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.
Performance
EUR=X vs. BZ=F - Performance Comparison
Returns By Period
In the year-to-date period, EUR=X achieves a 4.61% return, which is significantly higher than BZ=F's -4.87% return. Over the past 10 years, EUR=X has outperformed BZ=F with an annualized return of 1.53%, while BZ=F has yielded a comparatively lower -0.88% annualized return.
EUR=X
4.61%
2.52%
2.59%
3.43%
0.82%
1.53%
BZ=F
-4.87%
-0.85%
-10.51%
-11.11%
2.80%
-0.88%
Key characteristics
| EUR=X | BZ=F | |
|---|---|---|
| Sharpe Ratio | 0.53 | -0.26 |
| Sortino Ratio | 0.86 | -0.19 |
| Omega Ratio | 1.10 | 0.98 |
| Calmar Ratio | 0.11 | -0.12 |
| Martin Ratio | 1.18 | -0.53 |
| Ulcer Index | 2.39% | 11.97% |
| Daily Std Dev | 5.43% | 25.34% |
| Max Drawdown | -48.28% | -86.77% |
| Current Drawdown | -21.60% | -49.83% |
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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.
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 0.13%, while Crude Oil Brent (BZ=F) has a volatility of 6.79%. 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.