^SDEX vs. EURUSD=X
^SDEX (Nations SkewDex) is an index, while EURUSD=X (Euro / U.S. Dollar) is a currency. Over the past 10 years, ^SDEX returned -1.05%/yr vs 0.25%/yr for EURUSD=X. At a correlation of -0.03, they often move in opposite directions.
Performance
^SDEX vs. EURUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, ^SDEX achieves a -1.01% return, which is significantly higher than EURUSD=X's -2.99% return. Over the past 10 years, ^SDEX has underperformed EURUSD=X with an annualized return of -1.05%, while EURUSD=X has yielded a comparatively higher 0.25% annualized return.
^SDEX
- 1D
- -1.84%
- 1M
- 0.84%
- 6M
- -0.74%
- YTD
- -1.01%
- 1Y
- 0.04%
- 3Y*
- 2.14%
- 5Y*
- -4.38%
- 10Y*
- -1.05%
EURUSD=X
- 1D
- -0.18%
- 1M
- -1.49%
- 6M
- -2.22%
- YTD
- -2.99%
- 1Y
- -2.53%
- 3Y*
- 0.50%
- 5Y*
- -0.66%
- 10Y*
- 0.25%
^SDEX vs. EURUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^SDEX Nations SkewDex | -1.01% | 6.54% | 12.41% | -4.67% | -27.83% | 0.78% | 4.12% | 12.43% | -13.75% | 8.64% |
EURUSD=X Euro / U.S. Dollar | -2.99% | 13.43% | -6.18% | 3.16% | -6.01% | -6.81% | 8.85% | -1.94% | -4.66% | 14.14% |
Correlation
The correlation between ^SDEX and EURUSD=X is -0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.02 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.09 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.04 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.04 |
Correlation (All Time) Calculated using the full available price history since Jun 21, 2013 | -0.03 |
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Return for Risk
^SDEX vs. EURUSD=X — Risk / Return Rank
^SDEX
EURUSD=X
^SDEX vs. EURUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Nations SkewDex (^SDEX) and Euro / U.S. Dollar (EURUSD=X). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^SDEX | EURUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.43 | ||
| Sortino ratioReturn per unit of downside risk | +0.81 | ||
| Omega ratioGain probability vs. loss probability | 1.04 | 0.95 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 0.13 | -0.36 | +0.49 |
| Martin ratioReturn relative to average drawdown | 0.26 | -0.76 | +1.03 |
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Drawdowns
^SDEX vs. EURUSD=X - Drawdown Comparison
The maximum ^SDEX drawdown since its inception was -49.14%, which is greater than EURUSD=X's maximum drawdown of -40.01%. Use the drawdown chart below to compare losses from any high point for ^SDEX and EURUSD=X.
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Drawdown Indicators
| ^SDEX | EURUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.14% | -40.01% | -9.13% |
Max Drawdown (1Y)Largest decline over 1 year | -18.93% | -5.67% | -13.26% |
Max Drawdown (3Y)Largest decline over 3 years | -22.25% | -8.83% | -13.42% |
Max Drawdown (5Y)Largest decline over 5 years | -40.16% | -19.28% | -20.88% |
Max Drawdown (10Y)Largest decline over 10 years | -49.14% | -23.31% | -25.83% |
Current DrawdownCurrent decline from peak | -35.29% | -28.74% | -6.55% |
Average DrawdownAverage peak-to-trough decline | -21.74% | -23.58% | +1.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.14% | 2.84% | +6.30% |
Volatility
^SDEX vs. EURUSD=X - Volatility Comparison
Nations SkewDex (^SDEX) has a higher volatility of 8.47% compared to Euro / U.S. Dollar (EURUSD=X) at 1.05%. This indicates that ^SDEX's price experiences larger fluctuations and is considered to be riskier than EURUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^SDEX | EURUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.47% | 1.05% | +7.42% |
Volatility (6M)Calculated over the trailing 6-month period | 22.38% | 4.01% | +18.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 29.30% | 5.81% | +23.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 34.28% | 7.39% | +26.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 36.37% | 7.09% | +29.28% |
Frequently Asked Questions
^SDEX and EURUSD=X have a correlation of -0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^SDEX has higher volatility (8.47%) compared to EURUSD=X (1.05%). In terms of maximum drawdown, ^SDEX dropped -49.14% vs EURUSD=X's -40.01%.
^SDEX currently has the higher Sharpe Ratio (0.08 vs -0.35), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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