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.
Performance
JPYUSD=X vs. EURUSD=X - Performance Comparison
Returns By Period
In the year-to-date period, JPYUSD=X achieves a -8.45% return, which is significantly lower than EURUSD=X's -5.17% return. Over the past 10 years, JPYUSD=X has underperformed EURUSD=X with an annualized return of -2.53%, while EURUSD=X has yielded a comparatively higher -1.64% annualized return.
JPYUSD=X
-8.45%
-1.52%
1.56%
-2.99%
-6.34%
-2.53%
EURUSD=X
-5.17%
-3.09%
-3.22%
-3.88%
-0.97%
-1.64%
Key characteristics
| JPYUSD=X | EURUSD=X | |
|---|---|---|
| Sharpe Ratio | -0.34 | -0.66 |
| Sortino Ratio | -0.40 | -0.85 |
| Omega Ratio | 0.93 | 0.89 |
| Calmar Ratio | -0.08 | -0.10 |
| Martin Ratio | -0.88 | -1.77 |
| Ulcer Index | 5.04% | 1.99% |
| Daily Std Dev | 12.78% | 5.49% |
| Max Drawdown | -53.03% | -57.54% |
| Current Drawdown | -50.76% | -34.54% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
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.
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 4.98% compared to EUR/USD (EURUSD=X) at 2.67%. 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.