CAD=X vs. USD=X
CAD=X (USD/CAD) and USD=X (USD Cash) are both currencies. Over the past 10 years, CAD=X returned 0.91%/yr vs 0.94%/yr for USD=X. With a 1.00 correlation, they move nearly in lockstep.
Performance
CAD=X vs. USD=X - Performance Comparison
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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
As of year-to-date, both investments have demonstrated similar returns, with CAD=X at 1.57% and USD=X at 1.57%. Both investments have delivered pretty close results over the past 10 years, with CAD=X having a 0.91% annualized return and USD=X not far ahead at 0.94%.
CAD=X
- 1D
- 0.21%
- 1M
- 2.23%
- YTD
- 1.57%
- 6M
- 0.89%
- 1Y
- 1.93%
- 3Y*
- 1.31%
- 5Y*
- 2.91%
- 10Y*
- 0.91%
USD=X
- 1D
- 0.00%
- 1M
- 2.23%
- YTD
- 1.57%
- 6M
- 0.89%
- 1Y
- 1.93%
- 3Y*
- 1.40%
- 5Y*
- 2.90%
- 10Y*
- 0.94%
CAD=X vs. USD=X - Yearly Performance Comparison
Correlation
The correlation between CAD=X and USD=X is 1.00 - 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 | 1.00 |
Correlation (3Y) Calculated over the trailing 3-year period | 1.00 |
Correlation (5Y) Calculated over the trailing 5-year period | 1.00 |
Correlation (10Y) Calculated over the trailing 10-year period | 1.00 |
Correlation (All Time) Calculated using the full available price history since Jun 25, 2009 | 1.00 |
The correlation between CAD=X and USD=X has been stable across timeframes, ranging from 1.00 to 1.00 - a consistent structural relationship.
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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 | -0.02 | ||
| Sortino ratioReturn per unit of downside risk | -0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 1.07 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 0.35 | 0.41 | -0.06 |
| Martin ratioReturn relative to average drawdown | 0.77 | 0.90 | -0.13 |
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 | 0.38 | 0.40 | -0.02 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.41 | 0.45 | -0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.12 | 0.14 | -0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.13 | 0.14 | -0.01 |
Drawdowns
CAD=X vs. USD=X - Drawdown Comparison
The maximum CAD=X drawdown since its inception was -19.16%, roughly equal to the maximum USD=X drawdown of -19.16%. 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 | -19.16% | -19.16% | 0.00% |
Max Drawdown (1Y)Largest decline over 1 year | -4.45% | -4.45% | 0.00% |
Max Drawdown (3Y)Largest decline over 3 years | -8.31% | -8.31% | 0.00% |
Max Drawdown (5Y)Largest decline over 5 years | -8.31% | -8.31% | 0.00% |
Max Drawdown (10Y)Largest decline over 10 years | -17.11% | -17.11% | 0.00% |
Current DrawdownCurrent decline from peak | -5.27% | -5.27% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -9.30% | -9.32% | +0.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.23% | 2.40% | -0.17% |
Volatility
CAD=X vs. USD=X - Volatility Comparison
USD/CAD (CAD=X) and USD Cash (USD=X) have volatilities of 0.77% and 0.80%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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 | 0.77% | 0.80% | -0.03% |
Volatility (6M)Calculated over the trailing 6-month period | 3.11% | 3.30% | -0.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.12% | 3.81% | +0.31% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.83% | 5.32% | +0.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.41% | 5.79% | +0.62% |
Frequently Asked Questions
With a correlation of 1.00, CAD=X and USD=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.
USD=X has higher volatility (0.80%) compared to CAD=X (0.77%). In terms of maximum drawdown, CAD=X dropped -19.16% vs USD=X's -19.16%.
USD=X currently has the higher Sharpe Ratio (0.40 vs 0.38), 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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