EUR=X vs. GBP=X
EUR=X (USD/EUR) and GBP=X (USD/GBP) are both currencies. Over the past 10 years, EUR=X returned -0.14%/yr vs -0.15%/yr for GBP=X. With a 0.98 correlation, they move nearly in lockstep.
Performance
EUR=X vs. GBP=X - Performance Comparison
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Different Trading Currencies
EUR=X is traded in EUR, while GBP=X is traded in GBP. To make them comparable, the GBP=X values have been converted to EUR using the latest available exchange rates.
Returns By Period
The year-to-date returns for both investments are quite close, with EUR=X having a 1.96% return and GBP=X slightly higher at 2.02%. Over the past 10 years, EUR=X has outperformed GBP=X with an annualized return of -0.14%, while GBP=X has yielded a comparatively lower -0.15% annualized return.
EUR=X
- 1D
- 0.80%
- 1M
- 1.97%
- YTD
- 1.96%
- 6M
- 1.05%
- 1Y
- -0.66%
- 3Y*
- -2.45%
- 5Y*
- 1.09%
- 10Y*
- -0.14%
GBP=X
- 1D
- 0.73%
- 1M
- 1.90%
- YTD
- 2.02%
- 6M
- 0.98%
- 1Y
- -0.70%
- 3Y*
- -2.48%
- 5Y*
- 1.09%
- 10Y*
- -0.15%
EUR=X vs. GBP=X - Yearly Performance Comparison
Correlation
The correlation between EUR=X and GBP=X is 0.98 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.98 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.97 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.98 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.98 |
Correlation (All Time) Calculated using the full available price history since Aug 29, 2007 | 0.98 |
The correlation between EUR=X and GBP=X has been stable across timeframes, ranging from 0.97 to 0.98 - a consistent structural relationship.
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Return for Risk
EUR=X vs. GBP=X — Risk / Return Rank
EUR=X
GBP=X
EUR=X vs. GBP=X - Risk-Adjusted Trends 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.
| EUR=X | GBP=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 0.00 | ||
| Sortino ratioReturn per unit of downside risk | +0.01 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 0.99 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | -0.10 | -0.10 | +0.01 |
| Martin ratioReturn relative to average drawdown | -0.21 | -0.22 | +0.01 |
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
| EUR=X | GBP=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.09 | -0.09 | 0.00 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.13 | 0.14 | 0.00 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.02 | -0.02 | 0.00 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.09 | 0.09 | 0.00 |
Drawdowns
EUR=X vs. GBP=X - Drawdown Comparison
The maximum EUR=X drawdown since its inception was -20.32%, roughly equal to the maximum GBP=X drawdown of -20.35%. Use the drawdown chart below to compare losses from any high point for EUR=X and GBP=X.
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Drawdown Indicators
| EUR=X | GBP=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.32% | -20.35% | +0.03% |
Max Drawdown (1Y)Largest decline over 1 year | -5.39% | -5.42% | +0.03% |
Max Drawdown (3Y)Largest decline over 3 years | -15.23% | -14.94% | -0.29% |
Max Drawdown (5Y)Largest decline over 5 years | -20.32% | -20.35% | +0.03% |
Max Drawdown (10Y)Largest decline over 10 years | -20.32% | -20.35% | +0.03% |
Current DrawdownCurrent decline from peak | -16.71% | -16.77% | +0.06% |
Average DrawdownAverage peak-to-trough decline | -9.58% | -9.57% | -0.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.80% | 1.84% | -0.04% |
Volatility
EUR=X vs. GBP=X - Volatility Comparison
USD/EUR (EUR=X) has a higher volatility of 1.25% compared to USD/GBP (GBP=X) at 1.16%. This indicates that EUR=X's price experiences larger fluctuations and is considered to be riskier than GBP=X 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 | GBP=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.25% | 1.16% | +0.09% |
Volatility (6M)Calculated over the trailing 6-month period | 4.44% | 4.54% | -0.10% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.90% | 5.96% | -0.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.33% | 7.43% | -0.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.20% | 7.34% | -0.14% |
Frequently Asked Questions
With a correlation of 0.98, EUR=X and GBP=X move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
EUR=X has higher volatility (1.25%) compared to GBP=X (1.16%). In terms of maximum drawdown, EUR=X dropped -20.32% vs GBP=X's -20.35%.
EUR=X currently has the higher Sharpe Ratio (-0.09 vs -0.09), 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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