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CAD=X vs. EUR=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between CAD=X and EUR=X is -0.04. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.0

Performance

CAD=X vs. EUR=X - Performance Comparison

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

-0.10%-0.05%0.00%0.05%0.10%JulyAugustSeptemberOctoberNovemberDecember
-0.04%
0.01%
CAD=X
EUR=X

Key characteristics

Sharpe Ratio

CAD=X:

1.38

EUR=X:

0.70

Sortino Ratio

CAD=X:

2.19

EUR=X:

1.11

Omega Ratio

CAD=X:

1.27

EUR=X:

1.13

Calmar Ratio

CAD=X:

0.35

EUR=X:

0.15

Martin Ratio

CAD=X:

4.78

EUR=X:

1.65

Ulcer Index

CAD=X:

1.25%

EUR=X:

2.36%

Daily Std Dev

CAD=X:

4.37%

EUR=X:

5.50%

Max Drawdown

CAD=X:

-42.91%

EUR=X:

-48.28%

Current Drawdown

CAD=X:

-11.01%

EUR=X:

-20.70%

Returns By Period

In the year-to-date period, CAD=X achieves a 8.45% return, which is significantly higher than EUR=X's 5.81% return. Over the past 10 years, CAD=X has outperformed EUR=X with an annualized return of 2.01%, while EUR=X has yielded a comparatively lower 1.47% annualized return.


CAD=X

YTD

8.45%

1M

2.80%

6M

4.91%

1Y

8.18%

5Y*

1.63%

10Y*

2.01%

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

CAD=X vs. EUR=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/CAD (CAD=X) 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 CAD=X, currently valued at -0.13, compared to the broader market0.002.004.006.008.0010.00-0.130.00
The chart of Sortino ratio for CAD=X, currently valued at -0.18, compared to the broader market0.0010.0020.0030.0040.00-0.180.01
The chart of Omega ratio for CAD=X, currently valued at 0.98, compared to the broader market2.004.006.008.0010.000.981.00
The chart of Calmar ratio for CAD=X, currently valued at -0.06, compared to the broader market0.0020.0040.0060.0080.00-0.060.00
The chart of Martin ratio for CAD=X, currently valued at -1.61, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-1.610.01
CAD=X
EUR=X

The current CAD=X Sharpe Ratio is 1.38, which is higher than the EUR=X Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of CAD=X 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 Ratio-0.20-0.100.000.100.200.30JulyAugustSeptemberOctoberNovemberDecember
-0.13
0.00
CAD=X
EUR=X

Drawdowns

CAD=X vs. EUR=X - Drawdown Comparison

The maximum CAD=X drawdown since its inception was -42.91%, smaller than the maximum EUR=X drawdown of -48.28%. Use the drawdown chart below to compare losses from any high point for CAD=X and EUR=X. For additional features, visit the drawdowns tool.


-0.70%-0.65%-0.60%-0.55%-0.50%JulyAugustSeptemberOctoberNovemberDecember
-0.63%
-0.62%
CAD=X
EUR=X

Volatility

CAD=X vs. EUR=X - Volatility Comparison

The current volatility for USD/CAD (CAD=X) is 0.08%, while USD/EUR (EUR=X) has a volatility of 0.18%. This indicates that CAD=X experiences smaller price fluctuations and is considered to be less risky than EUR=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.05%0.10%0.15%0.20%0.25%JulyAugustSeptemberOctoberNovemberDecember
0.08%
0.18%
CAD=X
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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