UTWO vs. JPYUSD=X
UTWO (US Treasury 2 Year Note ETF) is Government Bonds fund tracking the ICE BofA Current 2 Year US Treasury Index - Benchmark TR Gross, while JPYUSD=X (JPY/USD) is a currency. Over the past 3 years, UTWO returned 3.89%/yr vs -4.30%/yr for JPYUSD=X. A 0.52 correlation means they provide meaningful diversification when combined.
Performance
UTWO vs. JPYUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, UTWO achieves a 0.43% return, which is significantly higher than JPYUSD=X's -2.12% return.
UTWO
- 1D
- -0.04%
- 1M
- 0.18%
- YTD
- 0.43%
- 6M
- 0.68%
- 1Y
- 3.13%
- 3Y*
- 3.89%
- 5Y*
- —
- 10Y*
- —
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 vs. JPYUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
UTWO US Treasury 2 Year Note ETF | 0.43% | 4.79% | 3.71% | 3.45% | -0.84% |
JPYUSD=X JPY/USD | -2.12% | 0.33% | -10.26% | -7.04% | 2.96% |
Correlation
The correlation between UTWO and JPYUSD=X 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 UTWO and JPYUSD=X has been stable across timeframes, ranging from 0.43 to 0.52 - a consistent structural relationship.
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Return for Risk
UTWO vs. JPYUSD=X — Risk / Return Rank
UTWO
JPYUSD=X
UTWO vs. JPYUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for US Treasury 2 Year Note ETF (UTWO) and JPY/USD (JPYUSD=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.
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.
| UTWO | JPYUSD=X | 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 | 1.47 | 0.82 | +0.65 |
| Calmar ratioReturn relative to maximum drawdown | 3.43 | -0.76 | +4.19 |
| Martin ratioReturn relative to average drawdown | 12.29 | -1.11 | +13.40 |
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Drawdowns
UTWO vs. JPYUSD=X - Drawdown Comparison
The maximum UTWO drawdown since its inception was -2.04%, smaller than the maximum JPYUSD=X drawdown of -52.96%. Use the drawdown chart below to compare losses from any high point for UTWO and JPYUSD=X.
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Drawdown Indicators
| UTWO | JPYUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -2.04% | -52.96% | +50.92% |
Max Drawdown (1Y)Largest decline over 1 year | -0.90% | -10.68% | +9.78% |
Max Drawdown (3Y)Largest decline over 3 years | -1.08% | -14.63% | +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 | -0.28% | -52.47% | +52.19% |
Average DrawdownAverage peak-to-trough decline | -0.48% | -26.92% | +26.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.25% | 6.18% | -5.93% |
Volatility
UTWO vs. JPYUSD=X - Volatility Comparison
The current volatility for US Treasury 2 Year Note ETF (UTWO) is 0.40%, while JPY/USD (JPYUSD=X) has a volatility of 0.69%. This indicates that UTWO experiences smaller price fluctuations and is considered to be less risky than JPYUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UTWO | JPYUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.40% | 0.69% | -0.29% |
Volatility (6M)Calculated over the trailing 6-month period | 0.94% | 5.48% | -4.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.33% | 7.50% | -6.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.07% | 9.56% | -7.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 2.07% | 8.90% | -6.83% |
Frequently Asked Questions
UTWO and JPYUSD=X 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, UTWO dropped -2.04% vs JPYUSD=X's -52.96%.
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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