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USD/CAD (CAD=X)
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Risk-Adjusted Performance
Drawdowns
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Popular comparisons: CAD=X vs. HYMC, CAD=X vs. AMC, CAD=X vs. USD=X, CAD=X vs. EUR=X

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.


0.00%500.00%1,000.00%1,500.00%2,000.00%MayJuneJulyAugustSeptemberOctober
16.99%
1,892.23%
CAD=X (USD/CAD)
Benchmark (^GSPC)

Returns By Period

USD/CAD had a return of 3.87% year-to-date (YTD) and 0.81% in the last 12 months. Over the past 10 years, USD/CAD had an annualized return of 1.89%, while the S&P 500 had an annualized return of 11.99%, indicating that USD/CAD did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date3.87%22.49%
1 month1.28%3.72%
6 months-0.08%16.33%
1 year0.81%33.60%
5 years (annualized)0.87%14.41%
10 years (annualized)1.89%11.99%

Monthly Returns

The table below presents the monthly returns of CAD=X, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.41%1.07%-0.29%1.77%-1.10%0.31%1.02%-2.28%0.23%3.87%
2023-1.81%2.56%-0.96%0.27%0.16%-2.48%-0.37%2.43%0.51%2.19%-2.25%-2.32%-2.24%
20220.56%-0.24%-1.39%2.86%-1.64%1.79%-0.61%2.63%5.31%-1.48%-1.57%1.05%7.24%
20210.35%-0.30%-1.42%-2.14%-1.85%2.75%0.61%1.15%0.51%-2.29%3.14%-1.11%-0.77%
20201.91%1.23%4.95%-0.83%-1.25%-1.42%-1.19%-2.74%2.10%-0.02%-2.38%-2.06%-1.96%
2019-3.77%0.34%1.35%0.32%0.93%-3.12%0.76%0.92%-0.53%-0.60%0.88%-2.18%-4.77%
2018-2.10%4.20%0.48%-0.42%0.92%1.34%-0.95%0.25%-1.02%1.93%1.07%2.57%8.42%
2017-3.00%2.08%0.09%2.55%-1.11%-3.97%-3.75%0.02%-0.10%3.34%0.09%-2.47%-6.36%
20160.95%-3.10%-3.94%-3.48%4.31%-1.29%0.81%0.58%0.18%2.14%0.19%-0.01%-2.95%
20159.56%-1.76%1.44%-4.82%3.07%0.36%4.77%0.37%1.35%-1.78%2.18%3.58%19.10%
20144.76%-0.57%-0.14%-0.80%-1.09%-1.59%2.21%-0.26%2.94%0.61%1.31%1.80%9.39%
20130.49%3.36%-1.27%-0.99%3.02%1.37%-2.31%2.54%-2.16%1.17%1.77%0.07%7.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of CAD=X is 86, placing it in the top 14% of currencies on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of CAD=X is 8686
Combined Rank
The Sharpe Ratio Rank of CAD=X is 8989Sharpe Ratio Rank
The Sortino Ratio Rank of CAD=X is 8888Sortino Ratio Rank
The Omega Ratio Rank of CAD=X is 8686Omega Ratio Rank
The Calmar Ratio Rank of CAD=X is 7979Calmar Ratio Rank
The Martin Ratio Rank of CAD=X is 8787Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for USD/CAD (CAD=X) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


CAD=X
Sharpe ratio
The chart of Sharpe ratio for CAD=X, currently valued at 0.89, compared to the broader market-1.00-0.500.000.501.000.89
Sortino ratio
The chart of Sortino ratio for CAD=X, currently valued at 1.39, compared to the broader market0.0050.00100.00150.00200.00250.001.39
Omega ratio
The chart of Omega ratio for CAD=X, currently valued at 1.17, compared to the broader market10.0020.0030.0040.0050.0060.001.17
Calmar ratio
The chart of Calmar ratio for CAD=X, currently valued at 0.20, compared to the broader market0.00100.00200.00300.00400.00500.000.20
Martin ratio
The chart of Martin ratio for CAD=X, currently valued at 2.96, compared to the broader market0.001,000.002,000.003,000.004,000.002.96
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.69, compared to the broader market-1.00-0.500.000.501.002.69
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.58, compared to the broader market0.0050.00100.00150.00200.00250.003.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.49, compared to the broader market10.0020.0030.0040.0050.0060.001.49
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.37, compared to the broader market0.00100.00200.00300.00400.00500.002.37
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.43, compared to the broader market0.001,000.002,000.003,000.004,000.0016.43

Sharpe Ratio

The current USD/CAD Sharpe ratio is 0.89. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of USD/CAD with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00MayJuneJulyAugustSeptemberOctober
0.89
3.10
CAD=X (USD/CAD)
Benchmark (^GSPC)

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.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-14.77%
-0.61%
CAD=X (USD/CAD)
Benchmark (^GSPC)

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 42.91%, occurring on Nov 6, 2007. The portfolio has not yet recovered.

The current USD/CAD drawdown is 14.77%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-42.91%Jan 21, 20021512Nov 6, 2007
-9.29%Aug 28, 1998369Jan 27, 2000458Oct 31, 2001827
-7.3%Feb 15, 1990446Nov 1, 1991223Sep 9, 1992669
-6.68%Jan 20, 1995469Nov 7, 1996273Nov 26, 1997742
-3.94%Jan 30, 199829Mar 11, 199865Jun 10, 199894

Volatility

Volatility Chart

The current USD/CAD volatility is 1.35%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
1.35%
3.21%
CAD=X (USD/CAD)
Benchmark (^GSPC)