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EUR=X vs. ^GSPC
Performance
Return for Risk
Drawdowns
Volatility

EUR=X vs. ^GSPC

Last updated Jun 4, 2026

EUR=X (USD/EUR) is a currency, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, EUR=X returned -0.21%/yr vs 13.42%/yr for ^GSPC. At a 0.28 correlation, their price movements are largely independent.

Performance

EUR=X vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a €10,000 investment in USD/EUR (EUR=X) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

EUR=X is traded in EUR, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to EUR using the latest available exchange rates.

Returns By Period

In the year-to-date period, EUR=X achieves a 1.20% return, which is significantly lower than ^GSPC's 11.67% return. Over the past 10 years, EUR=X has underperformed ^GSPC with an annualized return of -0.21%, while ^GSPC has yielded a comparatively higher 13.42% annualized return.

EUR=X

1D
0.22%
1M
0.71%
YTD
1.20%
6M
0.55%
1Y
-1.99%
3Y*
-2.65%
5Y*
0.94%
10Y*
-0.21%

^GSPC

1D
-0.52%
1M
5.65%
YTD
11.67%
6M
10.88%
1Y
24.00%
3Y*
17.62%
5Y*
13.35%
10Y*
13.42%
*Multi-year figures are annualized to reflect compound growth (CAGR)

EUR=X vs. ^GSPC - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
EUR=X
USD/EUR		1.20%-11.87%6.60%-3.00%6.20%7.48%-8.24%2.26%4.69%-12.29%
^GSPC
S&P 500 Index		11.67%2.58%31.45%20.51%-14.45%36.38%6.68%31.79%-1.84%4.74%

Correlation

The correlation between EUR=X and ^GSPC 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

0.26

Correlation (5Y)
Calculated over the trailing 5-year period

0.18

Correlation (10Y)
Calculated over the trailing 10-year period

0.30

Correlation (All Time)
Calculated using the full available price history since Aug 27, 2007

0.28

The correlation between EUR=X and ^GSPC shifts across timeframes, from 0.18 (5 years) to 0.30 (10 years), reflecting how their relationship changes across market environments.

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USD/EUR

S&P 500 Index

Often compared with EUR=X:
EUR=X vs. USD=XEUR=X vs. ^STOXXEUR=X vs. GBP=XEUR=X vs. GLDEUR=X vs. QQQEUR=X vs. TLTEUR=X vs. USDX
Often compared with ^GSPC:
^GSPC vs. ^IBEX^GSPC vs. AVGO^GSPC vs. SCHD^GSPC vs. TSMU^GSPC vs. GC=F^GSPC vs. QQQ^GSPC vs. ACWI

Return for Risk

EUR=X vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
EUR=X
EUR=X Risk / Return Rank: 3030
Overall Rank
EUR=X Sharpe Ratio Rank: 3232
Sharpe Ratio Rank
EUR=X Sortino Ratio Rank: 3232
Sortino Ratio Rank
EUR=X Omega Ratio Rank: 3232
Omega Ratio Rank
EUR=X Calmar Ratio Rank: 2727
Calmar Ratio Rank
EUR=X Martin Ratio Rank: 2828
Martin Ratio Rank
^GSPC
^GSPC Risk / Return Rank: 7373
Overall Rank
^GSPC Sharpe Ratio Rank: 7171
Sharpe Ratio Rank
^GSPC Sortino Ratio Rank: 7171
Sortino Ratio Rank
^GSPC Omega Ratio Rank: 7272
Omega Ratio Rank
^GSPC Calmar Ratio Rank: 6767
Calmar Ratio Rank
^GSPC Martin Ratio Rank: 8181
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EUR=X vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/EUR (EUR=X) and S&P 500 Index (^GSPC). 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.

EUR=X^GSPCDifference

Sharpe ratio

Return per unit of total volatility

-0.27

1.96

-2.23

Sortino ratio

Return per unit of downside risk

-0.34

2.57

-2.90

Omega ratio

Gain probability vs. loss probability

0.96

1.36

-0.40

Calmar ratio

Return relative to maximum drawdown

-0.30

3.19

-3.48

Martin ratio

Return relative to average drawdown

-0.64

11.89

-12.53

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EUR=X vs. ^GSPC - Sharpe Ratio Comparison

The current EUR=X Sharpe Ratio is -0.27, which is lower than the ^GSPC Sharpe Ratio of 1.96. The chart below compares the historical Sharpe Ratios of EUR=X and ^GSPC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

EUR=X^GSPCDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

-0.27

1.96

-2.23

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.12

0.80

-0.68

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

-0.03

0.72

-0.75

Sharpe Ratio (All Time)

Calculated using the full available price history

0.09

0.51

-0.41

Drawdowns

EUR=X vs. ^GSPC - Drawdown Comparison

The maximum EUR=X drawdown since its inception was -20.32%, smaller than the maximum ^GSPC drawdown of -51.62%. Use the drawdown chart below to compare losses from any high point for EUR=X and ^GSPC.

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Drawdown Indicators

EUR=X^GSPCDifference

Max Drawdown

Largest peak-to-trough decline

-20.32%

-51.62%

+31.30%

Max Drawdown (1Y)

Largest decline over 1 year

-5.39%

-7.57%

+2.18%

Max Drawdown (3Y)

Largest decline over 3 years

-15.23%

-23.99%

+8.76%

Max Drawdown (5Y)

Largest decline over 5 years

-20.32%

-23.99%

+3.67%

Max Drawdown (10Y)

Largest decline over 10 years

-20.32%

-33.42%

+13.10%

Current Drawdown

Current decline from peak

-17.33%

-0.52%

-16.81%

Average Drawdown

Average peak-to-trough decline

-9.57%

-9.08%

-0.49%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.80%

2.02%

-0.22%

Volatility

EUR=X vs. ^GSPC - Volatility Comparison

The current volatility for USD/EUR (EUR=X) is 1.10%, while S&P 500 Index (^GSPC) has a volatility of 2.40%. This indicates that EUR=X experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

EUR=X^GSPCDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.10%

2.40%

-1.30%

Volatility (6M)

Calculated over the trailing 6-month period

4.38%

8.64%

-4.26%

Volatility (1Y)

Calculated over the trailing 1-year period

5.89%

12.35%

-6.46%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

7.33%

16.80%

-9.47%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

7.20%

18.59%

-11.39%

Frequently Asked Questions

EUR=X and ^GSPC 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.

^GSPC has higher volatility (2.40%) compared to EUR=X (1.10%). In terms of maximum drawdown, EUR=X dropped -20.32% vs ^GSPC's -51.62%.

^GSPC currently has the higher Sharpe Ratio (1.96 vs -0.27), 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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