CNY=X vs. USD=X
Compare and contrast key facts about USD/CNY (CNY=X) and USD Cash (USD=X).
Performance
CNY=X vs. USD=X - Performance Comparison
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CNY=X vs. USD=X - Yearly Performance Comparison
Different Trading Currencies
CNY=X is traded in CNY, while USD=X is traded in USD. To make them comparable, the USD=X values have been converted to CNY using the latest available exchange rates.
Returns By Period
As of year-to-date, both investments have demonstrated similar returns, with CNY=X at -1.58% and USD=X at -1.58%. Over a longer period, both investments have demonstrated similar performance, with their 10-year annualized returns being quite close: CNY=X at 0.61% and USD=X at 0.61%.
CNY=X
- 1D
- -0.22%
- 1M
- 0.01%
- YTD
- -1.58%
- 6M
- -3.32%
- 1Y
- -5.33%
- 3Y*
- 0.07%
- 5Y*
- 0.95%
- 10Y*
- 0.61%
USD=X
- 1D
- 0.00%
- 1M
- -0.25%
- YTD
- -1.58%
- 6M
- -3.32%
- 1Y
- -5.30%
- 3Y*
- 0.02%
- 5Y*
- 0.95%
- 10Y*
- 0.61%
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Return for Risk
CNY=X vs. USD=X — Risk / Return Rank
CNY=X
USD=X
CNY=X vs. USD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/CNY (CNY=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.
| CNY=X | USD=X | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -1.86 | -2.12 | +0.26 |
Sortino ratioReturn per unit of downside risk | -2.35 | -2.70 | +0.35 |
Omega ratioGain probability vs. loss probability | 0.70 | 0.69 | +0.01 |
Calmar ratioReturn relative to maximum drawdown | -0.84 | -1.11 | +0.27 |
Martin ratioReturn relative to average drawdown | -1.73 | -2.11 | +0.37 |
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
| CNY=X | USD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.86 | -2.12 | +0.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.23 | 0.23 | -0.01 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.15 | 0.15 | 0.00 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.18 | -0.19 | 0.00 |
Correlation
The correlation between CNY=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
CNY=X vs. USD=X - Drawdown Comparison
The maximum CNY=X drawdown since its inception was -21.90%, roughly equal to the maximum USD=X drawdown of -21.90%. Use the drawdown chart below to compare losses from any high point for CNY=X and USD=X.
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Drawdown Indicators
| CNY=X | USD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -21.90% | 0.00% | -21.90% |
Max Drawdown (1Y)Largest decline over 1 year | -6.93% | 0.00% | -6.93% |
Max Drawdown (5Y)Largest decline over 5 years | -8.23% | 0.00% | -8.23% |
Max Drawdown (10Y)Largest decline over 10 years | -12.12% | 0.00% | -12.12% |
Current DrawdownCurrent decline from peak | -11.01% | 0.00% | -11.01% |
Average DrawdownAverage peak-to-trough decline | -13.01% | 0.00% | -13.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.49% | 0.00% | +2.49% |
Volatility
CNY=X vs. USD=X - Volatility Comparison
The current volatility for USD/CNY (CNY=X) is 1.08%, while USD Cash (USD=X) has a volatility of 1.14%. This indicates that CNY=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
| CNY=X | USD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.08% | 1.14% | -0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 1.56% | 1.75% | -0.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.33% | 2.15% | +0.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.91% | 3.37% | +0.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.92% | 3.35% | +0.57% |