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.
Key characteristics
| EUR=X | ^STOXX | |
|---|---|---|
| YTD Return | 2.96% | 5.76% |
| 1Y Return | -0.48% | 13.14% |
| 3Y Return (Ann) | 2.38% | 1.59% |
| 5Y Return (Ann) | 0.51% | 4.46% |
| 10Y Return (Ann) | 1.44% | 4.03% |
| Sharpe Ratio | 0.41 | 1.16 |
| Sortino Ratio | 0.67 | 1.61 |
| Omega Ratio | 1.08 | 1.20 |
| Calmar Ratio | 0.08 | 1.32 |
| Martin Ratio | 0.90 | 6.46 |
| Ulcer Index | 2.39% | 1.78% |
| Daily Std Dev | 5.58% | 10.01% |
| Max Drawdown | -48.28% | -61.04% |
| Current Drawdown | -22.84% | -4.06% |
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.
Performance
EUR=X vs. ^STOXX - Performance Comparison
In the year-to-date period, EUR=X achieves a 2.96% return, which is significantly lower than ^STOXX's 5.76% return. Over the past 10 years, EUR=X has underperformed ^STOXX with an annualized return of 1.44%, while ^STOXX has yielded a comparatively higher 4.03% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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 0.12%, while STOXX Europe 600 Index (^STOXX) has a volatility of 3.92%. 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.