CNY=X vs. USD=X
CNY=X (USD/CNY) and USD=X (USD Cash) are both currencies. Over the past 10 years, CNY=X returned 0.32%/yr vs 0.32%/yr for USD=X. With a 1.00 correlation, they move nearly in lockstep.
Performance
CNY=X vs. USD=X - Performance Comparison
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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 -3.12% and USD=X at -3.12%. Over a longer period, both investments have demonstrated similar performance, with their 10-year annualized returns being quite close: CNY=X at 0.32% and USD=X at 0.32%.
CNY=X
- 1D
- 0.14%
- 1M
- -0.81%
- YTD
- -3.12%
- 6M
- -4.09%
- 1Y
- -5.74%
- 3Y*
- -1.47%
- 5Y*
- 1.16%
- 10Y*
- 0.32%
USD=X
- 1D
- 0.00%
- 1M
- -0.81%
- YTD
- -3.12%
- 6M
- -4.09%
- 1Y
- -5.74%
- 3Y*
- -1.56%
- 5Y*
- 1.16%
- 10Y*
- 0.32%
CNY=X vs. USD=X - Yearly Performance Comparison
Correlation
The correlation between CNY=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 27, 2007 | 1.00 |
The correlation between CNY=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
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 | -2.18 | -2.40 | +0.22 |
Sortino ratioReturn per unit of downside risk | -2.78 | -3.08 | +0.30 |
Omega ratioGain probability vs. loss probability | 0.66 | 0.67 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | -0.75 | -0.92 | +0.17 |
Martin ratioReturn relative to average drawdown | -1.45 | -1.78 | +0.32 |
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 | -2.18 | -2.40 | +0.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.28 | 0.29 | -0.01 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.08 | 0.08 | 0.00 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.19 | -0.19 | 0.00 |
Drawdowns
CNY=X vs. USD=X - Drawdown Comparison
The maximum CNY=X drawdown since its inception was -20.72%, roughly equal to the maximum USD=X drawdown of -20.72%. 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 | -20.72% | -20.72% | 0.00% |
Max Drawdown (1Y)Largest decline over 1 year | -6.19% | -6.19% | 0.00% |
Max Drawdown (3Y)Largest decline over 3 years | -7.95% | -7.95% | 0.00% |
Max Drawdown (5Y)Largest decline over 5 years | -8.23% | -8.23% | 0.00% |
Max Drawdown (10Y)Largest decline over 10 years | -12.12% | -12.12% | 0.00% |
Current DrawdownCurrent decline from peak | -11.08% | -11.08% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -11.82% | -11.88% | +0.06% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.26% | 2.98% | +0.28% |
Volatility
CNY=X vs. USD=X - Volatility Comparison
The current volatility for USD/CNY (CNY=X) is 0.65%, while USD Cash (USD=X) has a volatility of 0.71%. 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 | 0.65% | 0.71% | -0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 1.78% | 1.83% | -0.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.14% | 1.98% | +0.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.88% | 3.36% | +0.52% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.92% | 3.35% | +0.57% |
Frequently Asked Questions
With a correlation of 1.00, CNY=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 (0.71%) compared to CNY=X (0.65%). In terms of maximum drawdown, CNY=X dropped -20.72% vs USD=X's -20.72%.
CNY=X currently has the higher Sharpe Ratio (-2.18 vs -2.40), 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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