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EURUSD=X vs. ^STOXX
Performance
Return for Risk
Drawdowns
Volatility

EURUSD=X vs. ^STOXX

Last updated Jul 16, 2026
Documentation

EURUSD=X (Euro / U.S. Dollar) is a currency, while ^STOXX (STOXX Europe 600 Index) is an index. Over the past 10 years, EURUSD=X returned 0.40%/yr vs 7.00%/yr for ^STOXX. At a 0.47 correlation, their price movements are largely independent.

Performance

EURUSD=X vs. ^STOXX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Euro / U.S. Dollar (EURUSD=X) and STOXX Europe 600 Index (^STOXX). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

EURUSD=X is traded in USD, while ^STOXX is traded in EUR. To make them comparable, the ^STOXX values have been converted to USD using the latest available exchange rates.

Returns By Period

In the year-to-date period, EURUSD=X achieves a -2.32% return, which is significantly lower than ^STOXX's 5.30% return. Over the past 10 years, EURUSD=X has underperformed ^STOXX with an annualized return of 0.40%, while ^STOXX has yielded a comparatively higher 7.00% annualized return.

EURUSD=X

1D
0.46%
1M
-1.00%
6M
-1.48%
YTD
-2.32%
1Y
-1.12%
3Y*
0.73%
5Y*
-0.56%
10Y*
0.40%

^STOXX

1D
0.53%
1M
-0.26%
6M
2.97%
YTD
5.30%
1Y
15.98%
3Y*
12.34%
5Y*
6.36%
10Y*
7.00%
*Multi-year figures are annualized to reflect compound growth (CAGR)

EURUSD=X vs. ^STOXX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
EURUSD=X
Euro / U.S. Dollar		-2.32%13.43%-6.18%3.16%-6.01%-6.81%8.85%-1.94%-4.66%14.14%
^STOXX
STOXX Europe 600 Index		5.30%32.56%-0.63%16.30%-17.85%12.47%5.57%21.16%-17.67%22.91%

Correlation

The correlation between EURUSD=X and ^STOXX is 0.50, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.50

Correlation (3Y)
Calculated over the trailing 3-year period

0.51

Correlation (5Y)
Calculated over the trailing 5-year period

0.55

Correlation (10Y)
Calculated over the trailing 10-year period

0.47

Correlation (All Time)
Calculated using the full available price history since Jul 11, 2007

0.47

The correlation between EURUSD=X and ^STOXX has been stable across timeframes, ranging from 0.47 to 0.55 - a consistent structural relationship.

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Euro / U.S. Dollar

STOXX Europe 600 Index

Often compared with EURUSD=X:
EURUSD=X vs. BTC-USDEURUSD=X vs. GBPUSD=XEURUSD=X vs. FXEEURUSD=X vs. NZDUSD=XEURUSD=X vs. ^GDAXIEURUSD=X vs. USDEURUSD=X vs. AUDUSD=X
Often compared with ^STOXX:
^STOXX vs. SPY^STOXX vs. VOO^STOXX vs. ACWI^STOXX vs. ^GSPC^STOXX vs. EUR=X^STOXX vs. ^NDX^STOXX vs. SCHD

Return for Risk

EURUSD=X vs. ^STOXX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
EURUSD=X
EURUSD=X Risk / Return Rank: 4040
Overall Rank
EURUSD=X Sharpe Ratio Rank: 4040
Sharpe Ratio Rank
EURUSD=X Sortino Ratio Rank: 4040
Sortino Ratio Rank
EURUSD=X Omega Ratio Rank: 4141
Omega Ratio Rank
EURUSD=X Calmar Ratio Rank: 4040
Calmar Ratio Rank
EURUSD=X Martin Ratio Rank: 4040
Martin Ratio Rank
^STOXX
^STOXX Risk / Return Rank: 5353
Overall Rank
^STOXX Sharpe Ratio Rank: 5353
Sharpe Ratio Rank
^STOXX Sortino Ratio Rank: 5858
Sortino Ratio Rank
^STOXX Omega Ratio Rank: 6161
Omega Ratio Rank
^STOXX Calmar Ratio Rank: 4646
Calmar Ratio Rank
^STOXX Martin Ratio Rank: 4848
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EURUSD=X vs. ^STOXX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Euro / U.S. Dollar (EURUSD=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.

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^STOXXDifference
Sharpe ratioReturn per unit of total volatility
-0.15
1.04

-1.19

Sortino ratioReturn per unit of downside risk
-0.18
1.56

-1.74

Omega ratioGain probability vs. loss probability

0.98

1.19

-0.21

Calmar ratioReturn relative to maximum drawdown

-0.16

1.30

-1.46

Martin ratioReturn relative to average drawdown

-0.33

4.34

-4.67

EURUSD=X vs. ^STOXX - Sharpe Ratio Comparison

The current EURUSD=X Sharpe Ratio is -0.15, which is lower than the ^STOXX Sharpe Ratio of 1.04. The chart below compares the historical Sharpe Ratios of EURUSD=X and ^STOXX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

EURUSD=X vs. ^STOXX - Drawdown Comparison

The maximum EURUSD=X drawdown since its inception was -40.01%, smaller than the maximum ^STOXX drawdown of -64.60%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and ^STOXX.

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Drawdown Indicators

EURUSD=X^STOXXDifference

Max Drawdown

Largest peak-to-trough decline

-40.01%

-64.60%

+24.59%

Max Drawdown (1Y)

Largest decline over 1 year

-5.67%

-11.59%

+5.92%

Max Drawdown (3Y)

Largest decline over 3 years

-8.83%

-15.22%

+6.39%

Max Drawdown (5Y)

Largest decline over 5 years

-19.28%

-33.96%

+14.68%

Max Drawdown (10Y)

Largest decline over 10 years

-23.31%

-39.58%

+16.27%

Current Drawdown

Current decline from peak

-28.25%

-2.10%

-26.15%

Average Drawdown

Average peak-to-trough decline

-23.60%

-22.93%

-0.67%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.81%

3.48%

-0.67%

Volatility

EURUSD=X vs. ^STOXX - Volatility Comparison

The current volatility for Euro / U.S. Dollar (EURUSD=X) is 1.15%, while STOXX Europe 600 Index (^STOXX) has a volatility of 3.76%. This indicates that EURUSD=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.

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Volatility by Period

EURUSD=X^STOXXDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.15%

3.76%

-2.61%

Volatility (6M)

Calculated over the trailing 6-month period

4.02%

12.31%

-8.29%

Volatility (1Y)

Calculated over the trailing 1-year period

5.83%

14.60%

-8.77%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

7.39%

17.50%

-10.11%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

7.09%

17.26%

-10.17%

Frequently Asked Questions

EURUSD=X and ^STOXX have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

^STOXX has higher volatility (3.76%) compared to EURUSD=X (1.15%). In terms of maximum drawdown, EURUSD=X dropped -40.01% vs ^STOXX's -64.60%.

^STOXX currently has the higher Sharpe Ratio (1.04 vs -0.15), 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.

Portfolio Optimizer

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