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 -4.16%/yr vs 0.24%/yr for GBPUSD=X. At a 0.24 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 -3.56% return, which is significantly lower than GBPUSD=X's -0.18% return. Over the past 10 years, JPYUSD=X has underperformed GBPUSD=X with an annualized return of -4.16%, while GBPUSD=X has yielded a comparatively higher 0.24% annualized return.
JPYUSD=X
- 1D
- -0.08%
- 1M
- -0.70%
- 6M
- -2.66%
- YTD
- -3.56%
- 1Y
- -8.63%
- 3Y*
- -4.43%
- 5Y*
- -7.45%
- 10Y*
- -4.16%
- ALL TIME*
- -1.72%
GBPUSD=X
- 1D
- -0.22%
- 1M
- 1.54%
- 6M
- 0.06%
- YTD
- -0.18%
- 1Y
- 0.12%
- 3Y*
- 1.48%
- 5Y*
- -0.41%
- 10Y*
- 0.24%
- ALL TIME*
- -2.10%
JPYUSD=X vs. GBPUSD=X - Yearly Performance Comparison
Correlation
The correlation between JPYUSD=X and GBPUSD=X is 0.63, 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 | 0.63 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.50 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.46 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.38 |
Correlation (All Time) Calculated using the full available price history since Aug 24, 2007 | 0.24 |
Over the past year, JPYUSD=X and GBPUSD=X have become more correlated (0.63) than their long-term average of 0.24, 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 | -0.98 | ||
| Sortino ratioReturn per unit of downside risk | -1.50 | ||
| Omega ratioGain probability vs. loss probability | 0.84 | 1.01 | -0.17 |
| Calmar ratioReturn relative to maximum drawdown | -0.71 | 0.02 | -0.73 |
| Martin ratioReturn relative to average drawdown | -1.11 | 0.04 | -1.15 |
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Drawdowns
JPYUSD=X vs. GBPUSD=X - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -53.20%, 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 | -53.20% | -49.29% | -3.91% |
Max Drawdown (1Y)Largest decline over 1 year | -9.90% | -4.89% | -5.01% |
Max Drawdown (3Y)Largest decline over 3 years | -14.17% | -9.34% | -4.83% |
Max Drawdown (5Y)Largest decline over 5 years | -32.94% | -23.41% | -9.53% |
Max Drawdown (10Y)Largest decline over 10 years | -38.53% | -25.46% | -13.07% |
Current DrawdownCurrent decline from peak | -53.17% | -36.26% | -16.91% |
Average DrawdownAverage peak-to-trough decline | -27.24% | -31.40% | +4.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.64% | 2.59% | +4.05% |
Volatility
JPYUSD=X vs. GBPUSD=X - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 1.24%, while GBP/USD (GBPUSD=X) has a volatility of 1.58%. 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 | 1.24% | 1.58% | -0.34% |
Volatility (6M)Calculated over the trailing 6-month period | 4.40% | 4.75% | -0.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.27% | 6.23% | +1.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.53% | 8.22% | +1.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.68% | 8.57% | +0.11% |
Frequently Asked Questions
JPYUSD=X and GBPUSD=X have a correlation of 0.63, 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 (1.58%) compared to JPYUSD=X (1.24%). In terms of maximum drawdown, JPYUSD=X dropped -53.20% vs GBPUSD=X's -49.29%.
GBPUSD=X currently has the higher Sharpe Ratio (0.02 vs -0.96), 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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