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EUR=X vs. GLD
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Risk-Adjusted Performance
Drawdowns
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Performance

EUR=X vs. GLD - Performance Comparison

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

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember0
14.24%
EUR=X
GLD

Returns By Period

In the year-to-date period, EUR=X achieves a 5.44% return, which is significantly lower than GLD's 29.03% return. Over the past 10 years, EUR=X has underperformed GLD with an annualized return of 1.65%, while GLD has yielded a comparatively higher 7.94% annualized return.


EUR=X

YTD

5.44%

1M

3.17%

6M

3.32%

1Y

4.03%

5Y (annualized)

0.96%

10Y (annualized)

1.65%

GLD

YTD

29.03%

1M

-2.86%

6M

14.34%

1Y

33.65%

5Y (annualized)

12.39%

10Y (annualized)

7.94%

Key characteristics


EUR=XGLD
Sharpe Ratio0.662.23
Sortino Ratio1.062.97
Omega Ratio1.131.39
Calmar Ratio0.134.07
Martin Ratio1.4713.12
Ulcer Index2.39%2.52%
Daily Std Dev5.46%14.86%
Max Drawdown-48.28%-45.56%
Current Drawdown-20.98%-4.21%

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Correlation

-0.50.00.51.00.0

The correlation between EUR=X and GLD is 0.03, 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. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/EUR (EUR=X) and SPDR Gold Trust (GLD). 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 -0.01, compared to the broader market-1.00-0.500.000.501.001.50-0.012.24
The chart of Sortino ratio for EUR=X, currently valued at -0.01, compared to the broader market0.0050.00100.00150.00200.00250.00-0.013.01
The chart of Omega ratio for EUR=X, currently valued at 1.00, compared to the broader market10.0020.0030.0040.0050.0060.001.001.44
The chart of Calmar ratio for EUR=X, currently valued at -0.01, compared to the broader market0.00100.00200.00300.00400.00500.00-0.013.81
The chart of Martin ratio for EUR=X, currently valued at -0.07, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.0712.51
EUR=X
GLD

The current EUR=X Sharpe Ratio is 0.66, which is lower than the GLD Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of EUR=X and GLD, 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-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
-0.01
2.24
EUR=X
GLD

Drawdowns

EUR=X vs. GLD - Drawdown Comparison

The maximum EUR=X drawdown since its inception was -48.28%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for EUR=X and GLD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.62%
-4.21%
EUR=X
GLD

Volatility

EUR=X vs. GLD - Volatility Comparison

The current volatility for USD/EUR (EUR=X) is 0.13%, while SPDR Gold Trust (GLD) has a volatility of 5.54%. This indicates that EUR=X experiences smaller price fluctuations and is considered to be less risky than GLD 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%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.13%
5.54%
EUR=X
GLD