CADUSD=X vs. USD=X
CADUSD=X (CAD/USD) and USD=X (USD Cash) are both currencies. Over the past 10 years, CADUSD=X returned -0.89%/yr vs 0.00%/yr for USD=X.
Performance
CADUSD=X vs. USD=X - Performance Comparison
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Returns By Period
CADUSD=X
- 1D
- -0.25%
- 1M
- -2.20%
- YTD
- -1.54%
- 6M
- -0.87%
- 1Y
- -1.90%
- 3Y*
- -1.30%
- 5Y*
- -2.84%
- 10Y*
- -0.89%
USD=X
- 1D
- 0.00%
- 1M
- 0.00%
- YTD
- 0.00%
- 6M
- 0.00%
- 1Y
- 0.00%
- 3Y*
- 0.00%
- 5Y*
- 0.00%
- 10Y*
- 0.00%
CADUSD=X vs. USD=X - Yearly Performance Comparison
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Return for Risk
CADUSD=X vs. USD=X — Risk / Return Rank
CADUSD=X
USD=X
CADUSD=X vs. USD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CAD/USD (CADUSD=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.
| CADUSD=X | USD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | — | |
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | 0.94 | — | — |
| Calmar ratioReturn relative to maximum drawdown | -0.40 | — | — |
| Martin ratioReturn relative to average drawdown | -0.77 | — | — |
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
| CADUSD=X | USD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.38 | — | — |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.42 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.12 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.07 | — | — |
Drawdowns
CADUSD=X vs. USD=X - Drawdown Comparison
The maximum CADUSD=X drawdown since its inception was -35.27%, which is greater than USD=X's maximum drawdown of 0.00%. Use the drawdown chart below to compare losses from any high point for CADUSD=X and USD=X.
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Drawdown Indicators
| CADUSD=X | USD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.27% | 0.00% | -35.27% |
Max Drawdown (1Y)Largest decline over 1 year | -3.87% | 0.00% | -3.87% |
Max Drawdown (3Y)Largest decline over 3 years | -9.73% | 0.00% | -9.73% |
Max Drawdown (5Y)Largest decline over 5 years | -16.82% | 0.00% | -16.82% |
Max Drawdown (10Y)Largest decline over 10 years | -17.16% | 0.00% | -17.16% |
Current DrawdownCurrent decline from peak | -32.32% | 0.00% | -32.32% |
Average DrawdownAverage peak-to-trough decline | -21.29% | 0.00% | -21.29% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.62% | 0.00% | +1.62% |
Volatility
CADUSD=X vs. USD=X - Volatility Comparison
CAD/USD (CADUSD=X) has a higher volatility of 0.78% compared to USD Cash (USD=X) at 0.00%. This indicates that CADUSD=X's price experiences larger fluctuations and is considered to be riskier 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
| CADUSD=X | USD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.78% | 0.00% | +0.78% |
Volatility (6M)Calculated over the trailing 6-month period | 3.03% | 0.00% | +3.03% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.04% | 0.00% | +4.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.82% | 0.00% | +5.82% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.22% | 0.00% | +6.22% |
Frequently Asked Questions
CADUSD=X has higher volatility (0.78%) compared to USD=X (0.00%). In terms of maximum drawdown, CADUSD=X dropped -35.27% vs USD=X's 0.00%.
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