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.
Performance
EUR=X vs. GSG - Performance Comparison
Returns By Period
In the year-to-date period, EUR=X achieves a 4.19% return, which is significantly lower than GSG's 5.68% return. Over the past 10 years, EUR=X has outperformed GSG with an annualized return of 1.49%, while GSG has yielded a comparatively lower -2.27% annualized return.
EUR=X
4.19%
2.61%
2.46%
3.28%
0.80%
1.49%
GSG
5.68%
1.00%
-5.53%
0.57%
6.57%
-2.27%
Key characteristics
| EUR=X | GSG | |
|---|---|---|
| Sharpe Ratio | 0.47 | 0.12 |
| Sortino Ratio | 0.76 | 0.28 |
| Omega Ratio | 1.09 | 1.03 |
| Calmar Ratio | 0.09 | 0.03 |
| Martin Ratio | 1.03 | 0.37 |
| Ulcer Index | 2.39% | 5.26% |
| Daily Std Dev | 5.42% | 16.23% |
| Max Drawdown | -48.28% | -89.62% |
| Current Drawdown | -21.91% | -71.91% |
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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.
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 5.25%. 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.