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EUR=X vs. USD=X
Performance
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Drawdowns
Volatility

EUR=X vs. USD=X

Last updated Jan 21, 2025

Compare and contrast key facts about USD/EUR (EUR=X) and USD Cash (USD=X).

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EUR=X or USD=X.

Correlation

The correlation between EUR=X and USD=X is 0.00. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

-0.50.00.51.00.0

Performance

EUR=X vs. USD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/EUR (EUR=X) and USD Cash (USD=X). The values are adjusted to include any dividend payments, if applicable.
-0.10%-0.05%0.00%AugustSeptemberOctoberNovemberDecember2025
-0.01%
0
EUR=X
USD=X

Key characteristics

Ulcer Index

EUR=X:

2.36%

USD=X:

0.00%

Daily Std Dev

EUR=X:

5.65%

USD=X:

0.00%

Max Drawdown

EUR=X:

-48.28%

USD=X:

0.00%

Current Drawdown

EUR=X:

-20.36%

USD=X:

0.00%

Returns By Period

EUR=X

YTD

-0.31%

1M

0.43%

6M

4.88%

1Y

4.94%

5Y*

1.22%

10Y*

0.72%

USD=X

YTD

0.00%

1M

0.00%

6M

0.00%

1Y

0.00%

5Y*

0.00%

10Y*

0.00%

*Annualized

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Risk-Adjusted Performance

EUR=X vs. USD=X — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
EUR=X
The Risk-Adjusted Performance Rank of EUR=X is 7272
Overall Rank
The Sharpe Ratio Rank of EUR=X is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of EUR=X is 7676
Sortino Ratio Rank
The Omega Ratio Rank of EUR=X is 7575
Omega Ratio Rank
The Calmar Ratio Rank of EUR=X is 5959
Calmar Ratio Rank
The Martin Ratio Rank of EUR=X is 7272
Martin Ratio Rank
USD=X
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

EUR=X vs. USD=X - Risk-Adjusted Performance 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.

Sharpe ratio
The chart of Sharpe ratio for EUR=X, currently valued at -0.05, compared to the broader market0.002.004.006.008.0010.00-0.05
The chart of Sortino ratio for EUR=X, currently valued at -0.07, compared to the broader market0.0010.0020.0030.0040.00-0.07
The chart of Omega ratio for EUR=X, currently valued at 0.99, compared to the broader market2.004.006.008.0010.000.99
The chart of Calmar ratio for EUR=X, currently valued at -0.04, compared to the broader market0.0020.0040.0060.0080.00-0.04
The chart of Martin ratio for EUR=X, currently valued at -0.32, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.32
EUR=X
USD=X

Rolling 12-month Sharpe Ratio-0.20-0.100.000.10AugustSeptemberOctoberNovemberDecember2025
-0.05
EUR=X
USD=X

Drawdowns

EUR=X vs. USD=X - Drawdown Comparison

The maximum EUR=X drawdown since its inception was -48.28%, which is greater than USD=X's maximum drawdown of 0.00%. Use the drawdown chart below to compare losses from any high point for EUR=X and USD=X. For additional features, visit the drawdowns tool.

-0.80%-0.60%-0.40%-0.20%0.00%AugustSeptemberOctoberNovemberDecember2025
-0.62%
0
EUR=X
USD=X

Volatility

EUR=X vs. USD=X - Volatility Comparison

USD/EUR (EUR=X) has a higher volatility of 0.17% compared to USD Cash (USD=X) at 0.00%. This indicates that EUR=X's price experiences larger fluctuations and is considered to be riskier than USD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

0.00%0.05%0.10%0.15%0.20%0.25%AugustSeptemberOctoberNovemberDecember2025
0.17%
0
EUR=X
USD=X
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DrawdownsExpected ShortfallUlcer IndexValue at RiskClose-to-Close VolatilityParkinson VolatilityGarman Klass VolatilityRogers-Satchell VolatilityYang Zhang Volatility

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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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