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

Key characteristics


EUR=XGLD
YTD Return3.98%25.57%
1Y Return0.79%32.98%
3Y Return (Ann)2.30%11.27%
5Y Return (Ann)0.70%11.66%
10Y Return (Ann)1.58%7.71%
Sharpe Ratio0.512.29
Sortino Ratio0.833.03
Omega Ratio1.101.40
Calmar Ratio0.104.89
Martin Ratio1.1214.85
Ulcer Index2.39%2.27%
Daily Std Dev5.60%14.75%
Max Drawdown-48.28%-45.56%
Current Drawdown-22.07%-6.78%

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.

Performance

EUR=X vs. GLD - Performance Comparison

In the year-to-date period, EUR=X achieves a 3.98% return, which is significantly lower than GLD's 25.57% return. Over the past 10 years, EUR=X has underperformed GLD with an annualized return of 1.58%, while GLD has yielded a comparatively higher 7.71% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
0.04%
10.07%
EUR=X
GLD

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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.


EUR=X
Sharpe ratio
The chart of Sharpe ratio for EUR=X, currently valued at -0.01, compared to the broader market-1.00-0.500.000.501.001.50-0.01
Sortino ratio
The chart of Sortino ratio for EUR=X, currently valued at -0.01, compared to the broader market0.0050.00100.00150.00200.00250.00-0.01
Omega ratio
The chart of Omega ratio for EUR=X, currently valued at 1.00, compared to the broader market10.0020.0030.0040.0050.0060.001.00
Calmar ratio
The chart of Calmar ratio for EUR=X, currently valued at -0.01, compared to the broader market0.00100.00200.00300.00400.00500.00-0.01
Martin ratio
The chart of Martin ratio for EUR=X, currently valued at -0.05, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.05
GLD
Sharpe ratio
The chart of Sharpe ratio for GLD, currently valued at 2.03, compared to the broader market-1.00-0.500.000.501.001.502.03
Sortino ratio
The chart of Sortino ratio for GLD, currently valued at 2.74, compared to the broader market0.0050.00100.00150.00200.00250.002.74
Omega ratio
The chart of Omega ratio for GLD, currently valued at 1.40, compared to the broader market10.0020.0030.0040.0050.0060.001.40
Calmar ratio
The chart of Calmar ratio for GLD, currently valued at 4.09, compared to the broader market0.00100.00200.00300.00400.00500.004.09
Martin ratio
The chart of Martin ratio for GLD, currently valued at 12.35, compared to the broader market0.001,000.002,000.003,000.004,000.0012.35

EUR=X vs. GLD - Sharpe Ratio Comparison

The current EUR=X Sharpe Ratio is 0.51, which is lower than the GLD Sharpe Ratio of 2.29. 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
2.03
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.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.61%
-6.78%
EUR=X
GLD

Volatility

EUR=X vs. GLD - Volatility Comparison

The current volatility for USD/EUR (EUR=X) is 0.14%, while SPDR Gold Trust (GLD) has a volatility of 5.16%. 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
0.14%
5.16%
EUR=X
GLD