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CNY=X vs. CNYUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between CNY=X and CNYUSD=X is 0.16, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

CNY=X vs. CNYUSD=X - Performance Comparison

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

-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2025February
-0.07%
-13.28%
CNY=X
CNYUSD=X

Key characteristics

Sharpe Ratio

CNY=X:

0.28

CNYUSD=X:

-0.25

Sortino Ratio

CNY=X:

0.41

CNYUSD=X:

-0.34

Omega Ratio

CNY=X:

1.07

CNYUSD=X:

0.95

Calmar Ratio

CNY=X:

0.05

CNYUSD=X:

-0.05

Martin Ratio

CNY=X:

0.68

CNYUSD=X:

-0.38

Ulcer Index

CNY=X:

1.32%

CNYUSD=X:

2.07%

Daily Std Dev

CNY=X:

3.08%

CNYUSD=X:

3.15%

Max Drawdown

CNY=X:

-30.66%

CNYUSD=X:

-17.70%

Current Drawdown

CNY=X:

-16.76%

CNYUSD=X:

-16.74%

Returns By Period

In the year-to-date period, CNY=X achieves a -0.64% return, which is significantly lower than CNYUSD=X's 0.58% return. Over the past 10 years, CNY=X has outperformed CNYUSD=X with an annualized return of 1.44%, while CNYUSD=X has yielded a comparatively lower -1.43% annualized return.


CNY=X

YTD

-0.64%

1M

-1.06%

6M

1.23%

1Y

0.83%

5Y*

0.72%

10Y*

1.44%

CNYUSD=X

YTD

0.58%

1M

1.03%

6M

-1.29%

1Y

-0.86%

5Y*

-0.73%

10Y*

-1.43%

*Annualized

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Risk-Adjusted Performance

CNY=X vs. CNYUSD=X — Risk-Adjusted Performance Rank

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

CNY=X
The Risk-Adjusted Performance Rank of CNY=X is 6464
Overall Rank
The Sharpe Ratio Rank of CNY=X is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of CNY=X is 6363
Sortino Ratio Rank
The Omega Ratio Rank of CNY=X is 7070
Omega Ratio Rank
The Calmar Ratio Rank of CNY=X is 5959
Calmar Ratio Rank
The Martin Ratio Rank of CNY=X is 6363
Martin Ratio Rank

CNYUSD=X
The Risk-Adjusted Performance Rank of CNYUSD=X is 2828
Overall Rank
The Sharpe Ratio Rank of CNYUSD=X is 2929
Sharpe Ratio Rank
The Sortino Ratio Rank of CNYUSD=X is 2626
Sortino Ratio Rank
The Omega Ratio Rank of CNYUSD=X is 2424
Omega Ratio Rank
The Calmar Ratio Rank of CNYUSD=X is 2727
Calmar Ratio Rank
The Martin Ratio Rank of CNYUSD=X is 3333
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

CNY=X vs. CNYUSD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/CNY (CNY=X) and CNY/USD (CNYUSD=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.


Sharpe ratio
The chart of Sharpe ratio for CNY=X, currently valued at -0.10, compared to the broader market0.002.004.006.008.00-0.10-0.29
The chart of Sortino ratio for CNY=X, currently valued at -0.14, compared to the broader market0.0010.0020.0030.00-0.14-0.41
The chart of Omega ratio for CNY=X, currently valued at 0.98, compared to the broader market2.004.006.008.000.980.94
The chart of Calmar ratio for CNY=X, currently valued at -0.16, compared to the broader market0.0020.0040.0060.00-0.16-0.05
The chart of Martin ratio for CNY=X, currently valued at -1.16, compared to the broader market0.00100.00200.00300.00400.00500.00-1.16-0.45
CNY=X
CNYUSD=X

The current CNY=X Sharpe Ratio is 0.28, which is higher than the CNYUSD=X Sharpe Ratio of -0.25. The chart below compares the historical Sharpe Ratios of CNY=X and CNYUSD=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.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.50SeptemberOctoberNovemberDecember2025February
-0.10
-0.29
CNY=X
CNYUSD=X

Drawdowns

CNY=X vs. CNYUSD=X - Drawdown Comparison

The maximum CNY=X drawdown since its inception was -30.66%, which is greater than CNYUSD=X's maximum drawdown of -17.70%. Use the drawdown chart below to compare losses from any high point for CNY=X and CNYUSD=X. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2025February
-0.31%
-16.74%
CNY=X
CNYUSD=X

Volatility

CNY=X vs. CNYUSD=X - Volatility Comparison

The current volatility for USD/CNY (CNY=X) is 0.12%, while CNY/USD (CNYUSD=X) has a volatility of 1.06%. This indicates that CNY=X experiences smaller price fluctuations and is considered to be less risky than CNYUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%SeptemberOctoberNovemberDecember2025February
0.12%
1.06%
CNY=X
CNYUSD=X
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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