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

Performance

EUR=X vs. TLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/EUR (EUR=X) and iShares 20+ Year Treasury Bond ETF (TLT). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember0
0.83%
EUR=X
TLT

Returns By Period

In the year-to-date period, EUR=X achieves a 5.44% return, which is significantly higher than TLT's -5.58% return. Over the past 10 years, EUR=X has outperformed TLT with an annualized return of 1.65%, while TLT has yielded a comparatively lower -0.37% annualized return.


EUR=X

YTD

5.44%

1M

3.17%

6M

3.32%

1Y

4.03%

5Y (annualized)

0.96%

10Y (annualized)

1.65%

TLT

YTD

-5.58%

1M

-1.81%

6M

1.13%

1Y

3.40%

5Y (annualized)

-6.09%

10Y (annualized)

-0.37%

Key characteristics


EUR=XTLT
Sharpe Ratio0.660.26
Sortino Ratio1.060.46
Omega Ratio1.131.05
Calmar Ratio0.130.09
Martin Ratio1.470.60
Ulcer Index2.39%6.30%
Daily Std Dev5.46%14.73%
Max Drawdown-48.28%-48.35%
Current Drawdown-20.98%-41.17%

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Correlation

-0.50.00.51.00.0

The correlation between EUR=X and TLT 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. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/EUR (EUR=X) and iShares 20+ Year Treasury Bond ETF (TLT). 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-1.00-0.500.000.501.001.50-0.01-0.12
The chart of Sortino ratio for EUR=X, currently valued at -0.01, compared to the broader market0.0050.00100.00150.00200.00250.00-0.01-0.08
The chart of Omega ratio for EUR=X, currently valued at 1.00, compared to the broader market10.0020.0030.0040.0050.0060.001.000.99
The chart of Calmar ratio for EUR=X, currently valued at -0.01, compared to the broader market0.00100.00200.00300.00400.00500.00-0.01-0.04
The chart of Martin ratio for EUR=X, currently valued at -0.07, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.07-0.28
EUR=X
TLT

The current EUR=X Sharpe Ratio is 0.66, which is higher than the TLT Sharpe Ratio of 0.26. The chart below compares the historical Sharpe Ratios of EUR=X and TLT, 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-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
-0.01
-0.12
EUR=X
TLT

Drawdowns

EUR=X vs. TLT - Drawdown Comparison

The maximum EUR=X drawdown since its inception was -48.28%, roughly equal to the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for EUR=X and TLT. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.62%
-41.17%
EUR=X
TLT

Volatility

EUR=X vs. TLT - Volatility Comparison

The current volatility for USD/EUR (EUR=X) is 0.13%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 4.56%. This indicates that EUR=X experiences smaller price fluctuations and is considered to be less risky than TLT 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%JuneJulyAugustSeptemberOctoberNovember
0.13%
4.56%
EUR=X
TLT