JPYUSD=X vs. UTWO
JPYUSD=X (JPY/USD) is a currency, while UTWO (US Treasury 2 Year Note ETF) is Government Bonds fund tracking the ICE BofA Current 2 Year US Treasury Index - Benchmark TR Gross. Over the past 3 years, JPYUSD=X returned -4.30%/yr vs 3.89%/yr for UTWO. A 0.52 correlation means they provide meaningful diversification when combined.
Performance
JPYUSD=X vs. UTWO - 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 UTWO's 0.43% 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%
UTWO
- 1D
- -0.04%
- 1M
- 0.18%
- YTD
- 0.43%
- 6M
- 0.68%
- 1Y
- 3.13%
- 3Y*
- 3.89%
- 5Y*
- —
- 10Y*
- —
JPYUSD=X vs. UTWO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
JPYUSD=X JPY/USD | -2.12% | 0.33% | -10.26% | -7.04% | 2.96% |
UTWO US Treasury 2 Year Note ETF | 0.43% | 4.79% | 3.71% | 3.45% | -0.84% |
Correlation
The correlation between JPYUSD=X and UTWO is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.43 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.49 |
Correlation (All Time) Calculated using the full available price history since Aug 9, 2022 | 0.52 |
The correlation between JPYUSD=X and UTWO has been stable across timeframes, ranging from 0.43 to 0.52 - a consistent structural relationship.
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Return for Risk
JPYUSD=X vs. UTWO — Risk / Return Rank
JPYUSD=X
UTWO
JPYUSD=X vs. UTWO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=X) and US Treasury 2 Year Note ETF (UTWO). 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 | UTWO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.40 | ||
| Sortino ratioReturn per unit of downside risk | -5.39 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 1.47 | -0.65 |
| Calmar ratioReturn relative to maximum drawdown | -0.76 | 3.43 | -4.19 |
| Martin ratioReturn relative to average drawdown | -1.11 | 12.29 | -13.40 |
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Drawdowns
JPYUSD=X vs. UTWO - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -52.96%, which is greater than UTWO's maximum drawdown of -2.04%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and UTWO.
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Drawdown Indicators
| JPYUSD=X | UTWO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.96% | -2.04% | -50.92% |
Max Drawdown (1Y)Largest decline over 1 year | -10.68% | -0.90% | -9.78% |
Max Drawdown (3Y)Largest decline over 3 years | -14.63% | -1.08% | -13.55% |
Max Drawdown (5Y)Largest decline over 5 years | -32.59% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -38.21% | — | — |
Current DrawdownCurrent decline from peak | -52.47% | -0.28% | -52.19% |
Average DrawdownAverage peak-to-trough decline | -26.92% | -0.48% | -26.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.18% | 0.25% | +5.93% |
Volatility
JPYUSD=X vs. UTWO - Volatility Comparison
JPY/USD (JPYUSD=X) has a higher volatility of 0.69% compared to US Treasury 2 Year Note ETF (UTWO) at 0.40%. This indicates that JPYUSD=X's price experiences larger fluctuations and is considered to be riskier than UTWO 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 | UTWO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.69% | 0.40% | +0.29% |
Volatility (6M)Calculated over the trailing 6-month period | 5.48% | 0.94% | +4.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.50% | 1.33% | +6.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.56% | 2.07% | +7.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.90% | 2.07% | +6.83% |
Frequently Asked Questions
JPYUSD=X and UTWO have a correlation of 0.43, 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 UTWO (0.40%). In terms of maximum drawdown, JPYUSD=X dropped -52.96% vs UTWO's -2.04%.
UTWO currently has the higher Sharpe Ratio (2.31 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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