AUDUSD=X vs. EURUSD=X
AUDUSD=X (AUD/USD) and EURUSD=X (EUR/USD) are both currencies. Over the past 10 years, AUDUSD=X returned -0.32%/yr vs 0.21%/yr for EURUSD=X. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
AUDUSD=X vs. EURUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, AUDUSD=X achieves a 6.81% return, which is significantly higher than EURUSD=X's -1.19% return. Over the past 10 years, AUDUSD=X has underperformed EURUSD=X with an annualized return of -0.32%, while EURUSD=X has yielded a comparatively higher 0.21% annualized return.
AUDUSD=X
- 1D
- -0.52%
- 1M
- -0.54%
- YTD
- 6.81%
- 6M
- 7.99%
- 1Y
- 10.31%
- 3Y*
- 2.57%
- 5Y*
- -1.63%
- 10Y*
- -0.32%
EURUSD=X
- 1D
- -0.26%
- 1M
- -0.74%
- YTD
- -1.19%
- 6M
- -0.56%
- 1Y
- 2.08%
- 3Y*
- 2.72%
- 5Y*
- -0.94%
- 10Y*
- 0.21%
AUDUSD=X vs. EURUSD=X - Yearly Performance Comparison
Correlation
The correlation between AUDUSD=X and EURUSD=X is 0.65, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.65 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.63 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.63 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.59 |
Correlation (All Time) Calculated using the full available price history since Jun 29, 2007 | 0.56 |
The correlation between AUDUSD=X and EURUSD=X has been stable across timeframes, ranging from 0.56 to 0.65 - a consistent structural relationship.
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Return for Risk
AUDUSD=X vs. EURUSD=X — Risk / Return Rank
AUDUSD=X
EURUSD=X
AUDUSD=X vs. EURUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AUD/USD (AUDUSD=X) and EUR/USD (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.
| AUDUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.09 | 0.28 | +0.81 |
Sortino ratioReturn per unit of downside risk | 1.60 | 0.46 | +1.13 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.05 | +0.14 |
Calmar ratioReturn relative to maximum drawdown | 1.96 | 0.32 | +1.64 |
Martin ratioReturn relative to average drawdown | 5.26 | 0.75 | +4.50 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| AUDUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.09 | 0.28 | +0.81 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.15 | -0.12 | -0.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.03 | 0.03 | -0.06 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.07 | -0.08 | +0.01 |
Drawdowns
AUDUSD=X vs. EURUSD=X - Drawdown Comparison
The maximum AUDUSD=X drawdown since its inception was -47.87%, 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 AUDUSD=X and EURUSD=X.
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Drawdown Indicators
| AUDUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.87% | -40.01% | -7.86% |
Max Drawdown (1Y)Largest decline over 1 year | -4.20% | -5.19% | +0.99% |
Max Drawdown (3Y)Largest decline over 3 years | -13.83% | -8.83% | -5.00% |
Max Drawdown (5Y)Largest decline over 5 years | -23.18% | -21.30% | -1.88% |
Max Drawdown (10Y)Largest decline over 10 years | -29.18% | -23.31% | -5.87% |
Current DrawdownCurrent decline from peak | -35.30% | -27.42% | -7.88% |
Average DrawdownAverage peak-to-trough decline | -25.81% | -23.40% | -2.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.61% | 2.38% | -0.77% |
Volatility
AUDUSD=X vs. EURUSD=X - Volatility Comparison
AUD/USD (AUDUSD=X) has a higher volatility of 2.07% compared to EUR/USD (EURUSD=X) at 1.05%. This indicates that AUDUSD=X'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
| AUDUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.07% | 1.05% | +1.02% |
Volatility (6M)Calculated over the trailing 6-month period | 6.48% | 4.45% | +2.03% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.54% | 5.92% | +1.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.08% | 7.41% | +2.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.66% | 7.16% | +2.50% |
Frequently Asked Questions
AUDUSD=X and EURUSD=X have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AUDUSD=X has higher volatility (2.07%) compared to EURUSD=X (1.05%). In terms of maximum drawdown, AUDUSD=X dropped -47.87% vs EURUSD=X's -40.01%.
AUDUSD=X currently has the higher Sharpe Ratio (1.09 vs 0.28), 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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