^STOXX vs. EUR=X
Compare and contrast key facts about STOXX Europe 600 Index (^STOXX) and USD/EUR (EUR=X).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^STOXX or EUR=X.
Performance
^STOXX vs. EUR=X - Performance Comparison
Returns By Period
In the year-to-date period, ^STOXX achieves a 4.91% return, which is significantly lower than EUR=X's 5.44% return. Over the past 10 years, ^STOXX has outperformed EUR=X with an annualized return of 3.74%, while EUR=X has yielded a comparatively lower 1.65% annualized return.
^STOXX
4.91%
-3.43%
-3.65%
9.91%
4.37%
3.74%
EUR=X
5.44%
3.17%
3.32%
4.03%
0.96%
1.65%
Key characteristics
| ^STOXX | EUR=X | |
|---|---|---|
| Sharpe Ratio | 0.98 | 0.66 |
| Sortino Ratio | 1.37 | 1.06 |
| Omega Ratio | 1.17 | 1.13 |
| Calmar Ratio | 1.39 | 0.13 |
| Martin Ratio | 5.02 | 1.47 |
| Ulcer Index | 1.98% | 2.39% |
| Daily Std Dev | 10.11% | 5.46% |
| Max Drawdown | -61.04% | -48.28% |
| Current Drawdown | -4.84% | -20.98% |
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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.
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.
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.
Volatility
^STOXX vs. EUR=X - Volatility Comparison
STOXX Europe 600 Index (^STOXX) has a higher volatility of 4.35% compared to USD/EUR (EUR=X) at 0.13%. 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.