^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 -0.62%/yr vs 0.27%/yr for EURUSD=X. Their -0.03 correlation means they have often moved in opposite directions in the past.
Performance
^SDEX vs. EURUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, ^SDEX achieves a 2.98% return, which is significantly higher than EURUSD=X's -1.83% return. Over the past 10 years, ^SDEX has underperformed EURUSD=X with an annualized return of -0.62%, while EURUSD=X has yielded a comparatively higher 0.27% annualized return.
^SDEX
- 1D
- -0.69%
- 1M
- 2.84%
- 6M
- -4.77%
- YTD
- 2.98%
- 1Y
- -4.77%
- 3Y*
- 4.90%
- 5Y*
- -4.21%
- 10Y*
- -0.62%
- ALL TIME*
- -0.44%
EURUSD=X
- 1D
- 0.02%
- 1M
- 0.85%
- 6M
- -2.70%
- YTD
- -1.83%
- 1Y
- -0.49%
- 3Y*
- 1.63%
- 5Y*
- -0.57%
- 10Y*
- 0.27%
- ALL TIME*
- -0.90%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^SDEX Nations SkewDex | $0.00 | $0.00 | $0.00 |
EURUSD=X Euro / U.S. Dollar | $110.33K | $134.32K | $144.31K |
^SDEX vs. EURUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^SDEX Nations SkewDex | 2.98% | 6.54% | 12.41% | -4.67% | -27.83% | 0.78% | 4.12% | 12.43% | -13.75% | 8.64% |
EURUSD=X Euro / U.S. Dollar | -1.83% | 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 was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.02 |
Correlation (3Y) Balances recent behavior with more history. | -0.08 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.04 |
Correlation (10Y) Provides a long-term view across more market conditions. | -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 | -0.23 | ||
| Sortino ratioReturn per unit of downside risk | -0.17 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.03 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | -0.12 | 0.14 | -0.27 |
| Martin ratioReturn relative to average drawdown | -0.25 | 0.28 | -0.53 |
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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% | -8.48% | -13.77% |
Max Drawdown (5Y)Largest decline over 5 years | -40.16% | -19.24% | -20.92% |
Max Drawdown (10Y)Largest decline over 10 years | -49.14% | -23.31% | -25.83% |
Current DrawdownCurrent decline from peak | -32.69% | -27.89% | -4.80% |
Average DrawdownAverage peak-to-trough decline | -21.78% | -23.68% | +1.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.40% | 3.02% | +6.38% |
Volatility
^SDEX vs. EURUSD=X - Volatility Comparison
Nations SkewDex (^SDEX) has a higher volatility of 8.61% compared to Euro / U.S. Dollar (EURUSD=X) at 1.26%. 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 | 8.61% | 1.26% | +7.35% |
Volatility (6M)Calculated over the trailing 6-month period | 22.43% | 3.96% | +18.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 29.04% | 5.56% | +23.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 34.34% | 7.39% | +26.95% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 36.39% | 7.08% | +29.31% |
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 (8.61%) compared to EURUSD=X (1.26%). In terms of maximum drawdown, ^SDEX dropped -49.14% vs EURUSD=X's -40.01%.
EURUSD=X currently has the higher Sharpe Ratio (0.15 vs -0.08), 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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