PortfoliosLab logo
PortfoliosLab logo
Tools
Portfolios
Screeners
Discussions
EUR=X vs. ^STOXX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

EUR=X vs. ^STOXX

Last updated May 10, 2025

Compare and contrast key facts about USD/EUR (EUR=X) and STOXX Europe 600 Index (^STOXX).

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

Correlation

The correlation between EUR=X and ^STOXX is 0.01, 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. ^STOXX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/EUR (EUR=X) and STOXX Europe 600 Index (^STOXX). The values are adjusted to include any dividend payments, if applicable.

Loading data...

Key characteristics

Sharpe Ratio

EUR=X:

-0.48

^STOXX:

0.27

Sortino Ratio

EUR=X:

-0.50

^STOXX:

0.32

Omega Ratio

EUR=X:

0.93

^STOXX:

1.05

Calmar Ratio

EUR=X:

-0.11

^STOXX:

0.15

Martin Ratio

EUR=X:

-0.79

^STOXX:

0.65

Ulcer Index

EUR=X:

3.97%

^STOXX:

3.87%

Daily Std Dev

EUR=X:

7.11%

^STOXX:

14.72%

Max Drawdown

EUR=X:

-48.28%

^STOXX:

-61.04%

Current Drawdown

EUR=X:

-26.47%

^STOXX:

-4.47%

Returns By Period

In the year-to-date period, EUR=X achieves a -7.96% return, which is significantly lower than ^STOXX's 5.98% return. Over the past 10 years, EUR=X has underperformed ^STOXX with an annualized return of -0.03%, while ^STOXX has yielded a comparatively higher 3.05% annualized return.

EUR=X

YTD

-7.96%

1M

-2.65%

6M

-4.72%

1Y

-4.15%

5Y*

-0.67%

10Y*

-0.03%

^STOXX

YTD

5.98%

1M

14.49%

6M

6.18%

1Y

4.10%

5Y*

9.34%

10Y*

3.05%

*Annualized

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. ^STOXX — 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 2929
Overall Rank
The Sharpe Ratio Rank of EUR=X is 2424
Sharpe Ratio Rank
The Sortino Ratio Rank of EUR=X is 3232
Sortino Ratio Rank
The Omega Ratio Rank of EUR=X is 2929
Omega Ratio Rank
The Calmar Ratio Rank of EUR=X is 3131
Calmar Ratio Rank
The Martin Ratio Rank of EUR=X is 2828
Martin Ratio Rank
^STOXX
The Risk-Adjusted Performance Rank of ^STOXX is 3434
Overall Rank
The Sharpe Ratio Rank of ^STOXX is 4040
Sharpe Ratio Rank
The Sortino Ratio Rank of ^STOXX is 3131
Sortino Ratio Rank
The Omega Ratio Rank of ^STOXX is 3131
Omega Ratio Rank
The Calmar Ratio Rank of ^STOXX is 3535
Calmar Ratio Rank
The Martin Ratio Rank of ^STOXX is 3434
Martin Ratio Rank
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. ^STOXX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/EUR (EUR=X) and STOXX Europe 600 Index (^STOXX). 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.

The current EUR=X Sharpe Ratio is -0.48, which is lower than the ^STOXX Sharpe Ratio of 0.27. The chart below compares the historical Sharpe Ratios of EUR=X and ^STOXX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Loading data...

Drawdowns

EUR=X vs. ^STOXX - Drawdown Comparison

The maximum EUR=X drawdown since its inception was -48.28%, smaller than the maximum ^STOXX drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for EUR=X and ^STOXX. For additional features, visit the drawdowns tool.

Loading data...

Volatility

EUR=X vs. ^STOXX - Volatility Comparison

Loading data...