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^STOXX vs. EUR=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^STOXX and EUR=X is 0.00, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.0

Performance

^STOXX vs. EUR=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in STOXX Europe 600 Index (^STOXX) and USD/EUR (EUR=X). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
-4.90%
-0.02%
^STOXX
EUR=X

Key characteristics

Sharpe Ratio

^STOXX:

0.47

EUR=X:

0.70

Sortino Ratio

^STOXX:

0.69

EUR=X:

1.11

Omega Ratio

^STOXX:

1.09

EUR=X:

1.13

Calmar Ratio

^STOXX:

0.67

EUR=X:

0.15

Martin Ratio

^STOXX:

2.24

EUR=X:

1.65

Ulcer Index

^STOXX:

2.16%

EUR=X:

2.36%

Daily Std Dev

^STOXX:

10.27%

EUR=X:

5.50%

Max Drawdown

^STOXX:

-61.04%

EUR=X:

-48.28%

Current Drawdown

^STOXX:

-4.90%

EUR=X:

-20.70%

Returns By Period

In the year-to-date period, ^STOXX achieves a 4.84% return, which is significantly lower than EUR=X's 5.81% return. Over the past 10 years, ^STOXX has outperformed EUR=X with an annualized return of 3.79%, while EUR=X has yielded a comparatively lower 1.47% annualized return.


^STOXX

YTD

4.84%

1M

0.34%

6M

-2.51%

1Y

5.29%

5Y*

3.64%

10Y*

3.79%

EUR=X

YTD

5.81%

1M

1.09%

6M

2.51%

1Y

5.55%

5Y*

1.12%

10Y*

1.47%

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Risk-Adjusted Performance

^STOXX vs. EUR=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for STOXX Europe 600 Index (^STOXX) and USD/EUR (EUR=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.


Sharpe ratio
The chart of Sharpe ratio for ^STOXX, currently valued at -0.20, compared to the broader market0.001.002.00-0.20-0.00
The chart of Sortino ratio for ^STOXX, currently valued at -0.19, compared to the broader market-1.000.001.002.003.00-0.190.00
The chart of Omega ratio for ^STOXX, currently valued at 0.98, compared to the broader market0.901.001.101.201.301.400.981.00
The chart of Calmar ratio for ^STOXX, currently valued at -0.20, compared to the broader market0.001.002.003.00-0.20-0.00
The chart of Martin ratio for ^STOXX, currently valued at -0.54, compared to the broader market0.005.0010.0015.0020.00-0.54-0.01
^STOXX
EUR=X

The current ^STOXX Sharpe Ratio is 0.47, which is lower than the EUR=X Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of ^STOXX and EUR=X, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
-0.20
-0.00
^STOXX
EUR=X

Drawdowns

^STOXX vs. EUR=X - Drawdown Comparison

The maximum ^STOXX drawdown since its inception was -61.04%, which is greater than EUR=X's maximum drawdown of -48.28%. Use the drawdown chart below to compare losses from any high point for ^STOXX and EUR=X. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.16%
-0.62%
^STOXX
EUR=X

Volatility

^STOXX vs. EUR=X - Volatility Comparison

STOXX Europe 600 Index (^STOXX) has a higher volatility of 2.77% compared to USD/EUR (EUR=X) at 0.18%. This indicates that ^STOXX's price experiences larger fluctuations and is considered to be riskier than EUR=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
2.77%
0.18%
^STOXX
EUR=X
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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