JPYUSD=X vs. GLD
JPYUSD=X (JPY/USD) is a currency, while GLD (SPDR Gold Shares) is Gold fund tracking the LBMA Gold Price PM. Over the past 10 years, JPYUSD=X returned -4.19%/yr vs 12.15%/yr for GLD. At a 0.34 correlation, their price movements are largely independent.
Performance
JPYUSD=X vs. GLD - Performance Comparison
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Returns By Period
In the year-to-date period, JPYUSD=X achieves a -2.12% return, which is significantly higher than GLD's -2.47% return. Over the past 10 years, JPYUSD=X has underperformed GLD with an annualized return of -4.19%, while GLD has yielded a comparatively higher 12.15% annualized return.
JPYUSD=X
- 1D
- 0.10%
- 1M
- -0.82%
- YTD
- -2.12%
- 6M
- -3.07%
- 1Y
- -9.99%
- 3Y*
- -4.30%
- 5Y*
- -7.22%
- 10Y*
- -4.19%
GLD
- 1D
- 0.06%
- 1M
- -7.37%
- YTD
- -2.47%
- 6M
- -2.25%
- 1Y
- 22.21%
- 3Y*
- 28.89%
- 5Y*
- 17.08%
- 10Y*
- 12.15%
JPYUSD=X vs. GLD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JPYUSD=X JPY/USD | -2.12% | 0.33% | -10.26% | -7.04% | -12.23% | -10.24% | 5.18% | 0.86% | 2.82% | 3.91% |
GLD SPDR Gold Shares | -2.47% | 63.68% | 26.66% | 12.69% | -0.77% | -4.15% | 24.81% | 17.86% | -1.94% | 12.81% |
Correlation
The correlation between JPYUSD=X and GLD is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.27 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.36 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.43 |
Correlation (All Time) Calculated using the full available price history since Jul 12, 2007 | 0.34 |
The correlation between JPYUSD=X and GLD shifts across timeframes, from 0.22 (1 year) to 0.43 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
JPYUSD=X vs. GLD — Risk / Return Rank
JPYUSD=X
GLD
JPYUSD=X vs. GLD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and SPDR Gold Shares (GLD). 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 | GLD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.96 | ||
| Sortino ratioReturn per unit of downside risk | -2.83 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 1.18 | -0.36 |
| Calmar ratioReturn relative to maximum drawdown | -0.76 | 0.98 | -1.74 |
| Martin ratioReturn relative to average drawdown | -1.11 | 2.81 | -3.92 |
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Drawdowns
JPYUSD=X vs. GLD - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -52.96%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and GLD.
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Drawdown Indicators
| JPYUSD=X | GLD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.96% | -45.56% | -7.40% |
Max Drawdown (1Y)Largest decline over 1 year | -10.68% | -24.46% | +13.78% |
Max Drawdown (3Y)Largest decline over 3 years | -14.63% | -24.46% | +9.83% |
Max Drawdown (5Y)Largest decline over 5 years | -32.59% | -24.46% | -8.13% |
Max Drawdown (10Y)Largest decline over 10 years | -38.21% | -24.46% | -13.75% |
Current DrawdownCurrent decline from peak | -52.47% | -22.05% | -30.42% |
Average DrawdownAverage peak-to-trough decline | -26.92% | -16.16% | -10.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.18% | 8.49% | -2.31% |
Volatility
JPYUSD=X vs. GLD - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 0.69%, while SPDR Gold Shares (GLD) has a volatility of 7.79%. This indicates that JPYUSD=X experiences smaller price fluctuations and is considered to be less risky than GLD 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 | GLD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.69% | 7.79% | -7.10% |
Volatility (6M)Calculated over the trailing 6-month period | 5.48% | 24.10% | -18.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.50% | 27.37% | -19.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.56% | 18.22% | -8.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.90% | 16.08% | -7.18% |
Frequently Asked Questions
JPYUSD=X and GLD have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GLD has higher volatility (7.79%) compared to JPYUSD=X (0.69%). In terms of maximum drawdown, JPYUSD=X dropped -52.96% vs GLD's -45.56%.
GLD currently has the higher Sharpe Ratio (0.87 vs -1.09), 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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