EUR=X vs. BZ=F
Compare and contrast key facts about USD/EUR (EUR=X) and Crude Oil Brent (BZ=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EUR=X or BZ=F.
Key characteristics
| EUR=X | BZ=F | |
|---|---|---|
| YTD Return | 2.96% | -4.11% |
| 1Y Return | -0.48% | -7.67% |
| 3Y Return (Ann) | 2.38% | -4.20% |
| 5Y Return (Ann) | 0.51% | 3.23% |
| 10Y Return (Ann) | 1.44% | -0.96% |
| Sharpe Ratio | 0.41 | -0.17 |
| Sortino Ratio | 0.67 | -0.06 |
| Omega Ratio | 1.08 | 0.99 |
| Calmar Ratio | 0.08 | -0.08 |
| Martin Ratio | 0.90 | -0.37 |
| Ulcer Index | 2.39% | 11.24% |
| Daily Std Dev | 5.58% | 25.73% |
| Max Drawdown | -48.28% | -86.77% |
| Current Drawdown | -22.84% | -49.43% |
Correlation
The correlation between EUR=X and BZ=F is 0.02, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
EUR=X vs. BZ=F - Performance Comparison
In the year-to-date period, EUR=X achieves a 2.96% return, which is significantly higher than BZ=F's -4.11% return. Over the past 10 years, EUR=X has outperformed BZ=F with an annualized return of 1.44%, while BZ=F has yielded a comparatively lower -0.96% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
EUR=X vs. BZ=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/EUR (EUR=X) and Crude Oil Brent (BZ=F). 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.
Drawdowns
EUR=X vs. BZ=F - Drawdown Comparison
The maximum EUR=X drawdown since its inception was -48.28%, smaller than the maximum BZ=F drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for EUR=X and BZ=F. For additional features, visit the drawdowns tool.
Volatility
EUR=X vs. BZ=F - Volatility Comparison
The current volatility for USD/EUR (EUR=X) is 0.12%, while Crude Oil Brent (BZ=F) has a volatility of 8.52%. This indicates that EUR=X experiences smaller price fluctuations and is considered to be less risky than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.