CAD=X vs. EUR=X
CAD=X (USD/CAD) and EUR=X (USD/EUR) are both currencies. Over the past 10 years, CAD=X returned 0.83%/yr vs 0.89%/yr for EUR=X. With a 0.98 correlation, they move nearly in lockstep.
Performance
CAD=X vs. EUR=X - Performance Comparison
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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 3.64% return, which is significantly lower than EUR=X's 3.94% return. Over the past 10 years, CAD=X has underperformed EUR=X with an annualized return of 0.83%, while EUR=X has yielded a comparatively higher 0.89% annualized return.
CAD=X
- 1D
- -0.29%
- 1M
- 2.82%
- YTD
- 3.64%
- 6M
- 3.71%
- 1Y
- 3.40%
- 3Y*
- 2.58%
- 5Y*
- 2.87%
- 10Y*
- 0.83%
EUR=X
- 1D
- 0.17%
- 1M
- 3.10%
- YTD
- 3.94%
- 6M
- 4.02%
- 1Y
- 3.67%
- 3Y*
- 2.63%
- 5Y*
- 2.92%
- 10Y*
- 0.89%
CAD=X vs. EUR=X - Yearly Performance Comparison
Correlation
The correlation between CAD=X and EUR=X is 0.98 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.98 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.98 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.99 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.98 |
Correlation (All Time) Calculated using the full available price history since Sep 20, 2007 | 0.98 |
The correlation between CAD=X and EUR=X has been stable across timeframes, ranging from 0.98 to 0.99 - a consistent structural relationship.
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Return for Risk
CAD=X vs. EUR=X — Risk / Return Rank
CAD=X
EUR=X
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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CAD=X | EUR=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.05 | ||
| Sortino ratioReturn per unit of downside risk | +0.05 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.14 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 0.78 | 0.67 | +0.11 |
| Martin ratioReturn relative to average drawdown | 1.72 | 1.46 | +0.26 |
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Drawdowns
CAD=X vs. EUR=X - Drawdown Comparison
The maximum CAD=X drawdown since its inception was -34.18%, which is greater than EUR=X's maximum drawdown of -27.41%. 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=X | EUR=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.18% | -27.41% | -6.77% |
Max Drawdown (1Y)Largest decline over 1 year | -4.39% | -4.41% | +0.02% |
Max Drawdown (3Y)Largest decline over 3 years | -8.32% | -8.33% | +0.01% |
Max Drawdown (5Y)Largest decline over 5 years | -8.32% | -8.33% | +0.01% |
Max Drawdown (10Y)Largest decline over 10 years | -16.97% | -16.92% | -0.05% |
Current DrawdownCurrent decline from peak | -3.56% | -3.30% | -0.26% |
Average DrawdownAverage peak-to-trough decline | -14.81% | -11.39% | -3.42% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.01% | 2.22% | -0.21% |
Volatility
CAD=X vs. EUR=X - Volatility Comparison
USD/CAD (CAD=X) has a higher volatility of 1.14% compared to USD/EUR (EUR=X) at 0.91%. 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=X | EUR=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.14% | 0.91% | +0.23% |
Volatility (6M)Calculated over the trailing 6-month period | 3.25% | 2.93% | +0.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.34% | 4.01% | +0.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.16% | 5.98% | +0.18% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.68% | 6.49% | +0.19% |
Frequently Asked Questions
With a correlation of 0.98, CAD=X and EUR=X move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
CAD=X has higher volatility (1.14%) compared to EUR=X (0.91%). In terms of maximum drawdown, CAD=X dropped -34.18% vs EUR=X's -27.41%.
CAD=X currently has the higher Sharpe Ratio (0.79 vs 0.73), 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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