EURUSD=X vs. FXE
EURUSD=X (Euro / U.S. Dollar) is a currency, while FXE (Invesco CurrencyShares® Euro Currency Trust) is Currency fund tracking the Euro. Over the past 10 years, EURUSD=X returned 0.40%/yr vs 0.37%/yr for FXE. Their 0.97 correlation means they have historically moved very closely together.
Performance
EURUSD=X vs. FXE - Performance Comparison
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Returns By Period
In the year-to-date period, EURUSD=X achieves a -1.83% return, which is significantly lower than FXE's -1.42% return. Over the past 10 years, EURUSD=X has outperformed FXE with an annualized return of 0.40%, while FXE has yielded a comparatively lower 0.37% annualized return.
EURUSD=X
- 1D
- 0.20%
- 1M
- 0.88%
- 6M
- -2.43%
- YTD
- -1.83%
- 1Y
- -0.36%
- 3Y*
- 1.56%
- 5Y*
- -0.51%
- 10Y*
- 0.40%
- ALL TIME*
- -0.90%
FXE
- 1D
- 0.17%
- 1M
- 0.93%
- 6M
- -2.10%
- YTD
- -1.42%
- 1Y
- 0.41%
- 3Y*
- 3.06%
- 5Y*
- 0.29%
- 10Y*
- 0.37%
- ALL TIME*
- 0.13%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
EURUSD=X Euro / U.S. Dollar | $110.05K | $130.91K | $141.40K |
| $5.94M | $8.05M | $15.85M |
EURUSD=X vs. FXE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EURUSD=X Euro / U.S. Dollar | -1.83% | 13.43% | -6.18% | 3.16% | -6.01% | -6.81% | 8.85% | -1.94% | -4.66% | 14.14% |
FXE Invesco CurrencyShares® Euro Currency Trust | -1.42% | 14.52% | -4.18% | 4.87% | -6.57% | -7.83% | 7.94% | -2.90% | -5.30% | 13.05% |
Correlation
The correlation between EURUSD=X and FXE is 0.88, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.88 |
Correlation (3Y) Balances recent behavior with more history. | 0.94 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.96 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.97 |
Correlation (All Time) Calculated using the full available price history since Aug 3, 2007 | 0.97 |
The correlation between EURUSD=X and FXE has been stable across timeframes, ranging from 0.88 to 0.97 - a consistent structural relationship.
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Return for Risk
EURUSD=X vs. FXE — Risk / Return Rank
EURUSD=X
FXE
EURUSD=X vs. FXE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Euro / U.S. Dollar (EURUSD=X) and Invesco CurrencyShares® Euro Currency Trust (FXE). 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 | FXE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.12 | ||
| Sortino ratioReturn per unit of downside risk | -0.18 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.02 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | -0.05 | 0.08 | -0.13 |
| Martin ratioReturn relative to average drawdown | -0.10 | 0.15 | -0.25 |
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Drawdowns
EURUSD=X vs. FXE - Drawdown Comparison
The maximum EURUSD=X drawdown since its inception was -40.01%, smaller than the maximum FXE drawdown of -43.33%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and FXE.
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Drawdown Indicators
| EURUSD=X | FXE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.01% | -43.33% | +3.32% |
Max Drawdown (1Y)Largest decline over 1 year | -5.67% | -5.40% | -0.27% |
Max Drawdown (3Y)Largest decline over 3 years | -8.48% | -8.12% | -0.36% |
Max Drawdown (5Y)Largest decline over 5 years | -19.24% | -20.08% | +0.84% |
Max Drawdown (10Y)Largest decline over 10 years | -23.31% | -26.46% | +3.15% |
Current DrawdownCurrent decline from peak | -27.89% | -28.30% | +0.41% |
Average DrawdownAverage peak-to-trough decline | -23.69% | -22.35% | -1.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.06% | 2.73% | +0.33% |
Volatility
EURUSD=X vs. FXE - Volatility Comparison
Euro / U.S. Dollar (EURUSD=X) and Invesco CurrencyShares® Euro Currency Trust (FXE) have volatilities of 1.27% and 1.29%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EURUSD=X | FXE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.27% | 1.29% | -0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 3.72% | 3.94% | -0.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.40% | 5.78% | -0.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.39% | 7.66% | -0.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.07% | 7.25% | -0.18% |
Frequently Asked Questions
EURUSD=X and FXE have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXE has higher volatility (1.29%) compared to EURUSD=X (1.27%). In terms of maximum drawdown, EURUSD=X dropped -40.01% vs FXE's -43.33%.
FXE currently has the higher Sharpe Ratio (0.07 vs -0.05), 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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