EURUSD=X vs. AUDUSD=X
EURUSD=X (EUR/USD) and AUDUSD=X (AUD/USD) are both currencies. Over the past 10 years, EURUSD=X returned 0.15%/yr vs -0.57%/yr for AUDUSD=X. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
EURUSD=X vs. AUDUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, EURUSD=X achieves a -1.90% return, which is significantly lower than AUDUSD=X's 5.47% return. Over the past 10 years, EURUSD=X has outperformed AUDUSD=X with an annualized return of 0.15%, while AUDUSD=X has yielded a comparatively lower -0.57% annualized return.
EURUSD=X
- 1D
- -0.76%
- 1M
- -1.92%
- YTD
- -1.90%
- 6M
- -1.04%
- 1Y
- 0.68%
- 3Y*
- 2.52%
- 5Y*
- -1.08%
- 10Y*
- 0.15%
AUDUSD=X
- 1D
- -1.33%
- 1M
- -2.74%
- YTD
- 5.47%
- 6M
- 6.02%
- 1Y
- 8.20%
- 3Y*
- 1.80%
- 5Y*
- -1.88%
- 10Y*
- -0.57%
EURUSD=X vs. AUDUSD=X - Yearly Performance Comparison
Correlation
The correlation between EURUSD=X and AUDUSD=X is 0.65, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.65 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.63 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.63 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.59 |
Correlation (All Time) Calculated using the full available price history since Jul 3, 2007 | 0.56 |
The correlation between EURUSD=X and AUDUSD=X has been stable across timeframes, ranging from 0.56 to 0.65 - a consistent structural relationship.
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Return for Risk
EURUSD=X vs. AUDUSD=X — Risk / Return Rank
EURUSD=X
AUDUSD=X
EURUSD=X vs. AUDUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for EUR/USD (EURUSD=X) and AUD/USD (AUDUSD=X). 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.
| EURUSD=X | AUDUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.77 | ||
| Sortino ratioReturn per unit of downside risk | -1.08 | ||
| Omega ratioGain probability vs. loss probability | 1.02 | 1.15 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 0.11 | 1.56 | -1.46 |
| Martin ratioReturn relative to average drawdown | 0.25 | 4.16 | -3.91 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EURUSD=X | AUDUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.09 | 0.86 | -0.77 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.13 | -0.17 | +0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.02 | -0.06 | +0.08 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.09 | -0.08 | -0.01 |
Drawdowns
EURUSD=X vs. AUDUSD=X - Drawdown Comparison
The maximum EURUSD=X drawdown since its inception was -40.01%, smaller than the maximum AUDUSD=X drawdown of -47.87%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and AUDUSD=X.
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Drawdown Indicators
| EURUSD=X | AUDUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.01% | -47.87% | +7.86% |
Max Drawdown (1Y)Largest decline over 1 year | -5.19% | -4.20% | -0.99% |
Max Drawdown (3Y)Largest decline over 3 years | -8.83% | -13.83% | +5.00% |
Max Drawdown (5Y)Largest decline over 5 years | -21.30% | -23.18% | +1.88% |
Max Drawdown (10Y)Largest decline over 10 years | -23.31% | -29.18% | +5.87% |
Current DrawdownCurrent decline from peak | -27.94% | -36.11% | +8.17% |
Average DrawdownAverage peak-to-trough decline | -23.42% | -25.83% | +2.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.41% | 1.62% | +0.79% |
Volatility
EURUSD=X vs. AUDUSD=X - Volatility Comparison
The current volatility for EUR/USD (EURUSD=X) is 1.19%, while AUD/USD (AUDUSD=X) has a volatility of 2.44%. This indicates that EURUSD=X experiences smaller price fluctuations and is considered to be less risky than AUDUSD=X 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 | AUDUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.19% | 2.44% | -1.25% |
Volatility (6M)Calculated over the trailing 6-month period | 4.50% | 6.62% | -2.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.92% | 7.62% | -1.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.42% | 10.08% | -2.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.16% | 9.67% | -2.51% |
Frequently Asked Questions
EURUSD=X and AUDUSD=X have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AUDUSD=X has higher volatility (2.44%) compared to EURUSD=X (1.19%). In terms of maximum drawdown, EURUSD=X dropped -40.01% vs AUDUSD=X's -47.87%.
AUDUSD=X currently has the higher Sharpe Ratio (0.86 vs 0.09), 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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