JPYUSD=X vs. SGOV
JPYUSD=X (JPY/USD) is a currency, while SGOV (iShares 0-3 Month Treasury Bond ETF) is Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Over the past 5 years, JPYUSD=X returned -7.22%/yr vs 3.56%/yr for SGOV. At a correlation of -0.03, they often move in opposite directions.
Performance
JPYUSD=X vs. SGOV - 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 lower than SGOV's 1.61% 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%
SGOV
- 1D
- 0.02%
- 1M
- 0.26%
- YTD
- 1.61%
- 6M
- 1.78%
- 1Y
- 3.91%
- 3Y*
- 4.71%
- 5Y*
- 3.56%
- 10Y*
- —
JPYUSD=X vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
JPYUSD=X JPY/USD | -2.12% | 0.33% | -10.26% | -7.04% | -12.23% | -10.24% | 4.27% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.61% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between JPYUSD=X and SGOV is -0.14, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.00 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | -0.03 |
The correlation between JPYUSD=X and SGOV shifts across timeframes, from -0.14 (1 year) to -0.00 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
JPYUSD=X vs. SGOV — Risk / Return Rank
JPYUSD=X
SGOV
JPYUSD=X vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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 | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -21.36 | ||
| Sortino ratioReturn per unit of downside risk | -277.28 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 195.55 | -194.73 |
| Calmar ratioReturn relative to maximum drawdown | -0.76 | 398.20 | -398.96 |
| Martin ratioReturn relative to average drawdown | -1.11 | 4,461.98 | -4,463.09 |
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Drawdowns
JPYUSD=X vs. SGOV - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -52.96%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and SGOV.
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Drawdown Indicators
| JPYUSD=X | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.96% | -0.03% | -52.93% |
Max Drawdown (1Y)Largest decline over 1 year | -10.68% | -0.01% | -10.67% |
Max Drawdown (3Y)Largest decline over 3 years | -14.63% | -0.01% | -14.62% |
Max Drawdown (5Y)Largest decline over 5 years | -32.59% | -0.03% | -32.56% |
Max Drawdown (10Y)Largest decline over 10 years | -38.21% | — | — |
Current DrawdownCurrent decline from peak | -52.47% | 0.00% | -52.47% |
Average DrawdownAverage peak-to-trough decline | -26.92% | -0.00% | -26.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.18% | 0.00% | +6.18% |
Volatility
JPYUSD=X vs. SGOV - Volatility Comparison
JPY/USD (JPYUSD=X) has a higher volatility of 0.69% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that JPYUSD=X's price experiences larger fluctuations and is considered to be riskier than SGOV 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 | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.69% | 0.05% | +0.64% |
Volatility (6M)Calculated over the trailing 6-month period | 5.48% | 0.13% | +5.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.50% | 0.20% | +7.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.56% | 0.24% | +9.32% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.90% | 0.24% | +8.66% |
Frequently Asked Questions
JPYUSD=X and SGOV have a correlation of -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
JPYUSD=X has higher volatility (0.69%) compared to SGOV (0.05%). In terms of maximum drawdown, JPYUSD=X dropped -52.96% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.28 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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