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USD/CNY (CNY=X)
Performance
Return for Risk
Drawdowns
Volatility

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USD/CNY

Performance

Performance Chart

The chart shows the growth of an initial investment of CN¥10,000 in USD/CNY, 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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S&P 500 Index

Different Benchmark Currency

CNY=X is traded in CNY, while the ^GSPC benchmark is in USD. To make them comparable, the benchmark values have been converted to CNY using the latest available exchange rates.

Returns By Period

USD/CNY (CNY=X) has returned -1.58% so far this year and -5.15% over the past 12 months. Over the last ten years, CNY=X has returned 0.61% per year, falling short of the S&P 500 Index benchmark, which averaged 12.84% annually.


USD/CNY

1D
-0.42%
1M
0.17%
YTD
-1.58%
6M
-3.32%
1Y
-5.15%
3Y*
0.07%
5Y*
0.95%
10Y*
0.61%

Benchmark (S&P 500 Index)

1D
2.48%
1M
-4.75%
YTD
-6.13%
6M
-5.63%
1Y
10.34%
3Y*
16.77%
5Y*
11.23%
10Y*
12.84%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Apr 13, 2007, CNY=X's average daily return is 0.00%, while the average monthly return is -0.04%.

Historically, 41% of months were positive and 59% were negative. The best month was Apr 2022 with a return of +4.2%, while the worst month was Jan 2018 at -3.4%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 16 months.

On a daily basis, CNY=X closed higher 46% of trading days. The best single day was Aug 11, 2015 with a return of +1.8%, while the worst single day was Nov 4, 2022 at -1.6%.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2026-0.60%-1.34%0.36%-1.58%
2025-0.67%0.44%-0.36%0.19%-0.98%-0.49%0.52%-0.97%-0.17%-0.03%-0.58%-1.17%-4.20%
20240.98%0.28%0.45%0.27%0.02%0.35%-0.66%-1.79%-1.02%1.44%1.74%0.79%2.84%
2023-2.08%2.64%-0.94%0.63%2.90%1.97%-1.50%1.61%0.59%0.20%-2.46%-0.54%2.90%
20220.13%-0.82%0.53%4.19%0.97%0.41%0.66%2.16%3.26%2.64%-2.93%-2.69%8.58%
2021-1.53%0.75%1.23%-1.21%-1.59%1.36%0.07%0.00%-0.22%-0.78%-0.51%-0.19%-2.65%

Benchmark Metrics

USD/CNY has an annualized alpha of -0.34%, beta of 0.01, and R² of 0.00 versus S&P 500 Index. Calculated based on daily prices since April 16, 2007.

  • This currency tended to rise when S&P 500 Index fell (downside capture of -0.25%), but participation in market rallies was also limited (-1.13%) — a profile typical of counter-cyclical assets.
  • Beta of 0.01 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
-0.34%
Beta
0.01
0.00
Upside Capture
-1.13%
Downside Capture
-0.25%

Return for Risk

Risk / Return Rank

CNY=X ranks 2 for risk / return — in the bottom 2% of currencies on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.


CNY=X Risk / Return Rank: 22
Overall Rank
CNY=X Sharpe Ratio Rank: 11
Sharpe Ratio Rank
CNY=X Sortino Ratio Rank: 00
Sortino Ratio Rank
CNY=X Omega Ratio Rank: 00
Omega Ratio Rank
CNY=X Calmar Ratio Rank: 44
Calmar Ratio Rank
CNY=X Martin Ratio Rank: 33
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below present risk-adjusted performance metrics for USD/CNY (CNY=X) and compare them to a chosen benchmark (S&P 500 Index).


CNY=XBenchmarkDifference

Sharpe ratio

Return per unit of total volatility

-1.77

0.57

-2.34

Sortino ratio

Return per unit of downside risk

-2.24

0.93

-3.17

Omega ratio

Gain probability vs. loss probability

0.71

1.14

-0.43

Calmar ratio

Return relative to maximum drawdown

-0.84

0.96

-1.80

Martin ratio

Return relative to average drawdown

-1.74

3.76

-5.50

Explore CNY=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/CNY. 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/CNY was 21.90%, occurring on Jan 14, 2014. The portfolio has not yet recovered.

The current USD/CNY drawdown is 11.01%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.9%Apr 18, 20071757Jan 14, 2014

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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