EUR=X vs. USD=X
EUR=X (USD/EUR) and USD=X (USD Cash) are both currencies. Over the past 10 years, EUR=X returned -0.14%/yr vs -0.11%/yr for USD=X. With a 1.00 correlation, they move nearly in lockstep.
Performance
EUR=X vs. USD=X - Performance Comparison
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Different Trading Currencies
EUR=X is traded in EUR, while USD=X is traded in USD. To make them comparable, the USD=X values have been converted to EUR using the latest available exchange rates.
Returns By Period
As of year-to-date, both investments have demonstrated similar returns, with EUR=X at 1.96% and USD=X at 1.96%. Over the past 10 years, EUR=X has underperformed USD=X with an annualized return of -0.14%, while USD=X has yielded a comparatively higher -0.11% annualized return.
EUR=X
- 1D
- 0.80%
- 1M
- 1.97%
- YTD
- 1.96%
- 6M
- 1.05%
- 1Y
- -0.66%
- 3Y*
- -2.45%
- 5Y*
- 1.09%
- 10Y*
- -0.14%
USD=X
- 1D
- 0.00%
- 1M
- 1.97%
- YTD
- 1.96%
- 6M
- 1.05%
- 1Y
- -0.66%
- 3Y*
- -2.44%
- 5Y*
- 1.14%
- 10Y*
- -0.11%
EUR=X vs. USD=X - Yearly Performance Comparison
Correlation
The correlation between EUR=X and USD=X is 1.00 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 1.00 |
Correlation (3Y) Calculated over the trailing 3-year period | 1.00 |
Correlation (5Y) Calculated over the trailing 5-year period | 1.00 |
Correlation (10Y) Calculated over the trailing 10-year period | 1.00 |
Correlation (All Time) Calculated using the full available price history since Aug 29, 2007 | 1.00 |
The correlation between EUR=X and USD=X has been stable across timeframes, ranging from 1.00 to 1.00 - a consistent structural relationship.
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Return for Risk
EUR=X vs. USD=X — Risk / Return Rank
EUR=X
USD=X
EUR=X vs. USD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/EUR (EUR=X) and USD Cash (USD=X). 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 | USD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.08 | ||
| Sortino ratioReturn per unit of downside risk | +0.10 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 0.98 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | -0.10 | -0.21 | +0.11 |
| Martin ratioReturn relative to average drawdown | -0.21 | -0.44 | +0.23 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EUR=X | USD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.09 | -0.17 | +0.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.13 | 0.15 | -0.01 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.02 | -0.01 | 0.00 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.09 | 0.10 | 0.00 |
Drawdowns
EUR=X vs. USD=X - Drawdown Comparison
The maximum EUR=X drawdown since its inception was -20.32%, roughly equal to the maximum USD=X drawdown of -20.32%. Use the drawdown chart below to compare losses from any high point for EUR=X and USD=X.
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Drawdown Indicators
| EUR=X | USD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.32% | -20.32% | 0.00% |
Max Drawdown (1Y)Largest decline over 1 year | -5.39% | -5.39% | 0.00% |
Max Drawdown (3Y)Largest decline over 3 years | -15.23% | -15.23% | 0.00% |
Max Drawdown (5Y)Largest decline over 5 years | -20.32% | -20.32% | 0.00% |
Max Drawdown (10Y)Largest decline over 10 years | -20.32% | -20.32% | 0.00% |
Current DrawdownCurrent decline from peak | -16.71% | -16.71% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -9.58% | -9.47% | -0.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.80% | 1.89% | -0.09% |
Volatility
EUR=X vs. USD=X - Volatility Comparison
The current volatility for USD/EUR (EUR=X) is 1.25%, while USD Cash (USD=X) has a volatility of 1.44%. This indicates that EUR=X experiences smaller price fluctuations and is considered to be less risky than USD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EUR=X | USD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.25% | 1.44% | -0.19% |
Volatility (6M)Calculated over the trailing 6-month period | 4.44% | 4.59% | -0.15% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.90% | 5.46% | +0.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.33% | 6.44% | +0.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.20% | 6.21% | +0.99% |
Frequently Asked Questions
With a correlation of 1.00, EUR=X and USD=X move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
USD=X has higher volatility (1.44%) compared to EUR=X (1.25%). In terms of maximum drawdown, EUR=X dropped -20.32% vs USD=X's -20.32%.
EUR=X currently has the higher Sharpe Ratio (-0.09 vs -0.17), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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