JPYUSD=X vs. SPY
JPYUSD=X (JPY/USD) is a currency, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, JPYUSD=X returned -4.27%/yr vs 15.29%/yr for SPY. Their -0.24 correlation means they have often moved in opposite directions in the past.
Performance
JPYUSD=X vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, JPYUSD=X achieves a -0.51% return, which is significantly lower than SPY's 13.71% return. Over the past 10 years, JPYUSD=X has underperformed SPY with an annualized return of -4.27%, while SPY has yielded a comparatively higher 15.29% annualized return.
JPYUSD=X
- 1D
- -0.17%
- 1M
- 2.72%
- 6M
- -1.07%
- YTD
- -0.51%
- 1Y
- -6.57%
- 3Y*
- -3.45%
- 5Y*
- -6.97%
- 10Y*
- -4.27%
- ALL TIME*
- -1.65%
SPY
- 1D
- 1.80%
- 1M
- 3.56%
- 6M
- 12.46%
- YTD
- 13.71%
- 1Y
- 23.56%
- 3Y*
- 21.46%
- 5Y*
- 13.31%
- 10Y*
- 15.29%
- ALL TIME*
- 10.89%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
JPYUSD=X JPY/USD | $763.15 | $670.97 | $589.12 |
| $40.91B | $36.93B | $39.82B |
JPYUSD=X vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JPYUSD=X JPY/USD | -0.51% | 0.33% | -10.26% | -7.04% | -12.23% | -10.24% | 5.18% | 0.86% | 2.82% | 3.91% |
SPY State Street SPDR S&P 500 ETF | 13.71% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Correlation
The correlation between JPYUSD=X and SPY is 0.18, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.18 |
Correlation (3Y) Balances recent behavior with more history. | 0.04 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.02 |
Correlation (10Y) Provides a long-term view across more market conditions. | -0.10 |
Correlation (All Time) Calculated using the full available price history since Sep 12, 2007 | -0.24 |
The correlation between JPYUSD=X and SPY shifts across timeframes, from -0.24 (all time) to 0.18 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
JPYUSD=X vs. SPY — Risk / Return Rank
JPYUSD=X
SPY
JPYUSD=X vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and State Street SPDR S&P 500 ETF (SPY). 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 | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.56 | ||
| Sortino ratioReturn per unit of downside risk | -3.62 | ||
| Omega ratioGain probability vs. loss probability | 0.88 | 1.33 | -0.45 |
| Calmar ratioReturn relative to maximum drawdown | -0.50 | 2.66 | -3.17 |
| Martin ratioReturn relative to average drawdown | -0.81 | 11.36 | -12.17 |
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Drawdowns
JPYUSD=X vs. SPY - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -53.57%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and SPY.
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Drawdown Indicators
| JPYUSD=X | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.57% | -55.19% | +1.62% |
Max Drawdown (1Y)Largest decline over 1 year | -10.61% | -8.88% | -1.73% |
Max Drawdown (3Y)Largest decline over 3 years | -14.18% | -18.76% | +4.58% |
Max Drawdown (5Y)Largest decline over 5 years | -33.35% | -24.50% | -8.85% |
Max Drawdown (10Y)Largest decline over 10 years | -39.01% | -33.72% | -5.29% |
Current DrawdownCurrent decline from peak | -51.69% | 0.00% | -51.69% |
Average DrawdownAverage peak-to-trough decline | -27.37% | -9.01% | -18.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.93% | 2.08% | +2.85% |
Volatility
JPYUSD=X vs. SPY - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 2.97%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.13%. This indicates that JPYUSD=X experiences smaller price fluctuations and is considered to be less risky than SPY 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 | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.97% | 4.13% | -1.16% |
Volatility (6M)Calculated over the trailing 6-month period | 5.07% | 10.36% | -5.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.34% | 12.96% | -5.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.60% | 17.21% | -7.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.65% | 17.97% | -9.32% |
Frequently Asked Questions
JPYUSD=X and SPY have a correlation of 0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (4.13%) compared to JPYUSD=X (2.97%). In terms of maximum drawdown, JPYUSD=X dropped -53.57% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.84 vs -0.73), 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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