JPYUSD=X vs. EURUSD=X
JPYUSD=X (JPY/USD) and EURUSD=X (EUR/USD) are both currencies. Over the past 10 years, JPYUSD=X returned -3.98%/yr vs 0.21%/yr for EURUSD=X. At a 0.33 correlation, their price movements are largely independent.
Performance
JPYUSD=X vs. EURUSD=X - 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 lower than EURUSD=X's -1.19% return. Over the past 10 years, JPYUSD=X has underperformed EURUSD=X with an annualized return of -3.98%, while EURUSD=X has yielded a comparatively higher 0.21% 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%
EURUSD=X
- 1D
- -0.26%
- 1M
- -0.74%
- YTD
- -1.19%
- 6M
- -0.56%
- 1Y
- 2.08%
- 3Y*
- 2.72%
- 5Y*
- -0.94%
- 10Y*
- 0.21%
JPYUSD=X vs. EURUSD=X - Yearly Performance Comparison
Correlation
The correlation between JPYUSD=X and EURUSD=X is 0.66, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.66 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.53 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.48 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.45 |
Correlation (All Time) Calculated using the full available price history since Jul 2, 2007 | 0.33 |
Over the past year, JPYUSD=X and EURUSD=X have become more correlated (0.66) than their long-term average of 0.33, meaning their price movements have been converging.
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Return for Risk
JPYUSD=X vs. EURUSD=X — Risk / Return Rank
JPYUSD=X
EURUSD=X
JPYUSD=X vs. EURUSD=X - Risk-Adjusted Trends 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.
| JPYUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -1.06 | 0.28 | -1.34 |
Sortino ratioReturn per unit of downside risk | -1.55 | 0.46 | -2.01 |
Omega ratioGain probability vs. loss probability | 0.83 | 1.05 | -0.22 |
Calmar ratioReturn relative to maximum drawdown | -0.73 | 0.32 | -1.05 |
Martin ratioReturn relative to average drawdown | -1.08 | 0.75 | -1.84 |
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 | EURUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.06 | 0.28 | -1.34 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.70 | -0.12 | -0.59 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.42 | 0.03 | -0.45 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.13 | -0.08 | -0.04 |
Drawdowns
JPYUSD=X vs. EURUSD=X - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -52.96%, which is greater than EURUSD=X's maximum drawdown of -40.01%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and EURUSD=X.
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Drawdown Indicators
| JPYUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.96% | -40.01% | -12.95% |
Max Drawdown (1Y)Largest decline over 1 year | -11.01% | -5.19% | -5.82% |
Max Drawdown (3Y)Largest decline over 3 years | -14.63% | -8.83% | -5.80% |
Max Drawdown (5Y)Largest decline over 5 years | -32.59% | -21.30% | -11.29% |
Max Drawdown (10Y)Largest decline over 10 years | -38.21% | -23.31% | -14.90% |
Current DrawdownCurrent decline from peak | -52.41% | -27.42% | -24.99% |
Average DrawdownAverage peak-to-trough decline | -26.83% | -23.40% | -3.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.96% | 2.38% | +3.58% |
Volatility
JPYUSD=X vs. EURUSD=X - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 0.74%, while EUR/USD (EURUSD=X) has a volatility of 1.05%. This indicates that JPYUSD=X experiences smaller price fluctuations and is considered to be less risky than EURUSD=X 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 | EURUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.74% | 1.05% | -0.31% |
Volatility (6M)Calculated over the trailing 6-month period | 5.57% | 4.45% | +1.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.65% | 5.92% | +1.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.57% | 7.41% | +2.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.91% | 7.16% | +1.75% |
Frequently Asked Questions
JPYUSD=X and EURUSD=X have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EURUSD=X has higher volatility (1.05%) compared to JPYUSD=X (0.74%). In terms of maximum drawdown, JPYUSD=X dropped -52.96% vs EURUSD=X's -40.01%.
EURUSD=X currently has the higher Sharpe Ratio (0.28 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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