CNYUSD=X vs. CNY=X
CNYUSD=X (CNY/USD) and CNY=X (USD/CNY) are both currencies. Over the past 10 years, CNYUSD=X returned -0.29%/yr vs 0.01%/yr for CNY=X. At a 0.20 correlation, their price movements are largely independent.
Performance
CNYUSD=X vs. CNY=X - Performance Comparison
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Different Trading Currencies
CNYUSD=X is traded in USD, while CNY=X is traded in CNY. To make them comparable, the CNY=X values have been converted to USD using the latest available exchange rates.
Returns By Period
In the year-to-date period, CNYUSD=X achieves a 3.45% return, which is significantly higher than CNY=X's 0.08% return. Over the past 10 years, CNYUSD=X has underperformed CNY=X with an annualized return of -0.29%, while CNY=X has yielded a comparatively higher 0.01% annualized return.
CNYUSD=X
- 1D
- 0.07%
- 1M
- 0.96%
- YTD
- 3.45%
- 6M
- 4.59%
- 1Y
- 6.50%
- 3Y*
- 1.57%
- 5Y*
- -1.08%
- 10Y*
- -0.29%
CNY=X
- 1D
- 0.08%
- 1M
- 0.04%
- YTD
- 0.08%
- 6M
- 0.08%
- 1Y
- 0.08%
- 3Y*
- 0.03%
- 5Y*
- 0.01%
- 10Y*
- 0.01%
CNYUSD=X vs. CNY=X - Yearly Performance Comparison
Correlation
The correlation between CNYUSD=X and CNY=X is 0.19, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.12 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.11 |
Correlation (All Time) Calculated using the full available price history since Jun 27, 2007 | 0.20 |
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Return for Risk
CNYUSD=X vs. CNY=X — Risk / Return Rank
CNYUSD=X
CNY=X
CNYUSD=X vs. CNY=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CNY/USD (CNYUSD=X) and USD/CNY (CNY=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.
| CNYUSD=X | CNY=X | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.43 | 0.13 | +2.30 |
Sortino ratioReturn per unit of downside risk | 3.90 | 0.19 | +3.72 |
Omega ratioGain probability vs. loss probability | 1.55 | 1.03 | +0.52 |
Calmar ratioReturn relative to maximum drawdown | 5.60 | 0.30 | +5.30 |
Martin ratioReturn relative to average drawdown | 19.93 | 1.05 | +18.88 |
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
| CNYUSD=X | CNY=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.43 | 0.13 | +2.30 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.25 | 0.02 | -0.27 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.07 | 0.01 | -0.08 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.19 | 0.02 | +0.17 |
Drawdowns
CNYUSD=X vs. CNY=X - Drawdown Comparison
The maximum CNYUSD=X drawdown since its inception was -17.74%, which is greater than CNY=X's maximum drawdown of -1.50%. Use the drawdown chart below to compare losses from any high point for CNYUSD=X and CNY=X.
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Drawdown Indicators
| CNYUSD=X | CNY=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.74% | -1.50% | -16.24% |
Max Drawdown (1Y)Largest decline over 1 year | -1.12% | -0.21% | -0.91% |
Max Drawdown (3Y)Largest decline over 3 years | -4.47% | -1.30% | -3.17% |
Max Drawdown (5Y)Largest decline over 5 years | -14.09% | -1.30% | -12.79% |
Max Drawdown (10Y)Largest decline over 10 years | -14.70% | -1.30% | -13.40% |
Current DrawdownCurrent decline from peak | -10.64% | -1.07% | -9.57% |
Average DrawdownAverage peak-to-trough decline | -6.88% | -0.79% | -6.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.32% | 0.05% | +0.27% |
Volatility
CNYUSD=X vs. CNY=X - Volatility Comparison
CNY/USD (CNYUSD=X) has a higher volatility of 0.58% compared to USD/CNY (CNY=X) at 0.23%. This indicates that CNYUSD=X's price experiences larger fluctuations and is considered to be riskier than CNY=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CNYUSD=X | CNY=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.58% | 0.23% | +0.35% |
Volatility (6M)Calculated over the trailing 6-month period | 1.77% | 0.33% | +1.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.14% | 0.49% | +1.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.94% | 0.83% | +3.11% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.94% | 0.68% | +3.26% |
Frequently Asked Questions
CNYUSD=X and CNY=X have a correlation of 0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CNYUSD=X has higher volatility (0.58%) compared to CNY=X (0.23%). In terms of maximum drawdown, CNYUSD=X dropped -17.74% vs CNY=X's -1.50%.
CNYUSD=X currently has the higher Sharpe Ratio (2.43 vs 0.13), 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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