US Dollar/Japanese Yen FX Spot Rate

10-Year Study

USDJPY.FOREX · · NA · Currency

Executive Summary: US Dollar/Japanese Yen FX Spot Rate has compounded at 3.7% annually over the last 10 years, with a maximum drawdown of 12.5% and an annualized volatility of 14.7%.

1Y CAGR
+11.6%
3Y CAGR
+4.7%
5Y CAGR
+7.9%
10Y CAGR
+3.7%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
12.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.06
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.09
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
9.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · +13.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · -4.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
50%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
2026-1.20.91.60.4————————1.6%
2025-1.2-3.0-0.4-4.60.7-0.14.9-2.40.64.01.30.5-0.3%
20243.82.41.14.1-0.32.7-7.1-2.5-1.75.8-1.44.911.4%
2023-0.64.6-2.52.72.23.6-1.42.32.61.5-2.2-4.97.7%
20220.0-0.15.86.7-0.95.5-1.74.24.22.7-7.2-5.113.8%
20211.41.74.0-1.30.21.4-1.30.31.12.7-1.01.711.5%
2020-0.2-0.3-0.5-0.30.40.3-1.90.0-0.4-0.8-0.4-1.0-4.9%
2019-0.62.3-0.40.4-2.80.10.3-2.31.7-0.01.4-0.8-0.9%
2018-3.1-2.3-0.42.9-0.51.71.1-0.82.6-0.90.5-3.4-2.8%
2017-3.5-0.0-1.2-0.1-0.51.4-1.9-0.32.31.0-1.00.1-3.6%
2016———-5.54.1-6.7-0.91.1-2.03.49.22.13.8%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 14.7%. The dominant macroeconomic risk driver is SHV.US, accounting for 50.5% of variance. Idiosyncratic stock-specific factors contribute 7.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019447.503997157577
2016-05-019833.895896251553
2016-06-019174.809024693552
2016-07-019089.713981168947
2016-08-019186.356368804405
2016-09-019001.598863030735
2016-10-019310.712382305916
2016-11-0110167.880618227038
2016-12-0110382.838870136793
2017-01-0110019.541659264523
2017-02-0110017.76514478593
2017-03-019894.297388523717
2017-04-019886.480724817908
2017-05-019840.11369692663
2017-06-019982.23485521407
2017-07-019793.036063243915
2017-08-019768.164860543613
2017-09-019992.005684846332
2017-10-0110094.15526736543
2017-11-019995.558713803517
2017-12-0110009.77082963226
2018-01-019698.880795878486
2018-02-019475.039971575769
2018-03-019440.397939243205
2018-04-019711.316397228638
2018-05-019666.015278024515
2018-06-019831.231124533666
2018-07-019937.821993249245
2018-08-019863.20838514834
2018-09-0110119.02647006573
2018-10-0110031.977260614673
2018-11-0110079.054894297387
2018-12-019733.52282821105
2019-01-019671.344821460294
2019-02-019894.297388523717
2019-03-019859.211227571504
2019-04-019896.073903002309
2019-05-019616.272872623913
2019-06-019627.10961094333
2019-07-019658.909220110143
2019-08-019441.286196482502
2019-09-019598.507727837983
2019-10-019594.954698880796
2019-11-019727.305027535975
2019-12-019647.36187599929
2020-01-019626.931959495469
2020-02-019599.395985077279
2020-03-019551.430094155268
2020-04-019519.452833540594
2020-05-019555.96020607568
2020-06-019586.072126487832
2020-07-019404.867649671345
2020-08-019405.755906910641
2020-09-019366.672588381596
2020-10-019294.72375199858
2020-11-019261.858234144607
2020-12-019170.367738497069
2021-01-019301.785397050986
2021-02-019458.518386924854
2021-03-019833.007639012258
2021-04-019705.986853792858
2021-05-019729.969799253864
2021-06-019868.537928584117
2021-07-019744.181915082609
2021-08-019772.606146740096
2021-09-019883.638301652158
2021-10-0110147.450701723219
2021-11-0110048.854148161308
2021-12-0110222.064309824125
2022-01-0110223.840824302717
2022-02-0110214.069994670455
2022-03-0110806.537573281223
2022-04-0111532.243737786464
2022-05-0111430.094155267365
2022-06-0112056.315508971398
2022-07-0111849.973352282823
2022-08-0112343.22259726417
2022-09-0112857.523538816842
2022-10-0113209.273405578257
2022-11-0112253.95274471487
2022-12-0111633.949191685913
2023-01-0111562.888612542192
2023-02-0112090.513412684313
2023-03-0111792.947237519984
2023-04-0112116.450524071772
2023-05-0112376.976372357436
2023-06-0112817.996091668147
2023-07-0112637.23574347131
2023-08-0112928.139989340913
2023-09-0113268.342511991474
2023-10-0113464.647361876001
2023-11-0113165.30467223308
2023-12-0112526.647717178896
2024-01-0113002.30946882217
2024-02-0113320.749689109967
2024-03-0113470.776336827146
2024-04-0114017.587493338071
2024-05-0113970.953988275003
2024-06-0114343.044945816308
2024-07-0113322.08207496891
2024-08-0112984.544324036242
2024-09-0112758.926985254928
2024-10-0113496.180493871027
2024-11-0113302.984544324034
2024-12-0113959.024693551251
2025-01-0113786.196482501335
2025-02-0113375.954876532243
2025-03-0113319.035352638122
2025-04-0112704.219221886658
2025-05-0112793.027180671523
2025-06-0112773.885237164684
2025-07-0113395.985077278381
2025-08-0113067.81844022029
2025-09-0113148.62320127909
2025-10-0113673.831941730326
2025-11-0113848.845265588916
2025-12-0113915.45567596376
2026-01-0113741.78362053651
2026-02-0113861.511813821284
2026-03-0114086.07212648783
2026-04-0114142.352105169655
Annual Return Matrix
YearAnnual Return
2017-0.03593121738386518
2018-0.027597834767947416
2019-0.00885198028837375
2020-0.04944296105331003
20210.11468423091824875
20220.13812130691692737
20230.07673220080167975
20240.11434639248360212
2025-0.0031212078597168125
20260.01630535388056442
Total Factor Risk
0.14650402497193774
VTI.US Exposure
0.0018848438090322672
VEA.US Exposure
0.0012517603056650657
VWO.US Exposure
-0.00735880732118922
QQQ.US Exposure
0.020946837731191995
VTV.US Exposure
0.008030635338552226
IJR.US Exposure
0.008477146701937308
QUAL.US Exposure
0.049022800395726075
SHV.US Exposure
0.5046976968935714
TLT.US Exposure
0.041648789222030524
LQD.US Exposure
0.062000402286656514
HYG.US Exposure
0.007607895403808446
GLD.US Exposure
-0.001511213721300246
USO.US Exposure
-0.0014214005559539927
VNQ.US Exposure
-0.005699636222545407
BTC-USD.CC Exposure
0.000560465400447699
CPER.US Exposure
-0.0031875178561181186
VIX.INDX Exposure
0.00453293623157789
UUP.US Exposure
0.22976579869996072
TIP.US Exposure
0.0036480604642375888
Idiosyncratic Exposure
0.07510250679271124
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.7%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+0.3%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+2.2%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.7% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is US Dollar/Japanese Yen FX Spot Rate a high-risk investment?

US Dollar/Japanese Yen FX Spot Rate (USDJPY.FOREX) has an annualized volatility of 14.7% and experienced a maximum drawdown of 12.5% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of USDJPY.FOREX?

Over the past 10 years, USDJPY.FOREX has generated a Compound Annual Growth Rate (CAGR) of 3.7%. It has had a positive return in 50% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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