EURUSD=X vs. ^GSPC
Compare and contrast key facts about EUR/USD (EURUSD=X) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EURUSD=X or ^GSPC.
Performance
EURUSD=X vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, EURUSD=X achieves a -5.17% return, which is significantly lower than ^GSPC's 24.72% return. Over the past 10 years, EURUSD=X has underperformed ^GSPC with an annualized return of -1.64%, while ^GSPC has yielded a comparatively higher 11.16% annualized return.
EURUSD=X
-5.17%
-3.09%
-3.22%
-3.88%
-0.97%
-1.64%
^GSPC
24.72%
1.67%
12.93%
30.55%
13.88%
11.16%
Key characteristics
| EURUSD=X | ^GSPC | |
|---|---|---|
| Sharpe Ratio | -0.66 | 2.54 |
| Sortino Ratio | -0.85 | 3.40 |
| Omega Ratio | 0.89 | 1.47 |
| Calmar Ratio | -0.10 | 3.66 |
| Martin Ratio | -1.77 | 16.26 |
| Ulcer Index | 1.99% | 1.91% |
| Daily Std Dev | 5.49% | 12.23% |
| Max Drawdown | -57.54% | -56.78% |
| Current Drawdown | -34.54% | -0.88% |
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Correlation
The correlation between EURUSD=X and ^GSPC is 0.02, 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
EURUSD=X vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for EUR/USD (EURUSD=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.
Drawdowns
EURUSD=X vs. ^GSPC - Drawdown Comparison
The maximum EURUSD=X drawdown since its inception was -57.54%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
EURUSD=X vs. ^GSPC - Volatility Comparison
The current volatility for EUR/USD (EURUSD=X) is 2.67%, while S&P 500 (^GSPC) has a volatility of 3.96%. This indicates that EURUSD=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.