EUR=X vs. GSG
Compare and contrast key facts about USD/EUR (EUR=X) and iShares S&P GSCI Commodity-Indexed Trust (GSG).
GSG is a passively managed fund by iShares that tracks the performance of the S&P GSCI Total Return Index. It was launched on Jul 21, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EUR=X or GSG.
Key characteristics
| EUR=X | GSG | |
|---|---|---|
| YTD Return | 3.98% | 3.84% |
| 1Y Return | 0.79% | -1.84% |
| 3Y Return (Ann) | 2.30% | 5.72% |
| 5Y Return (Ann) | 0.70% | 6.35% |
| 10Y Return (Ann) | 1.58% | -2.38% |
| Sharpe Ratio | 0.51 | -0.01 |
| Sortino Ratio | 0.83 | 0.10 |
| Omega Ratio | 1.10 | 1.01 |
| Calmar Ratio | 0.10 | -0.00 |
| Martin Ratio | 1.12 | -0.04 |
| Ulcer Index | 2.39% | 5.15% |
| Daily Std Dev | 5.60% | 16.56% |
| Max Drawdown | -48.28% | -89.62% |
| Current Drawdown | -22.07% | -72.40% |
Correlation
The correlation between EUR=X and GSG 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.
Performance
EUR=X vs. GSG - Performance Comparison
The year-to-date returns for both stocks are quite close, with EUR=X having a 3.98% return and GSG slightly lower at 3.84%. Over the past 10 years, EUR=X has outperformed GSG with an annualized return of 1.58%, while GSG has yielded a comparatively lower -2.38% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
EUR=X vs. GSG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/EUR (EUR=X) and iShares S&P GSCI Commodity-Indexed Trust (GSG). 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. GSG - Drawdown Comparison
The maximum EUR=X drawdown since its inception was -48.28%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for EUR=X and GSG. For additional features, visit the drawdowns tool.
Volatility
EUR=X vs. GSG - Volatility Comparison
The current volatility for USD/EUR (EUR=X) is 0.14%, while iShares S&P GSCI Commodity-Indexed Trust (GSG) has a volatility of 5.14%. This indicates that EUR=X experiences smaller price fluctuations and is considered to be less risky than GSG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.