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EUR=X vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


EUR=X^GSPC
YTD Return4.72%25.48%
1Y Return3.23%33.14%
3Y Return (Ann)2.51%8.55%
5Y Return (Ann)0.88%13.96%
10Y Return (Ann)1.64%11.39%
Sharpe Ratio0.622.91
Sortino Ratio1.003.88
Omega Ratio1.121.55
Calmar Ratio0.134.20
Martin Ratio1.3618.80
Ulcer Index2.39%1.90%
Daily Std Dev5.42%12.27%
Max Drawdown-48.28%-56.78%
Current Drawdown-21.51%-0.27%

Correlation

-0.50.00.51.00.0

The correlation between EUR=X and ^GSPC is 0.00, 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.

Performance

EUR=X vs. ^GSPC - Performance Comparison

In the year-to-date period, EUR=X achieves a 4.72% return, which is significantly lower than ^GSPC's 25.48% return. Over the past 10 years, EUR=X has underperformed ^GSPC with an annualized return of 1.64%, while ^GSPC has yielded a comparatively higher 11.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
0.01%
12.76%
EUR=X
^GSPC

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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.


EUR=X
Sharpe ratio
The chart of Sharpe ratio for EUR=X, currently valued at 0.02, compared to the broader market-1.00-0.500.000.501.001.500.02
Sortino ratio
The chart of Sortino ratio for EUR=X, currently valued at 0.03, compared to the broader market0.0050.00100.00150.00200.00250.000.03
Omega ratio
The chart of Omega ratio for EUR=X, currently valued at 1.00, compared to the broader market10.0020.0030.0040.0050.0060.001.00
Calmar ratio
The chart of Calmar ratio for EUR=X, currently valued at 0.01, compared to the broader market0.00100.00200.00300.00400.00500.000.01
Martin ratio
The chart of Martin ratio for EUR=X, currently valued at 0.11, compared to the broader market0.001,000.002,000.003,000.004,000.000.11
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.02, compared to the broader market-1.00-0.500.000.501.001.502.02
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.79, compared to the broader market0.0050.00100.00150.00200.00250.002.79
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market10.0020.0030.0040.0050.0060.001.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.76, compared to the broader market0.00100.00200.00300.00400.00500.002.76
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 11.38, compared to the broader market0.001,000.002,000.003,000.004,000.0011.38

EUR=X vs. ^GSPC - Sharpe Ratio Comparison

The current EUR=X Sharpe Ratio is 0.62, which is lower than the ^GSPC Sharpe Ratio of 2.91. 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.02
2.02
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%JuneJulyAugustSeptemberOctoberNovember
-0.60%
-0.27%
EUR=X
^GSPC

Volatility

EUR=X vs. ^GSPC - Volatility Comparison

The current volatility for USD/EUR (EUR=X) is 0.13%, while S&P 500 (^GSPC) has a volatility of 3.72%. 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%JuneJulyAugustSeptemberOctoberNovember
0.13%
3.72%
EUR=X
^GSPC