JPYUSD=X vs. SPY

Last updated Jun 4, 2026

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 -3.98%/yr vs 15.49%/yr for SPY. At a correlation of -0.25, they often move in opposite directions.

Performance

JPYUSD=X vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPY/USD (JPYUSD=X) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JPYUSD=X achieves a -2.00% return, which is significantly lower than SPY's 10.91% return. Over the past 10 years, JPYUSD=X has underperformed SPY with an annualized return of -3.98%, while SPY has yielded a comparatively higher 15.49% annualized return.

JPYUSD=X

• 1D: -0.17%
• 1M: -1.69%
• YTD: -2.00%
• 6M: -2.90%
• 1Y: -9.92%
• 3Y*: -4.34%
• 5Y*: -7.29%
• 10Y*: -3.98%

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

*Multi-year figures are annualized to reflect compound growth (CAGR)

JPYUSD=X vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
JPYUSD=X JPY/USD	-2.00%	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	10.91%	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 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.21
Correlation (3Y) Calculated over the trailing 3-year period	0.04
Correlation (5Y) Calculated over the trailing 5-year period	0.02
Correlation (10Y) Calculated over the trailing 10-year period	-0.11
Correlation (All Time) Calculated using the full available price history since Jul 2, 2007	-0.25

The correlation between JPYUSD=X and SPY shifts across timeframes, from -0.25 (all time) to 0.21 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

JPYUSD=X vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JPYUSD=X

JPYUSD=X Risk / Return Rank: 14
JPYUSD=X Sharpe Ratio Rank: 12
JPYUSD=X Sortino Ratio Rank: 10
JPYUSD=X Omega Ratio Rank: 11
JPYUSD=X Calmar Ratio Rank: 18
JPYUSD=X Martin Ratio Rank: 19

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.

	JPYUSD=X	SPY	Difference
Sharpe ratio Return per unit of total volatility	-1.06	2.38	-3.44
Sortino ratio Return per unit of downside risk	-1.55	3.24	-4.79
Omega ratio Gain probability vs. loss probability	0.83	1.43	-0.60
Calmar ratio Return relative to maximum drawdown	-0.73	3.16	-3.90
Martin ratio Return relative to average drawdown	-1.08	14.72	-15.80
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JPYUSD=X vs. SPY - Sharpe Ratio Comparison

The current JPYUSD=X Sharpe Ratio is -1.06, which is lower than the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of JPYUSD=X and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	JPYUSD=X	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-1.06	2.38	-3.44
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.70	0.82	-1.52
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.42	0.87	-1.29
Sharpe Ratio (All Time) Calculated using the full available price history	-0.13	0.59	-0.71

Drawdowns

JPYUSD=X vs. SPY - Drawdown Comparison

The maximum JPYUSD=X drawdown since its inception was -52.96%, 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.

Drawdown Indicators

	JPYUSD=X	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-52.96%	-55.19%	+2.23%
Max Drawdown (1Y) Largest decline over 1 year	-11.01%	-8.88%	-2.13%
Max Drawdown (3Y) Largest decline over 3 years	-14.63%	-18.76%	+4.13%
Max Drawdown (5Y) Largest decline over 5 years	-32.59%	-24.50%	-8.09%
Max Drawdown (10Y) Largest decline over 10 years	-38.21%	-33.72%	-4.49%
Current Drawdown Current decline from peak	-52.41%	-0.70%	-51.71%
Average Drawdown Average peak-to-trough decline	-26.83%	-9.05%	-17.78%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.96%	1.91%	+4.05%

Volatility

JPYUSD=X vs. SPY - Volatility Comparison

The current volatility for JPY/USD (JPYUSD=X) is 0.74%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 2.84%. 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.

Volatility by Period

	JPYUSD=X	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.74%	2.84%	-2.10%
Volatility (6M) Calculated over the trailing 6-month period	5.57%	8.90%	-3.33%
Volatility (1Y) Calculated over the trailing 1-year period	7.65%	11.83%	-4.18%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.57%	17.05%	-7.48%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.91%	17.94%	-9.03%

Frequently Asked Questions

Can I hold both JPYUSD=X and SPY in my portfolio?

JPYUSD=X and SPY have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JPYUSD=X or SPY?

SPY has higher volatility (2.84%) compared to JPYUSD=X (0.74%). In terms of maximum drawdown, JPYUSD=X dropped -52.96% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.38 vs -1.06), 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.