSD=X:

0.18

EURUSD=X:

0.01

Martin Ratio

JPYUSD=X:

1.62

EURUSD=X:

0.51

Ulcer Index

JPYUSD=X:

5.77%

EURUSD=X:

4.82%

Daily Std Dev

JPYUSD=X:

14.68%

EURUSD=X:

6.98%

Max Drawdown

JPYUSD=X:

-53.03%

EURUSD=X:

-39.98%

Current Drawdown

JPYUSD=X:

-46.97%

EURUSD=X:

-28.92%

Returns By Period

The year-to-date returns for both investments are quite close, with JPYUSD=X having a 9.37% return and EURUSD=X slightly higher at 9.77%. Over the past 10 years, JPYUSD=X has underperformed EURUSD=X with an annualized return of -1.45%, while EURUSD=X has yielded a comparatively higher 0.43% annualized return.

JPYUSD=X

YTD

9.37%

1M

-0.00%

6M

7.69%

1Y

9.37%

3Y*

-3.95%

5Y*

-5.52%

10Y*

-1.45%

EURUSD=X

YTD

9.77%

1M

-0.07%

6M

9.07%

1Y

4.79%

3Y*

2.07%

5Y*

0.82%

10Y*

0.43%

*Annualized

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JPY/USD

EUR/USD

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

JPYUSD=X vs. EURUSD=X — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
JPYUSD=X
The Risk-Adjusted Performance Rank of JPYUSD=X is 7878
Overall Rank
The Sharpe Ratio Rank of JPYUSD=X is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of JPYUSD=X is 7676
Sortino Ratio Rank
The Omega Ratio Rank of JPYUSD=X is 8686
Omega Ratio Rank
The Calmar Ratio Rank of JPYUSD=X is 8181
Calmar Ratio Rank
The Martin Ratio Rank of JPYUSD=X is 7575
Martin Ratio Rank
EURUSD=X
The Risk-Adjusted Performance Rank of EURUSD=X is 5959
Overall Rank
The Sharpe Ratio Rank of EURUSD=X is 7474
Sharpe Ratio Rank
The Sortino Ratio Rank of EURUSD=X is 5757
Sortino Ratio Rank
The Omega Ratio Rank of EURUSD=X is 5555
Omega Ratio Rank
The Calmar Ratio Rank of EURUSD=X is 5151
Calmar Ratio Rank
The Martin Ratio Rank of EURUSD=X is 5757
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

JPYUSD=X vs. EURUSD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and EUR/USD (EURUSD=X). 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.

The current JPYUSD=X Sharpe Ratio is 0.61, which is comparable to the EURUSD=X Sharpe Ratio of 0.63. The chart below compares the historical Sharpe Ratios of JPYUSD=X and EURUSD=X, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

JPYUSD=X vs. EURUSD=X - Drawdown Comparison

The maximum JPYUSD=X drawdown since its inception was -53.03%, which is greater than EURUSD=X's maximum drawdown of -39.98%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and EURUSD=X.

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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

JPYUSD=X vs. EURUSD=X - Volatility Comparison

JPY/USD (JPYUSD=X) has a higher volatility of 4.70% compared to EUR/USD (EURUSD=X) at 2.26%. This indicates that JPYUSD=X's price experiences larger fluctuations and is considered to be riskier than EURUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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