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.
Key characteristics
| EURUSD=X | ^GSPC | |
|---|---|---|
| YTD Return | 0.33% | 17.95% |
| 1Y Return | 4.05% | 24.88% |
| 3Y Return (Ann) | -1.97% | 8.21% |
| 5Y Return (Ann) | 0.00% | 13.37% |
| 10Y Return (Ann) | -1.50% | 10.92% |
| Sharpe Ratio | 0.78 | 2.03 |
| Daily Std Dev | 5.65% | 12.77% |
| Max Drawdown | -57.54% | -56.78% |
| Current Drawdown | -30.75% | -0.73% |
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.
Performance
EURUSD=X vs. ^GSPC - Performance Comparison
In the year-to-date period, EURUSD=X achieves a 0.33% return, which is significantly lower than ^GSPC's 17.95% return. Over the past 10 years, EURUSD=X has underperformed ^GSPC with an annualized return of -1.50%, while ^GSPC has yielded a comparatively higher 10.92% 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
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 1.52%, while S&P 500 (^GSPC) has a volatility of 3.97%. 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.