NOK=X vs. JPY=X
NOK=X (USD/NOK) and JPY=X (USD/JPY) are both currencies. Over the past 10 years, NOK=X returned 1.54%/yr vs 1.54%/yr for JPY=X. With a 0.99 correlation, they move nearly in lockstep.
Performance
NOK=X vs. JPY=X - Performance Comparison
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Different Trading Currencies
NOK=X is traded in NOK, while JPY=X is traded in JPY. To make them comparable, the JPY=X values have been converted to NOK using the latest available exchange rates.
Returns By Period
The year-to-date returns for both stocks are quite close, with NOK=X having a -6.33% return and JPY=X slightly lower at -6.48%. Over a longer period, both investments have demonstrated similar performance, with their 10-year annualized returns being quite close: NOK=X at 1.54% and JPY=X at 1.54%.
NOK=X
- 1D
- 1.14%
- 1M
- 1.57%
- YTD
- -6.33%
- 6M
- -6.44%
- 1Y
- -6.06%
- 3Y*
- -5.21%
- 5Y*
- 2.64%
- 10Y*
- 1.54%
JPY=X
- 1D
- 1.08%
- 1M
- 1.50%
- YTD
- -6.48%
- 6M
- -6.47%
- 1Y
- -6.06%
- 3Y*
- -5.22%
- 5Y*
- 2.64%
- 10Y*
- 1.54%
NOK=X vs. JPY=X - Yearly Performance Comparison
Correlation
The correlation between NOK=X and JPY=X is 0.98 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.98 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.98 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.99 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.99 |
Correlation (All Time) Calculated using the full available price history since Jul 16, 2007 | 0.99 |
The correlation between NOK=X and JPY=X has been stable across timeframes, ranging from 0.98 to 0.99 - a consistent structural relationship.
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Return for Risk
NOK=X vs. JPY=X — Risk / Return Rank
NOK=X
JPY=X
NOK=X vs. JPY=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/NOK (NOK=X) and USD/JPY (JPY=X). 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.
| NOK=X | JPY=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.02 | ||
| Sortino ratioReturn per unit of downside risk | -0.04 | ||
| Omega ratioGain probability vs. loss probability | 0.91 | 0.91 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | -0.44 | -0.44 | 0.00 |
| Martin ratioReturn relative to average drawdown | -0.90 | -0.90 | 0.00 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| NOK=X | JPY=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.62 | -0.59 | -0.02 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.21 | 0.20 | 0.00 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.11 | 0.11 | 0.00 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.19 | 0.19 | 0.00 |
Drawdowns
NOK=X vs. JPY=X - Drawdown Comparison
The maximum NOK=X drawdown since its inception was -35.52%, roughly equal to the maximum JPY=X drawdown of -35.40%. Use the drawdown chart below to compare losses from any high point for NOK=X and JPY=X.
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Drawdown Indicators
| NOK=X | JPY=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.52% | -35.40% | -0.12% |
Max Drawdown (1Y)Largest decline over 1 year | -11.22% | -11.22% | 0.00% |
Max Drawdown (3Y)Largest decline over 3 years | -19.95% | -19.92% | -0.03% |
Max Drawdown (5Y)Largest decline over 5 years | -19.95% | -19.92% | -0.03% |
Max Drawdown (10Y)Largest decline over 10 years | -35.52% | -35.40% | -0.12% |
Current DrawdownCurrent decline from peak | -20.41% | -20.35% | -0.06% |
Average DrawdownAverage peak-to-trough decline | -13.16% | -13.16% | 0.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.58% | 5.58% | 0.00% |
Volatility
NOK=X vs. JPY=X - Volatility Comparison
USD/NOK (NOK=X) and USD/JPY (JPY=X) have volatilities of 1.85% and 1.82%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NOK=X | JPY=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.85% | 1.82% | +0.03% |
Volatility (6M)Calculated over the trailing 6-month period | 6.41% | 6.62% | -0.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.97% | 8.26% | -0.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.71% | 11.83% | -0.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.92% | 12.96% | -0.04% |
Frequently Asked Questions
With a correlation of 0.98, NOK=X and JPY=X move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
NOK=X has higher volatility (1.85%) compared to JPY=X (1.82%). In terms of maximum drawdown, NOK=X dropped -35.52% vs JPY=X's -35.40%.
JPY=X currently has the higher Sharpe Ratio (-0.59 vs -0.62), 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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