CNY=X vs. CNYUSD=X
CNY=X (USD/CNY) and CNYUSD=X (CNY/USD) are both currencies. Over the past 10 years, CNY=X returned 0.21%/yr vs -0.02%/yr for CNYUSD=X. At a 0.05 correlation, their price movements are largely independent.
Performance
CNY=X vs. CNYUSD=X - Performance Comparison
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Different Trading Currencies
CNY=X is traded in CNY, while CNYUSD=X is traded in USD. To make them comparable, the CNYUSD=X values have been converted to CNY using the latest available exchange rates.
Returns By Period
In the year-to-date period, CNY=X achieves a -2.91% return, which is significantly lower than CNYUSD=X's -0.21% return. Over the past 10 years, CNY=X has outperformed CNYUSD=X with an annualized return of 0.21%, while CNYUSD=X has yielded a comparatively lower -0.02% annualized return.
CNY=X
- 1D
- -0.31%
- 1M
- 0.05%
- YTD
- -2.91%
- 6M
- -3.08%
- 1Y
- -5.39%
- 3Y*
- -2.10%
- 5Y*
- 1.02%
- 10Y*
- 0.21%
CNYUSD=X
- 1D
- -0.21%
- 1M
- -0.20%
- YTD
- -0.21%
- 6M
- -0.21%
- 1Y
- -0.21%
- 3Y*
- -0.07%
- 5Y*
- -0.04%
- 10Y*
- -0.02%
CNY=X vs. CNYUSD=X - Yearly Performance Comparison
Correlation
The correlation between CNY=X and CNYUSD=X is 0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.06 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.01 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since Jul 24, 2007 | 0.05 |
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Return for Risk
CNY=X vs. CNYUSD=X — Risk / Return Rank
CNY=X
CNYUSD=X
CNY=X vs. CNYUSD=X - Risk-Adjusted Trends 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.
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.
| CNY=X | CNYUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.76 | ||
| Sortino ratioReturn per unit of downside risk | -2.24 | ||
| Omega ratioGain probability vs. loss probability | 0.68 | 0.94 | -0.26 |
| Calmar ratioReturn relative to maximum drawdown | -0.69 | -0.63 | -0.06 |
| Martin ratioReturn relative to average drawdown | -1.23 | -2.58 | +1.35 |
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Drawdowns
CNY=X vs. CNYUSD=X - Drawdown Comparison
The maximum CNY=X drawdown since its inception was -20.56%, which is greater than CNYUSD=X's maximum drawdown of -1.50%. Use the drawdown chart below to compare losses from any high point for CNY=X and CNYUSD=X.
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Drawdown Indicators
| CNY=X | CNYUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.56% | -1.50% | -19.06% |
Max Drawdown (1Y)Largest decline over 1 year | -6.32% | -0.27% | -6.05% |
Max Drawdown (3Y)Largest decline over 3 years | -8.08% | -1.35% | -6.73% |
Max Drawdown (5Y)Largest decline over 5 years | -8.23% | -1.35% | -6.88% |
Max Drawdown (10Y)Largest decline over 10 years | -12.12% | -1.35% | -10.77% |
Current DrawdownCurrent decline from peak | -10.71% | -1.35% | -9.36% |
Average DrawdownAverage peak-to-trough decline | -11.68% | -0.80% | -10.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.09% | 0.06% | +3.03% |
Volatility
CNY=X vs. CNYUSD=X - Volatility Comparison
USD/CNY (CNY=X) has a higher volatility of 0.68% compared to CNY/USD (CNYUSD=X) at 0.30%. This indicates that CNY=X's price experiences larger fluctuations and is considered to be riskier than CNYUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CNY=X | CNYUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.68% | 0.30% | +0.38% |
Volatility (6M)Calculated over the trailing 6-month period | 1.87% | 0.43% | +1.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.12% | 0.54% | +1.58% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.87% | 0.83% | +3.04% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.91% | 0.69% | +3.22% |
Frequently Asked Questions
CNY=X and CNYUSD=X have a correlation of 0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CNY=X has higher volatility (0.68%) compared to CNYUSD=X (0.30%). In terms of maximum drawdown, CNY=X dropped -20.56% vs CNYUSD=X's -1.50%.
CNYUSD=X currently has the higher Sharpe Ratio (-0.31 vs -2.06), 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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