EURUSD=X vs. ^NDX
EURUSD=X (Euro / U.S. Dollar) is a currency, while ^NDX (NASDAQ 100 Index) is an index. Over the past 10 years, EURUSD=X returned 0.32%/yr vs 20.95%/yr for ^NDX. At a 0.17 correlation, their price movements are largely independent.
Performance
EURUSD=X vs. ^NDX - Performance Comparison
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Returns By Period
In the year-to-date period, EURUSD=X achieves a -1.52% return, which is significantly lower than ^NDX's 17.37% return. Over the past 10 years, EURUSD=X has underperformed ^NDX with an annualized return of 0.32%, while ^NDX has yielded a comparatively higher 20.95% annualized return.
EURUSD=X
- 1D
- -0.11%
- 1M
- -0.88%
- YTD
- -1.52%
- 6M
- -1.48%
- 1Y
- 0.14%
- 3Y*
- 2.34%
- 5Y*
- -0.91%
- 10Y*
- 0.32%
^NDX
- 1D
- 0.64%
- 1M
- 0.19%
- YTD
- 17.37%
- 6M
- 17.62%
- 1Y
- 37.01%
- 3Y*
- 25.76%
- 5Y*
- 16.18%
- 10Y*
- 20.95%
EURUSD=X vs. ^NDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EURUSD=X Euro / U.S. Dollar | -1.52% | 13.43% | -6.18% | 3.16% | -6.01% | -6.81% | 8.85% | -1.94% | -4.66% | 14.14% |
^NDX NASDAQ 100 Index | 17.37% | 20.17% | 24.88% | 53.81% | -32.97% | 26.63% | 47.58% | 37.96% | -1.04% | 31.52% |
Correlation
The correlation between EURUSD=X and ^NDX is 0.25, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.25 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.16 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.22 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.14 |
Correlation (All Time) Calculated using the full available price history since Jun 1, 2007 | 0.17 |
The correlation between EURUSD=X and ^NDX shifts across timeframes, from 0.14 (10 years) to 0.25 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
EURUSD=X vs. ^NDX — Risk / Return Rank
EURUSD=X
^NDX
EURUSD=X vs. ^NDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Euro / U.S. Dollar (EURUSD=X) and NASDAQ 100 Index (^NDX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EURUSD=X | ^NDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.06 | ||
| Sortino ratioReturn per unit of downside risk | -2.66 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.36 | -0.36 |
| Calmar ratioReturn relative to maximum drawdown | -0.02 | 2.92 | -2.94 |
| Martin ratioReturn relative to average drawdown | -0.04 | 10.85 | -10.89 |
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Drawdowns
EURUSD=X vs. ^NDX - Drawdown Comparison
The maximum EURUSD=X drawdown since its inception was -40.01%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and ^NDX.
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Drawdown Indicators
| EURUSD=X | ^NDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.01% | -82.90% | +42.89% |
Max Drawdown (1Y)Largest decline over 1 year | -5.19% | -12.12% | +6.93% |
Max Drawdown (3Y)Largest decline over 3 years | -8.83% | -22.93% | +14.10% |
Max Drawdown (5Y)Largest decline over 5 years | -20.89% | -35.56% | +14.67% |
Max Drawdown (10Y)Largest decline over 10 years | -23.31% | -35.56% | +12.25% |
Current DrawdownCurrent decline from peak | -27.67% | -3.34% | -24.33% |
Average DrawdownAverage peak-to-trough decline | -23.44% | -24.61% | +1.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.49% | 3.26% | -0.77% |
Volatility
EURUSD=X vs. ^NDX - Volatility Comparison
The current volatility for Euro / U.S. Dollar (EURUSD=X) is 1.07%, while NASDAQ 100 Index (^NDX) has a volatility of 7.51%. This indicates that EURUSD=X experiences smaller price fluctuations and is considered to be less risky than ^NDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EURUSD=X | ^NDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.07% | 7.51% | -6.44% |
Volatility (6M)Calculated over the trailing 6-month period | 4.50% | 13.84% | -9.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.89% | 17.29% | -11.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.41% | 22.76% | -15.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.15% | 22.61% | -15.46% |
Frequently Asked Questions
EURUSD=X and ^NDX have a correlation of 0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^NDX has higher volatility (7.51%) compared to EURUSD=X (1.07%). In terms of maximum drawdown, EURUSD=X dropped -40.01% vs ^NDX's -82.90%.
^NDX currently has the higher Sharpe Ratio (2.05 vs -0.02), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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