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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.
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Returns By Period
EUR/USD (EURUSD=X) has returned -1.47% so far this year and 7.02% over the past 12 months. Over the last ten years, EURUSD=X has returned 0.16% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
EUR/USD
- 1D
- 0.97%
- 1M
- -1.78%
- YTD
- -1.47%
- 6M
- -1.36%
- 1Y
- 7.02%
- 3Y*
- 2.20%
- 5Y*
- -0.35%
- 10Y*
- 0.16%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Mar 13, 2007, EURUSD=X's average daily return is 0.00%, while the average monthly return is -0.02%.
Historically, 50% of months were positive and 50% were negative. The best month was Dec 2008 with a return of +9.8%, while the worst month was Oct 2008 at -9.6%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 9 months.
On a daily basis, EURUSD=X closed higher 50% of trading days. The best single day was Mar 18, 2009 with a return of +3.5%, while the worst single day was Oct 24, 2008 at -2.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.89% | -0.28% | -2.06% | -1.47% | |||||||||
| 2025 | 0.01% | 0.17% | 4.25% | 4.74% | 0.17% | 3.88% | -3.16% | 2.56% | 0.22% | -1.68% | 0.56% | 1.25% | 13.43% |
| 2024 | -1.99% | -0.12% | -0.15% | -1.15% | 1.71% | -1.26% | 1.07% | 2.03% | 0.81% | -2.26% | -2.84% | -2.07% | -6.18% |
| 2023 | 1.51% | -2.65% | 2.55% | 1.61% | -2.98% | 2.07% | 0.80% | -1.39% | -2.48% | 0.00% | 2.94% | 1.40% | 3.16% |
| 2022 | -1.32% | -0.14% | -1.35% | -4.75% | 1.80% | -2.31% | -2.46% | -1.71% | -2.50% | 0.79% | 5.35% | 2.82% | -6.01% |
| 2021 | -0.68% | -0.52% | -2.82% | 2.44% | 1.73% | -3.01% | 0.09% | -0.50% | -1.97% | -0.12% | -1.93% | 0.40% | -6.81% |
Benchmark Metrics
EUR/USD has an annualized alpha of -1.13%, beta of 0.10, and R² of 0.05 versus S&P 500 Index. Calculated based on daily prices since March 14, 2007.
- This currency participated in 34.77% of S&P 500 Index downside but only 15.26% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.10 may look defensive, but with R² of 0.05 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 0.05 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
- -1.13%
- Beta
- 0.10
- R²
- 0.05
- Upside Capture
- 15.26%
- Downside Capture
- 34.77%
Return for Risk
Risk / Return Rank
EURUSD=X ranks 64 for risk / return — better than 64% of currencies on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for EUR/USD (EURUSD=X) and compare them to a chosen benchmark (S&P 500 Index).
| EURUSD=X | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.78 | 0.90 | -0.12 |
Sortino ratioReturn per unit of downside risk | 1.27 | 1.39 | -0.11 |
Omega ratioGain probability vs. loss probability | 1.15 | 1.21 | -0.06 |
Calmar ratioReturn relative to maximum drawdown | -0.01 | 1.40 | -1.41 |
Martin ratioReturn relative to average drawdown | -0.03 | 6.61 | -6.64 |
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 EURUSD=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 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 40.01%, occurring on Sep 27, 2022. The portfolio has not yet recovered.
The current EUR/USD drawdown is 27.63%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -40.01% | Apr 23, 2008 | 3743 | Sep 27, 2022 | — | — | — |
| -3.65% | Nov 27, 2007 | 18 | Dec 20, 2007 | 46 | Feb 26, 2008 | 64 |
| -2.9% | Jul 23, 2007 | 19 | Aug 16, 2007 | 18 | Sep 11, 2007 | 37 |
| -2.55% | Apr 30, 2007 | 32 | Jun 12, 2007 | 20 | Jul 10, 2007 | 52 |
| -1.58% | Mar 18, 2008 | 5 | Mar 24, 2008 | 2 | Mar 26, 2008 | 7 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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