CAD=X vs. USD=X
Compare and contrast key facts about USD/CAD (CAD=X) and USD Cash (USD=X).
Performance
CAD=X vs. USD=X - Performance Comparison
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CAD=X vs. USD=X - Yearly Performance Comparison
Different Trading Currencies
CAD=X is traded in CAD, while USD=X is traded in USD. To make them comparable, the USD=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 1.48% return, which is significantly higher than USD=X's 1.27% return. Over the past 10 years, CAD=X has outperformed USD=X with an annualized return of 0.62%, while USD=X has yielded a comparatively lower 0.56% annualized return.
CAD=X
- 1D
- 0.37%
- 1M
- 1.79%
- YTD
- 1.48%
- 6M
- -0.31%
- 1Y
- -2.16%
- 3Y*
- 1.20%
- 5Y*
- 2.06%
- 10Y*
- 0.62%
USD=X
- 1D
- 0.00%
- 1M
- 1.58%
- YTD
- 1.27%
- 6M
- -0.51%
- 1Y
- -2.36%
- 3Y*
- 1.11%
- 5Y*
- 2.03%
- 10Y*
- 0.56%
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Return for Risk
CAD=X vs. USD=X — Risk / Return Rank
CAD=X
USD=X
CAD=X vs. USD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/CAD (CAD=X) and USD Cash (USD=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=X | USD=X | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.37 | -0.28 | -0.10 |
Sortino ratioReturn per unit of downside risk | -0.45 | -0.33 | -0.12 |
Omega ratioGain probability vs. loss probability | 0.94 | 0.96 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 0.53 | 0.47 | +0.06 |
Martin ratioReturn relative to average drawdown | 1.27 | 1.05 | +0.22 |
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
| CAD=X | USD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.37 | -0.28 | -0.10 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.29 | 0.32 | -0.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.08 | 0.08 | 0.00 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.08 | 0.08 | 0.00 |
Correlation
The correlation between CAD=X and USD=X is 1.00, 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. USD=X - Drawdown Comparison
The maximum CAD=X drawdown since its inception was -23.90%, roughly equal to the maximum USD=X drawdown of -23.90%. Use the drawdown chart below to compare losses from any high point for CAD=X and USD=X.
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Drawdown Indicators
| CAD=X | USD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.90% | 0.00% | -23.90% |
Max Drawdown (1Y)Largest decline over 1 year | -5.43% | 0.00% | -5.43% |
Max Drawdown (5Y)Largest decline over 5 years | -8.31% | 0.00% | -8.31% |
Max Drawdown (10Y)Largest decline over 10 years | -17.11% | 0.00% | -17.11% |
Current DrawdownCurrent decline from peak | -5.36% | 0.00% | -5.36% |
Average DrawdownAverage peak-to-trough decline | -11.00% | 0.00% | -11.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.87% | 0.00% | +1.87% |
Volatility
CAD=X vs. USD=X - Volatility Comparison
The current volatility for USD/CAD (CAD=X) is 1.02%, while USD Cash (USD=X) has a volatility of 1.35%. This indicates that CAD=X experiences smaller price fluctuations and is considered to be less risky than USD=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 | USD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.02% | 1.35% | -0.33% |
Volatility (6M)Calculated over the trailing 6-month period | 3.23% | 3.33% | -0.10% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.72% | 4.34% | +0.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.89% | 5.36% | +0.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.52% | 5.89% | +0.63% |