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AUDUSD=X vs. EURUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between AUDUSD=X and EURUSD=X is 0.08, 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.


-0.50.00.51.0
Correlation: 0.1

Performance

AUDUSD=X vs. EURUSD=X - Performance Comparison

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

-10.00%-5.00%0.00%5.00%NovemberDecember2025FebruaryMarchApril
3.28%
-3.62%
AUDUSD=X
EURUSD=X

Key characteristics

Sharpe Ratio

AUDUSD=X:

-0.49

EURUSD=X:

0.80

Sortino Ratio

AUDUSD=X:

-0.61

EURUSD=X:

1.31

Omega Ratio

AUDUSD=X:

0.92

EURUSD=X:

1.13

Calmar Ratio

AUDUSD=X:

-0.08

EURUSD=X:

0.04

Martin Ratio

AUDUSD=X:

-0.68

EURUSD=X:

1.73

Ulcer Index

AUDUSD=X:

6.94%

EURUSD=X:

4.22%

Daily Std Dev

AUDUSD=X:

9.25%

EURUSD=X:

7.41%

Max Drawdown

AUDUSD=X:

-67.80%

EURUSD=X:

-39.99%

Current Drawdown

AUDUSD=X:

-56.86%

EURUSD=X:

-28.70%

Returns By Period

In the year-to-date period, AUDUSD=X achieves a 3.77% return, which is significantly lower than EURUSD=X's 10.10% return. Over the past 10 years, AUDUSD=X has underperformed EURUSD=X with an annualized return of -1.88%, while EURUSD=X has yielded a comparatively higher 0.24% annualized return.


AUDUSD=X

YTD

3.77%

1M

2.12%

6M

-2.48%

1Y

-1.58%

5Y*

-0.38%

10Y*

-1.88%

EURUSD=X

YTD

10.10%

1M

5.28%

6M

5.43%

1Y

6.60%

5Y*

1.32%

10Y*

0.24%

*Annualized

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Risk-Adjusted Performance

AUDUSD=X vs. EURUSD=X — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AUDUSD=X
The Risk-Adjusted Performance Rank of AUDUSD=X is 3333
Overall Rank
The Sharpe Ratio Rank of AUDUSD=X is 3232
Sharpe Ratio Rank
The Sortino Ratio Rank of AUDUSD=X is 3333
Sortino Ratio Rank
The Omega Ratio Rank of AUDUSD=X is 3030
Omega Ratio Rank
The Calmar Ratio Rank of AUDUSD=X is 3434
Calmar Ratio Rank
The Martin Ratio Rank of AUDUSD=X is 3535
Martin Ratio Rank

EURUSD=X
The Risk-Adjusted Performance Rank of EURUSD=X is 7070
Overall Rank
The Sharpe Ratio Rank of EURUSD=X is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of EURUSD=X is 7777
Sortino Ratio Rank
The Omega Ratio Rank of EURUSD=X is 7171
Omega Ratio Rank
The Calmar Ratio Rank of EURUSD=X is 5151
Calmar Ratio Rank
The Martin Ratio Rank of EURUSD=X is 7676
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

AUDUSD=X vs. EURUSD=X - Risk-Adjusted Performance 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.


The chart of Sharpe ratio for AUDUSD=X, currently valued at -0.62, compared to the broader market-1.000.001.002.00
AUDUSD=X: -0.62
EURUSD=X: 0.81
The chart of Sortino ratio for AUDUSD=X, currently valued at -0.78, compared to the broader market-1.000.001.002.003.004.00
AUDUSD=X: -0.78
EURUSD=X: 1.34
The chart of Omega ratio for AUDUSD=X, currently valued at 0.91, compared to the broader market1.001.502.002.50
AUDUSD=X: 0.91
EURUSD=X: 1.14
The chart of Calmar ratio for AUDUSD=X, currently valued at -0.08, compared to the broader market0.001.002.003.004.00
AUDUSD=X: -0.08
EURUSD=X: 0.04
The chart of Martin ratio for AUDUSD=X, currently valued at -1.03, compared to the broader market0.005.0010.0015.0020.0025.00
AUDUSD=X: -1.03
EURUSD=X: 1.59

The current AUDUSD=X Sharpe Ratio is -0.49, which is lower than the EURUSD=X Sharpe Ratio of 0.80. The chart below compares the historical Sharpe Ratios of AUDUSD=X and EURUSD=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 Ratio-1.00-0.500.000.501.00NovemberDecember2025FebruaryMarchApril
-0.62
0.81
AUDUSD=X
EURUSD=X

Drawdowns

AUDUSD=X vs. EURUSD=X - Drawdown Comparison

The maximum AUDUSD=X drawdown since its inception was -67.80%, which is greater than EURUSD=X's maximum drawdown of -39.99%. Use the drawdown chart below to compare losses from any high point for AUDUSD=X and EURUSD=X. For additional features, visit the drawdowns tool.


-45.00%-40.00%-35.00%-30.00%NovemberDecember2025FebruaryMarchApril
-41.78%
-28.70%
AUDUSD=X
EURUSD=X

Volatility

AUDUSD=X vs. EURUSD=X - Volatility Comparison

AUD/USD (AUDUSD=X) has a higher volatility of 6.33% compared to EUR/USD (EURUSD=X) at 4.00%. 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.


1.00%2.00%3.00%4.00%5.00%6.00%NovemberDecember2025FebruaryMarchApril
6.33%
4.00%
AUDUSD=X
EURUSD=X