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CAD=X vs. EUR=X
Performance
Return for Risk
Drawdowns
Volatility

Performance

CAD=X vs. EUR=X - Performance Comparison

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

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CAD=X vs. EUR=X - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
CAD=X
USD/CAD
1.27%-4.59%8.62%-2.23%7.13%-0.90%-1.69%-4.92%8.48%-6.37%
EUR=X
USD/EUR
1.47%-4.61%8.60%-2.14%6.93%-0.75%-1.81%-4.66%8.28%-6.26%
Different Trading Currencies

CAD=X is traded in CAD, while EUR=X is traded in EUR. To make them comparable, the EUR=X values have been converted to CAD using the latest available exchange rates.

Returns By Period

In the year-to-date period, CAD=X achieves a 1.27% return, which is significantly lower than EUR=X's 1.47% return. Over the past 10 years, CAD=X has underperformed EUR=X with an annualized return of 0.64%, while EUR=X has yielded a comparatively higher 0.68% annualized return.


CAD=X

1D
-0.14%
1M
1.63%
YTD
1.27%
6M
-0.28%
1Y
-2.84%
3Y*
0.96%
5Y*
2.01%
10Y*
0.64%

EUR=X

1D
0.08%
1M
1.78%
YTD
1.47%
6M
-0.29%
1Y
-2.35%
3Y*
1.00%
5Y*
2.05%
10Y*
0.68%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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Return for Risk

CAD=X vs. EUR=X — Risk / Return Rank

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

CAD=X
CAD=X Risk / Return Rank: 4747
Overall Rank
CAD=X Sharpe Ratio Rank: 3535
Sharpe Ratio Rank
CAD=X Sortino Ratio Rank: 3535
Sortino Ratio Rank
CAD=X Omega Ratio Rank: 3333
Omega Ratio Rank
CAD=X Calmar Ratio Rank: 6666
Calmar Ratio Rank
CAD=X Martin Ratio Rank: 6666
Martin Ratio Rank

EUR=X
EUR=X Risk / Return Rank: 2626
Overall Rank
EUR=X Sharpe Ratio Rank: 1818
Sharpe Ratio Rank
EUR=X Sortino Ratio Rank: 1919
Sortino Ratio Rank
EUR=X Omega Ratio Rank: 1818
Omega Ratio Rank
EUR=X Calmar Ratio Rank: 3737
Calmar Ratio Rank
EUR=X Martin Ratio Rank: 3636
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CAD=X vs. EUR=X - Risk-Adjusted Trends 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.


CAD=XEUR=XDifference

Sharpe ratio

Return per unit of total volatility

-0.49

-0.45

-0.04

Sortino ratio

Return per unit of downside risk

-0.61

-0.55

-0.05

Omega ratio

Gain probability vs. loss probability

0.92

0.93

-0.01

Calmar ratio

Return relative to maximum drawdown

0.37

0.42

-0.04

Martin ratio

Return relative to average drawdown

0.89

1.00

-0.11

CAD=X vs. EUR=X - Sharpe Ratio Comparison

The current CAD=X Sharpe Ratio is -0.49, which is comparable to the EUR=X Sharpe Ratio of -0.45. 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.


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Sharpe Ratios by Period


CAD=XEUR=XDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

-0.49

-0.45

-0.04

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.28

0.30

-0.02

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.08

0.10

-0.01

Sharpe Ratio (All Time)

Calculated using the full available price history

0.08

0.08

-0.01

Correlation

The correlation between CAD=X and EUR=X is 0.95, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


Drawdowns

CAD=X vs. EUR=X - Drawdown Comparison

The maximum CAD=X drawdown since its inception was -23.90%, roughly equal to the maximum EUR=X drawdown of -23.96%. Use the drawdown chart below to compare losses from any high point for CAD=X and EUR=X.


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Drawdown Indicators


CAD=XEUR=XDifference

Max Drawdown

Largest peak-to-trough decline

-23.90%

-20.32%

-3.58%

Max Drawdown (1Y)

Largest decline over 1 year

-5.43%

-10.07%

+4.64%

Max Drawdown (5Y)

Largest decline over 5 years

-8.31%

-20.32%

+12.01%

Max Drawdown (10Y)

Largest decline over 10 years

-17.11%

-20.32%

+3.21%

Current Drawdown

Current decline from peak

-5.55%

-17.06%

+11.51%

Average Drawdown

Average peak-to-trough decline

-11.00%

-9.52%

-1.48%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.87%

2.39%

-0.52%

Volatility

CAD=X vs. EUR=X - Volatility Comparison

USD/CAD (CAD=X) has a higher volatility of 0.93% compared to USD/EUR (EUR=X) at 0.84%. This indicates that CAD=X'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.


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Volatility by Period


CAD=XEUR=XDifference

Volatility (1M)

Calculated over the trailing 1-month period

0.93%

0.84%

+0.09%

Volatility (6M)

Calculated over the trailing 6-month period

3.20%

3.18%

+0.02%

Volatility (1Y)

Calculated over the trailing 1-year period

4.73%

4.76%

-0.03%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

5.88%

6.08%

-0.20%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

6.52%

6.69%

-0.17%