EUR=X vs. ^STOXX
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.
Performance
EUR=X vs. ^STOXX - Performance Comparison
Returns By Period
In the year-to-date period, EUR=X achieves a 4.25% return, which is significantly lower than ^STOXX's 4.97% return. Over the past 10 years, EUR=X has underperformed ^STOXX with an annualized return of 1.50%, while ^STOXX has yielded a comparatively higher 3.77% annualized return.
EUR=X
4.25%
2.64%
2.55%
3.09%
0.83%
1.50%
^STOXX
4.97%
-4.22%
-4.02%
10.32%
4.40%
3.77%
Key characteristics
| EUR=X | ^STOXX | |
|---|---|---|
| Sharpe Ratio | 0.47 | 0.95 |
| Sortino Ratio | 0.76 | 1.33 |
| Omega Ratio | 1.09 | 1.17 |
| Calmar Ratio | 0.09 | 1.28 |
| Martin Ratio | 1.02 | 5.08 |
| Ulcer Index | 2.39% | 1.90% |
| Daily Std Dev | 5.43% | 10.11% |
| Max Drawdown | -48.28% | -61.04% |
| Current Drawdown | -21.87% | -4.78% |
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Correlation
The correlation between EUR=X and ^STOXX 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.
Risk-Adjusted Performance
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.
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.
Volatility
EUR=X vs. ^STOXX - Volatility Comparison
The current volatility for USD/EUR (EUR=X) is 0.14%, while STOXX Europe 600 Index (^STOXX) has a volatility of 4.44%. This indicates that EUR=X experiences smaller price fluctuations and is considered to be less risky than ^STOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.