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 -4.52%/yr vs 15.75%/yr for SPY. At a correlation of -0.24, they often move in opposite directions.
Performance
JPYUSD=X vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, JPYUSD=X achieves a -3.15% return, which is significantly lower than SPY's 8.25% return. Over the past 10 years, JPYUSD=X has underperformed SPY with an annualized return of -4.52%, while SPY has yielded a comparatively higher 15.75% annualized return.
JPYUSD=X
- 1D
- -0.00%
- 1M
- -1.55%
- YTD
- -3.15%
- 6M
- -3.75%
- 1Y
- -10.23%
- 3Y*
- -3.92%
- 5Y*
- -7.29%
- 10Y*
- -4.52%
SPY
- 1D
- 0.14%
- 1M
- -1.92%
- YTD
- 8.25%
- 6M
- 6.93%
- 1Y
- 22.29%
- 3Y*
- 20.89%
- 5Y*
- 12.99%
- 10Y*
- 15.75%
JPYUSD=X vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JPYUSD=X JPY/USD | -3.15% | 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 | 8.25% | 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 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.20 |
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 26, 2007 | -0.24 |
The correlation between JPYUSD=X and SPY shifts across timeframes, from -0.24 (all time) to 0.20 (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 | -2.92 | ||
| Sortino ratioReturn per unit of downside risk | -4.10 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 1.33 | -0.51 |
| Calmar ratioReturn relative to maximum drawdown | -0.73 | 2.52 | -3.25 |
| Martin ratioReturn relative to average drawdown | -1.10 | 11.15 | -12.25 |
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Drawdowns
JPYUSD=X vs. SPY - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -52.97%, 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 | -52.97% | -55.19% | +2.22% |
Max Drawdown (1Y)Largest decline over 1 year | -11.37% | -8.88% | -2.49% |
Max Drawdown (3Y)Largest decline over 3 years | -14.64% | -18.76% | +4.12% |
Max Drawdown (5Y)Largest decline over 5 years | -32.60% | -24.50% | -8.10% |
Max Drawdown (10Y)Largest decline over 10 years | -38.23% | -33.72% | -4.51% |
Current DrawdownCurrent decline from peak | -52.97% | -3.08% | -49.89% |
Average DrawdownAverage peak-to-trough decline | -27.02% | -9.03% | -17.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.44% | 2.00% | +4.44% |
Volatility
JPYUSD=X vs. SPY - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 0.73%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.79%. 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 | 0.73% | 4.79% | -4.06% |
Volatility (6M)Calculated over the trailing 6-month period | 4.82% | 9.80% | -4.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.43% | 12.43% | -5.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.55% | 17.15% | -7.60% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.76% | 17.95% | -9.19% |
Frequently Asked Questions
JPYUSD=X and SPY have a correlation of 0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (4.79%) compared to JPYUSD=X (0.73%). In terms of maximum drawdown, JPYUSD=X dropped -52.97% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.80 vs -1.12), 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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