JPYUSD=X vs. GBPUSD=X
JPYUSD=X (JPY/USD) and GBPUSD=X (GBP/USD) are both currencies. Over the past 10 years, JPYUSD=X returned -4.05%/yr vs -0.52%/yr for GBPUSD=X. At a 0.23 correlation, their price movements are largely independent.
Performance
JPYUSD=X vs. GBPUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, JPYUSD=X achieves a -2.23% return, which is significantly lower than GBPUSD=X's -0.45% return. Over the past 10 years, JPYUSD=X has underperformed GBPUSD=X with an annualized return of -4.05%, while GBPUSD=X has yielded a comparatively higher -0.52% annualized return.
JPYUSD=X
- 1D
- -0.18%
- 1M
- -1.52%
- YTD
- -2.23%
- 6M
- -2.74%
- 1Y
- -10.40%
- 3Y*
- -4.35%
- 5Y*
- -7.30%
- 10Y*
- -4.05%
GBPUSD=X
- 1D
- -0.16%
- 1M
- -0.95%
- YTD
- -0.45%
- 6M
- 0.22%
- 1Y
- -1.60%
- 3Y*
- 2.03%
- 5Y*
- -1.04%
- 10Y*
- -0.52%
JPYUSD=X vs. GBPUSD=X - Yearly Performance Comparison
Correlation
The correlation between JPYUSD=X and GBPUSD=X is 0.64, 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 | 0.64 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.51 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.45 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.36 |
Correlation (All Time) Calculated using the full available price history since Jul 11, 2007 | 0.23 |
Over the past year, JPYUSD=X and GBPUSD=X have become more correlated (0.64) than their long-term average of 0.23, meaning their price movements have been converging.
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Return for Risk
JPYUSD=X vs. GBPUSD=X — Risk / Return Rank
JPYUSD=X
GBPUSD=X
JPYUSD=X vs. GBPUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and GBP/USD (GBPUSD=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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| JPYUSD=X | GBPUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.92 | ||
| Sortino ratioReturn per unit of downside risk | -1.41 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 0.97 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | -0.79 | -0.25 | -0.55 |
| Martin ratioReturn relative to average drawdown | -1.16 | -0.47 | -0.69 |
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Drawdowns
JPYUSD=X vs. GBPUSD=X - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -52.96%, which is greater than GBPUSD=X's maximum drawdown of -49.29%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and GBPUSD=X.
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Drawdown Indicators
| JPYUSD=X | GBPUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.96% | -49.29% | -3.67% |
Max Drawdown (1Y)Largest decline over 1 year | -10.68% | -5.26% | -5.42% |
Max Drawdown (3Y)Largest decline over 3 years | -14.63% | -9.34% | -5.29% |
Max Drawdown (5Y)Largest decline over 5 years | -32.59% | -24.23% | -8.36% |
Max Drawdown (10Y)Largest decline over 10 years | -38.21% | -27.99% | -10.22% |
Current DrawdownCurrent decline from peak | -52.52% | -36.44% | -16.08% |
Average DrawdownAverage peak-to-trough decline | -26.91% | -31.18% | +4.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.15% | 2.56% | +3.59% |
Volatility
JPYUSD=X vs. GBPUSD=X - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 0.69%, while GBP/USD (GBPUSD=X) has a volatility of 1.22%. This indicates that JPYUSD=X experiences smaller price fluctuations and is considered to be less risky than GBPUSD=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 | GBPUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.69% | 1.22% | -0.53% |
Volatility (6M)Calculated over the trailing 6-month period | 5.49% | 4.96% | +0.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.51% | 6.25% | +1.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.56% | 8.24% | +1.32% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.89% | 9.09% | -0.20% |
Frequently Asked Questions
JPYUSD=X and GBPUSD=X have a correlation of 0.64, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GBPUSD=X has higher volatility (1.22%) compared to JPYUSD=X (0.69%). In terms of maximum drawdown, JPYUSD=X dropped -52.96% vs GBPUSD=X's -49.29%.
GBPUSD=X currently has the higher Sharpe Ratio (-0.21 vs -1.13), 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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