PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EUR=X vs. GBP=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EUR=X and GBP=X is 0.00, 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.


-0.50.00.51.00.0

Performance

EUR=X vs. GBP=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/EUR (EUR=X) and USD/GBP (GBP=X). The values are adjusted to include any dividend payments, if applicable.

-1.00%-0.50%0.00%0.50%1.00%JulyAugustSeptemberOctoberNovemberDecember
-0.02%
0.66%
EUR=X
GBP=X

Key characteristics

Sharpe Ratio

EUR=X:

0.70

GBP=X:

0.14

Sortino Ratio

EUR=X:

1.11

GBP=X:

0.25

Omega Ratio

EUR=X:

1.13

GBP=X:

1.03

Calmar Ratio

EUR=X:

0.15

GBP=X:

0.04

Martin Ratio

EUR=X:

1.65

GBP=X:

0.20

Ulcer Index

EUR=X:

2.36%

GBP=X:

4.06%

Daily Std Dev

EUR=X:

5.50%

GBP=X:

5.63%

Max Drawdown

EUR=X:

-48.28%

GBP=X:

-34.89%

Current Drawdown

EUR=X:

-20.70%

GBP=X:

-14.17%

Returns By Period

In the year-to-date period, EUR=X achieves a 5.81% return, which is significantly higher than GBP=X's 1.87% return. Over the past 10 years, EUR=X has underperformed GBP=X with an annualized return of 1.47%, while GBP=X has yielded a comparatively higher 1.84% annualized return.


EUR=X

YTD

5.81%

1M

1.09%

6M

2.51%

1Y

5.55%

5Y*

1.12%

10Y*

1.47%

GBP=X

YTD

1.87%

1M

1.57%

6M

1.29%

1Y

1.14%

5Y*

0.64%

10Y*

1.84%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

EUR=X vs. GBP=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/EUR (EUR=X) and USD/GBP (GBP=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.


Sharpe ratio
The chart of Sharpe ratio for EUR=X, currently valued at -0.00, compared to the broader market0.002.004.006.008.0010.00-0.000.03
The chart of Sortino ratio for EUR=X, currently valued at 0.00, compared to the broader market0.0010.0020.0030.0040.000.000.10
The chart of Omega ratio for EUR=X, currently valued at 1.00, compared to the broader market2.004.006.008.0010.001.001.01
The chart of Calmar ratio for EUR=X, currently valued at -0.00, compared to the broader market0.0020.0040.0060.0080.00-0.000.06
The chart of Martin ratio for EUR=X, currently valued at -0.01, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.010.28
EUR=X
GBP=X

The current EUR=X Sharpe Ratio is 0.70, which is higher than the GBP=X Sharpe Ratio of 0.14. The chart below compares the historical Sharpe Ratios of EUR=X and GBP=X, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.20-0.100.000.100.200.30JulyAugustSeptemberOctoberNovemberDecember
-0.00
0.03
EUR=X
GBP=X

Drawdowns

EUR=X vs. GBP=X - Drawdown Comparison

The maximum EUR=X drawdown since its inception was -48.28%, which is greater than GBP=X's maximum drawdown of -34.89%. Use the drawdown chart below to compare losses from any high point for EUR=X and GBP=X. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%JulyAugustSeptemberOctoberNovemberDecember
-0.62%
-2.47%
EUR=X
GBP=X

Volatility

EUR=X vs. GBP=X - Volatility Comparison

The current volatility for USD/EUR (EUR=X) is 0.18%, while USD/GBP (GBP=X) has a volatility of 2.54%. This indicates that EUR=X experiences smaller price fluctuations and is considered to be less risky than GBP=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%JulyAugustSeptemberOctoberNovemberDecember
0.18%
2.54%
EUR=X
GBP=X
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab