PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EUR=X vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EUR=X and ^GSPC 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. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/EUR (EUR=X) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember0
7.29%
EUR=X
^GSPC

Key characteristics

Sharpe Ratio

EUR=X:

0.76

^GSPC:

1.90

Sortino Ratio

EUR=X:

1.22

^GSPC:

2.54

Omega Ratio

EUR=X:

1.15

^GSPC:

1.35

Calmar Ratio

EUR=X:

0.16

^GSPC:

2.81

Martin Ratio

EUR=X:

1.81

^GSPC:

12.39

Ulcer Index

EUR=X:

2.36%

^GSPC:

1.93%

Daily Std Dev

EUR=X:

5.50%

^GSPC:

12.58%

Max Drawdown

EUR=X:

-48.28%

^GSPC:

-56.78%

Current Drawdown

EUR=X:

-20.48%

^GSPC:

-3.58%

Returns By Period

In the year-to-date period, EUR=X achieves a 6.10% return, which is significantly lower than ^GSPC's 23.11% return. Over the past 10 years, EUR=X has underperformed ^GSPC with an annualized return of 1.54%, while ^GSPC has yielded a comparatively higher 11.01% annualized return.


EUR=X

YTD

6.10%

1M

1.90%

6M

3.30%

1Y

5.58%

5Y*

1.17%

10Y*

1.54%

^GSPC

YTD

23.11%

1M

-0.36%

6M

7.02%

1Y

23.15%

5Y*

12.80%

10Y*

11.01%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

EUR=X vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/EUR (EUR=X) and S&P 500 (^GSPC). 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 market0.002.004.006.008.0010.00-0.011.35
The chart of Sortino ratio for EUR=X, currently valued at -0.01, compared to the broader market0.0010.0020.0030.0040.00-0.011.85
The chart of Omega ratio for EUR=X, currently valued at 1.00, compared to the broader market2.004.006.008.0010.001.001.28
The chart of Calmar ratio for EUR=X, currently valued at -0.01, compared to the broader market0.0020.0040.0060.0080.00-0.011.84
The chart of Martin ratio for EUR=X, currently valued at -0.06, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.067.49
EUR=X
^GSPC

The current EUR=X Sharpe Ratio is 0.76, which is lower than the ^GSPC Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of EUR=X and ^GSPC, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.01
1.35
EUR=X
^GSPC

Drawdowns

EUR=X vs. ^GSPC - Drawdown Comparison

The maximum EUR=X drawdown since its inception was -48.28%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EUR=X and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.62%
-3.58%
EUR=X
^GSPC

Volatility

EUR=X vs. ^GSPC - Volatility Comparison

The current volatility for USD/EUR (EUR=X) is 0.18%, while S&P 500 (^GSPC) has a volatility of 3.52%. This indicates that EUR=X experiences smaller price fluctuations and is considered to be less risky than ^GSPC 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%6.00%JulyAugustSeptemberOctoberNovemberDecember
0.18%
3.52%
EUR=X
^GSPC
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

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.

Copyright © 2024 PortfoliosLab