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EUR/USD (EURUSD=X)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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EUR/USD

Popular comparisons: EURUSD=X vs. BTC-USD, EURUSD=X vs. USDU, EURUSD=X vs. GBPUSD=X, EURUSD=X vs. ^GDAXI, EURUSD=X vs. USD, EURUSD=X vs. JPYUSD=X, EURUSD=X vs. ^STOXX, EURUSD=X vs. ^GSPC, EURUSD=X vs. HYG, EURUSD=X vs. BZ=F

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in EUR/USD, 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%1,000.00%2,000.00%3,000.00%4,000.00%5,000.00%December2024FebruaryMarchAprilMay
-27.90%
4,812.25%
EURUSD=X (EUR/USD)
Benchmark (^GSPC)

S&P 500

Returns By Period

EUR/USD had a return of -1.51% year-to-date (YTD) and 0.93% in the last 12 months. Over the past 10 years, EUR/USD had an annualized return of -2.21%, while the S&P 500 had an annualized return of 10.99%, indicating that EUR/USD did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date-1.51%11.18%
1 month1.86%5.60%
6 months-0.35%17.48%
1 year0.93%26.33%
5 years (annualized)-0.50%13.16%
10 years (annualized)-2.21%10.99%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.99%-0.12%-0.10%-1.18%-1.51%
20231.50%-2.63%2.49%1.67%-3.01%2.08%0.76%-1.38%-2.50%0.06%2.93%1.38%3.12%
2022-1.19%-0.12%-1.37%-4.74%1.82%-2.34%-2.52%-1.58%-2.57%0.86%5.28%2.85%-5.86%
2021-0.63%-0.51%-2.87%2.47%1.72%-3.03%0.13%-0.53%-1.91%-0.17%-1.95%0.28%-6.92%
2020-1.04%-0.61%0.04%-0.67%1.31%1.20%4.83%1.38%-1.83%-0.61%2.41%2.39%8.95%
2019-0.21%-0.66%-1.35%-0.02%-0.43%1.80%-2.59%-0.77%-0.83%2.31%-1.21%1.77%-2.27%
20183.53%-1.83%1.06%-1.98%-3.20%-0.06%0.05%-0.77%0.07%-2.56%0.04%1.35%-4.40%
20172.68%-2.05%0.71%2.30%3.18%1.62%3.64%0.57%-0.81%-1.42%2.22%0.79%14.09%
2016-0.22%0.33%4.66%0.67%-2.83%-0.24%0.62%-0.14%0.74%-2.31%-3.58%-0.68%-3.18%
2015-6.70%-0.82%-4.14%4.60%-2.11%1.37%-1.35%2.06%-0.33%-1.53%-4.02%2.81%-10.22%
2014-1.88%2.34%-0.23%0.70%-1.71%0.45%-2.21%-1.91%-3.81%-0.85%-0.58%-2.84%-11.99%
20132.90%-3.85%-1.81%2.71%-1.28%0.08%2.24%-0.60%2.30%0.43%0.04%1.15%4.17%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of EURUSD=X is 49, suggesting that the investment has average results relative to other currencies in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of EURUSD=X is 4949
EURUSD=X (EUR/USD)
The Sharpe Ratio Rank of EURUSD=X is 4949Sharpe Ratio Rank
The Sortino Ratio Rank of EURUSD=X is 4949Sortino Ratio Rank
The Omega Ratio Rank of EURUSD=X is 4949Omega Ratio Rank
The Calmar Ratio Rank of EURUSD=X is 4949Calmar Ratio Rank
The Martin Ratio Rank of EURUSD=X is 4949Martin 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 EUR/USD (EURUSD=X) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


EURUSD=X
Sharpe ratio
The chart of Sharpe ratio for EURUSD=X, currently valued at 0.12, compared to the broader market-0.500.000.501.000.12
Sortino ratio
The chart of Sortino ratio for EURUSD=X, currently valued at 0.21, compared to the broader market-1.00-0.500.000.501.001.500.21
Omega ratio
The chart of Omega ratio for EURUSD=X, currently valued at 1.03, compared to the broader market0.901.001.101.201.03
Calmar ratio
The chart of Calmar ratio for EURUSD=X, currently valued at 0.02, compared to the broader market-0.200.000.200.400.600.800.02
Martin ratio
The chart of Martin ratio for EURUSD=X, currently valued at 0.19, compared to the broader market-1.000.001.002.003.004.000.19
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.38, compared to the broader market-0.500.000.501.002.38
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.37, compared to the broader market-1.00-0.500.000.501.001.503.37
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.901.001.101.201.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.94, compared to the broader market-0.200.000.200.400.600.801.94
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.12, compared to the broader market-1.000.001.002.003.004.009.12

Sharpe Ratio

The current EUR/USD Sharpe ratio is 0.12. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of EUR/USD 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-1.000.001.002.003.00December2024FebruaryMarchAprilMay
0.12
2.38
EURUSD=X (EUR/USD)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%December2024FebruaryMarchAprilMay
-32.02%
-0.09%
EURUSD=X (EUR/USD)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the EUR/USD. 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 EUR/USD was 57.54%, occurring on Feb 26, 1985. Recovery took 5979 trading sessions.

The current EUR/USD drawdown is 32.02%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-57.54%Jan 4, 19801302Feb 26, 19855979Feb 28, 20087281
-40.01%Apr 23, 20083765Sep 27, 2022
-1.89%Mar 18, 20084Mar 21, 20083Mar 26, 20087
-1.48%Mar 27, 20084Apr 1, 20089Apr 14, 200813
-0.85%Apr 17, 20082Apr 18, 20082Apr 22, 20084

Volatility

Volatility Chart

The current EUR/USD volatility is 1.18%, 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%December2024FebruaryMarchAprilMay
1.18%
3.36%
EURUSD=X (EUR/USD)
Benchmark (^GSPC)