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EURUSD=X vs. BZ=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EURUSD=X and BZ=F is 0.08, 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.


-0.50.00.51.0
Correlation: 0.1

Performance

EURUSD=X vs. BZ=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in EUR/USD (EURUSD=X) and Crude Oil Brent (BZ=F). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%500.00%600.00%NovemberDecember2025FebruaryMarchApril
-4.07%
507.21%
EURUSD=X
BZ=F

Key characteristics

Sharpe Ratio

EURUSD=X:

0.77

BZ=F:

-0.60

Sortino Ratio

EURUSD=X:

1.27

BZ=F:

-0.68

Omega Ratio

EURUSD=X:

1.12

BZ=F:

0.92

Calmar Ratio

EURUSD=X:

0.03

BZ=F:

-0.28

Martin Ratio

EURUSD=X:

1.68

BZ=F:

-1.09

Ulcer Index

EURUSD=X:

4.22%

BZ=F:

14.74%

Daily Std Dev

EURUSD=X:

7.44%

BZ=F:

26.25%

Max Drawdown

EURUSD=X:

-39.99%

BZ=F:

-86.77%

Current Drawdown

EURUSD=X:

-29.03%

BZ=F:

-54.44%

Returns By Period

In the year-to-date period, EURUSD=X achieves a 9.59% return, which is significantly higher than BZ=F's -10.84% return. Over the past 10 years, EURUSD=X has outperformed BZ=F with an annualized return of 0.58%, while BZ=F has yielded a comparatively lower 0.25% annualized return.


EURUSD=X

YTD

9.59%

1M

5.14%

6M

4.79%

1Y

6.06%

5Y*

1.33%

10Y*

0.58%

BZ=F

YTD

-10.84%

1M

-8.86%

6M

-10.10%

1Y

-24.39%

5Y*

23.82%

10Y*

0.25%

*Annualized

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Risk-Adjusted Performance

EURUSD=X vs. BZ=F — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EURUSD=X
The Risk-Adjusted Performance Rank of EURUSD=X is 7171
Overall Rank
The Sharpe Ratio Rank of EURUSD=X is 7676
Sharpe Ratio Rank
The Sortino Ratio Rank of EURUSD=X is 8181
Sortino Ratio Rank
The Omega Ratio Rank of EURUSD=X is 6969
Omega Ratio Rank
The Calmar Ratio Rank of EURUSD=X is 5353
Calmar Ratio Rank
The Martin Ratio Rank of EURUSD=X is 7676
Martin Ratio Rank

BZ=F
The Risk-Adjusted Performance Rank of BZ=F is 1515
Overall Rank
The Sharpe Ratio Rank of BZ=F is 1515
Sharpe Ratio Rank
The Sortino Ratio Rank of BZ=F is 1515
Sortino Ratio Rank
The Omega Ratio Rank of BZ=F is 1414
Omega Ratio Rank
The Calmar Ratio Rank of BZ=F is 1616
Calmar Ratio Rank
The Martin Ratio Rank of BZ=F is 1717
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

EURUSD=X vs. BZ=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for EUR/USD (EURUSD=X) and Crude Oil Brent (BZ=F). 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.


The chart of Sharpe ratio for EURUSD=X, currently valued at 0.93, compared to the broader market-1.000.001.002.00
EURUSD=X: 0.93
BZ=F: -0.94
The chart of Sortino ratio for EURUSD=X, currently valued at 1.52, compared to the broader market-1.000.001.002.003.004.00
EURUSD=X: 1.52
BZ=F: -1.25
The chart of Omega ratio for EURUSD=X, currently valued at 1.15, compared to the broader market1.001.502.002.50
EURUSD=X: 1.15
BZ=F: 0.87
The chart of Calmar ratio for EURUSD=X, currently valued at 0.04, compared to the broader market0.001.002.003.004.00
EURUSD=X: 0.04
BZ=F: -0.28
The chart of Martin ratio for EURUSD=X, currently valued at 1.90, compared to the broader market0.005.0010.0015.0020.0025.00
EURUSD=X: 1.90
BZ=F: -1.99

The current EURUSD=X Sharpe Ratio is 0.77, which is higher than the BZ=F Sharpe Ratio of -0.60. The chart below compares the historical Sharpe Ratios of EURUSD=X and BZ=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00NovemberDecember2025FebruaryMarchApril
0.93
-0.94
EURUSD=X
BZ=F

Drawdowns

EURUSD=X vs. BZ=F - Drawdown Comparison

The maximum EURUSD=X drawdown since its inception was -39.99%, smaller than the maximum BZ=F drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and BZ=F. For additional features, visit the drawdowns tool.


-60.00%-55.00%-50.00%-45.00%-40.00%-35.00%-30.00%-25.00%NovemberDecember2025FebruaryMarchApril
-29.03%
-54.44%
EURUSD=X
BZ=F

Volatility

EURUSD=X vs. BZ=F - Volatility Comparison

The current volatility for EUR/USD (EURUSD=X) is 4.03%, while Crude Oil Brent (BZ=F) has a volatility of 13.31%. This indicates that EURUSD=X experiences smaller price fluctuations and is considered to be less risky than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
4.03%
13.31%
EURUSD=X
BZ=F