JPYUSD=X vs. EURUSD=X
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.
Key characteristics
| JPYUSD=X | EURUSD=X | |
|---|---|---|
| YTD Return | -8.45% | -3.84% |
| 1Y Return | -1.52% | -0.79% |
| 3Y Return (Ann) | -8.95% | -2.31% |
| 5Y Return (Ann) | -6.35% | -0.71% |
| 10Y Return (Ann) | -2.64% | -1.57% |
| Sharpe Ratio | -0.46 | -0.59 |
| Sortino Ratio | -0.57 | -0.75 |
| Omega Ratio | 0.90 | 0.91 |
| Calmar Ratio | -0.11 | -0.09 |
| Martin Ratio | -1.03 | -1.81 |
| Ulcer Index | 5.64% | 1.69% |
| Daily Std Dev | 12.68% | 5.65% |
| Max Drawdown | -53.03% | -57.54% |
| Current Drawdown | -50.76% | -33.63% |
Correlation
The correlation between JPYUSD=X and EURUSD=X is 0.30, 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. EURUSD=X - Performance Comparison
In the year-to-date period, JPYUSD=X achieves a -8.45% return, which is significantly lower than EURUSD=X's -3.84% return. Over the past 10 years, JPYUSD=X has underperformed EURUSD=X with an annualized return of -2.64%, while EURUSD=X has yielded a comparatively higher -1.57% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
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.
Drawdowns
JPYUSD=X vs. EURUSD=X - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -53.03%, smaller than the maximum EURUSD=X drawdown of -57.54%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and EURUSD=X. For additional features, visit the drawdowns tool.
Volatility
JPYUSD=X vs. EURUSD=X - Volatility Comparison
JPY/USD (JPYUSD=X) has a higher volatility of 4.36% compared to EUR/USD (EURUSD=X) at 2.52%. 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.