EURUSD=X vs. AUDUSD=X
EURUSD=X (Euro / U.S. Dollar) and AUDUSD=X (AUD/USD) are both currencies. Over the past 10 years, EURUSD=X returned 0.30%/yr vs -0.60%/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 -3.24% return, which is significantly lower than AUDUSD=X's 3.38% return. Over the past 10 years, EURUSD=X has outperformed AUDUSD=X with an annualized return of 0.30%, while AUDUSD=X has yielded a comparatively lower -0.60% annualized return.
EURUSD=X
- 1D
- 0.05%
- 1M
- -2.29%
- YTD
- -3.24%
- 6M
- -3.56%
- 1Y
- -2.52%
- 3Y*
- 1.38%
- 5Y*
- -0.97%
- 10Y*
- 0.30%
AUDUSD=X
- 1D
- -0.01%
- 1M
- -3.74%
- YTD
- 3.38%
- 6M
- 2.82%
- 1Y
- 5.93%
- 3Y*
- 1.10%
- 5Y*
- -1.88%
- 10Y*
- -0.60%
EURUSD=X vs. AUDUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EURUSD=X Euro / U.S. Dollar | -3.24% | 13.43% | -6.18% | 3.16% | -6.01% | -6.81% | 8.85% | -1.94% | -4.66% | 14.14% |
AUDUSD=X AUD/USD | 3.38% | 7.81% | -9.12% | -0.06% | -6.27% | -5.58% | 9.75% | -0.37% | -9.73% | 8.36% |
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 | 0.64 |
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 25, 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 Euro / U.S. Dollar (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.
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 | AUDUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.98 | ||
| Sortino ratioReturn per unit of downside risk | -1.39 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.11 | -0.17 |
| Calmar ratioReturn relative to maximum drawdown | -0.36 | 0.96 | -1.32 |
| Martin ratioReturn relative to average drawdown | -0.82 | 2.69 | -3.52 |
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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 | -5.67% | -4.94% | -0.73% |
Max Drawdown (3Y)Largest decline over 3 years | -8.83% | -13.83% | +5.00% |
Max Drawdown (5Y)Largest decline over 5 years | -19.63% | -21.49% | +1.86% |
Max Drawdown (10Y)Largest decline over 10 years | -23.31% | -29.18% | +5.87% |
Current DrawdownCurrent decline from peak | -28.93% | -37.38% | +8.45% |
Average DrawdownAverage peak-to-trough decline | -23.50% | -25.95% | +2.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.68% | 1.85% | +0.83% |
Volatility
EURUSD=X vs. AUDUSD=X - Volatility Comparison
The current volatility for Euro / U.S. Dollar (EURUSD=X) is 1.46%, while AUD/USD (AUDUSD=X) has a volatility of 2.30%. 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 | 1.46% | 2.30% | -0.84% |
Volatility (6M)Calculated over the trailing 6-month period | 4.19% | 6.50% | -2.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.85% | 7.55% | -1.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.40% | 10.07% | -2.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.10% | 9.63% | -2.53% |
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 (2.30%) compared to EURUSD=X (1.46%). In terms of maximum drawdown, EURUSD=X dropped -40.01% vs AUDUSD=X's -47.87%.
AUDUSD=X currently has the higher Sharpe Ratio (0.63 vs -0.35), 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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