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Performance
Performance Chart
The chart shows the growth of an initial investment of CA$10,000 in USD/CAD, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Different Benchmark Currency
CAD=X is traded in CAD, while the ^GSPC benchmark is in USD. To make them comparable, the benchmark values have been converted to CAD using the latest available exchange rates.
Returns By Period
USD/CAD (CAD=X) has returned 1.35% so far this year and -3.33% over the past 12 months. Over the last ten years, CAD=X has returned 0.67% per year, falling short of the S&P 500 Index benchmark, which averaged 12.91% annually.
USD/CAD
- 1D
- -0.11%
- 1M
- 1.88%
- YTD
- 1.35%
- 6M
- -0.09%
- 1Y
- -3.33%
- 3Y*
- 0.96%
- 5Y*
- 2.08%
- 10Y*
- 0.67%
Benchmark (S&P 500 Index)
- 1D
- 2.80%
- 1M
- -3.22%
- YTD
- -3.34%
- 6M
- -2.48%
- 1Y
- 12.46%
- 3Y*
- 17.80%
- 5Y*
- 12.48%
- 10Y*
- 12.91%
Monthly Returns
Based on dividend-adjusted daily data since Apr 22, 2009, CAD=X's average daily return is 0.00%, while the average monthly return is +0.08%. At this rate, your investment would double in approximately 72.2 years.
Historically, 52% of months were positive and 48% were negative. The best month was Jan 2015 with a return of +9.5%, while the worst month was May 2009 at -8.5%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 5 months.
On a daily basis, CAD=X closed higher 52% of trading days. The best single day was Jan 4, 2021 with a return of +3.4%, while the worst single day was Jan 1, 2021 at -3.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.77% | 0.16% | 1.97% | 1.35% | |||||||||
| 2025 | 0.98% | -0.44% | -0.50% | -4.09% | -0.45% | -0.97% | 1.84% | -0.84% | 1.33% | 0.59% | -0.23% | -1.78% | -4.59% |
| 2024 | 1.47% | 1.07% | -0.41% | 1.89% | -1.10% | 0.34% | 0.99% | -2.35% | 0.30% | 3.02% | 0.47% | 2.73% | 8.62% |
| 2023 | -1.76% | 2.58% | -0.96% | 0.32% | 0.09% | -2.43% | -0.39% | 2.41% | 0.52% | 2.18% | -2.25% | -2.37% | -2.23% |
| 2022 | 0.51% | -0.27% | -1.33% | 2.83% | -1.63% | 1.78% | -0.44% | 2.42% | 5.34% | -1.47% | -1.48% | 0.89% | 7.13% |
| 2021 | 0.14% | -0.27% | -1.40% | -2.26% | -1.79% | 2.79% | 0.60% | 1.17% | 0.48% | -2.34% | 3.22% | -1.07% | -0.90% |
Benchmark Metrics
USD/CAD has an annualized alpha of 1.34%, beta of -0.03, and R² of 0.00 versus S&P 500 Index. Calculated based on daily prices since April 23, 2009.
- This currency captured 0.30% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -5.67%) — a profile typical of hedging or uncorrelated assets.
- Beta of -0.03 may look defensive, but with R² of 0.00 this currency is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this currency's risk.
- R² of 0.00 means this currency moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 1.34%
- Beta
- -0.03
- R²
- 0.00
- Upside Capture
- 0.30%
- Downside Capture
- -5.67%
Return for Risk
Risk / Return Rank
CAD=X ranks 45 for risk / return — on par with similar currencies. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for USD/CAD (CAD=X) and compare them to a chosen benchmark (S&P 500 Index).
| CAD=X | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.57 | 0.69 | -1.26 |
Sortino ratioReturn per unit of downside risk | -0.71 | 1.06 | -1.76 |
Omega ratioGain probability vs. loss probability | 0.91 | 1.17 | -0.26 |
Calmar ratioReturn relative to maximum drawdown | 0.39 | 1.14 | -0.75 |
Martin ratioReturn relative to average drawdown | 0.94 | 4.22 | -3.28 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore CAD=X risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the USD/CAD. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the USD/CAD was 23.90%, occurring on Jul 21, 2011. Recovery took 1021 trading sessions.
The current USD/CAD drawdown is 5.47%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -23.9% | Apr 23, 2009 | 660 | Jul 21, 2011 | 1021 | Jan 23, 2015 | 1681 |
| -17.45% | Jan 20, 2016 | 1564 | Jun 2, 2021 | 1102 | Feb 2, 2025 | 2666 |
| -8.31% | Feb 3, 2025 | 313 | Jan 29, 2026 | — | — | — |
| -6.5% | Mar 18, 2015 | 48 | May 13, 2015 | 54 | Jul 15, 2015 | 102 |
| -4.16% | Sep 30, 2015 | 14 | Oct 15, 2015 | 38 | Dec 7, 2015 | 52 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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