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 0.30%/yr vs 0.27%/yr for FXE. With a 0.97 correlation, they move nearly in lockstep.
Performance
EURUSD=X vs. FXE - 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 FXE's -2.89% return. Over the past 10 years, EURUSD=X has outperformed FXE with an annualized return of 0.30%, while FXE has yielded a comparatively lower 0.27% 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%
FXE
- 1D
- 0.16%
- 1M
- -2.19%
- YTD
- -2.89%
- 6M
- -3.08%
- 1Y
- -1.80%
- 3Y*
- 2.93%
- 5Y*
- -0.21%
- 10Y*
- 0.27%
EURUSD=X vs. FXE - 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% |
FXE Invesco CurrencyShares® Euro Currency Trust | -2.89% | 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 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.89 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.94 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.96 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Jun 18, 2007 | 0.97 |
The correlation between EURUSD=X and FXE has been stable across timeframes, ranging from 0.89 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 | -0.06 | ||
| Sortino ratioReturn per unit of downside risk | -0.09 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 0.96 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | -0.36 | -0.33 | -0.02 |
| Martin ratioReturn relative to average drawdown | -0.82 | -0.77 | -0.05 |
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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 | -8.83% | -8.12% | -0.71% |
Max Drawdown (5Y)Largest decline over 5 years | -19.63% | -20.61% | +0.98% |
Max Drawdown (10Y)Largest decline over 10 years | -23.31% | -26.46% | +3.15% |
Current DrawdownCurrent decline from peak | -28.93% | -29.37% | +0.44% |
Average DrawdownAverage peak-to-trough decline | -23.50% | -22.32% | -1.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.68% | 2.33% | +0.35% |
Volatility
EURUSD=X vs. FXE - Volatility Comparison
The current volatility for Euro / U.S. Dollar (EURUSD=X) is 1.46%, while Invesco CurrencyShares® Euro Currency Trust (FXE) has a volatility of 1.55%. This indicates that EURUSD=X experiences smaller price fluctuations and is considered to be less risky than FXE 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 | FXE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.46% | 1.55% | -0.09% |
Volatility (6M)Calculated over the trailing 6-month period | 4.19% | 4.40% | -0.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.85% | 6.21% | -0.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.40% | 7.66% | -0.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.10% | 7.26% | -0.16% |
Frequently Asked Questions
EURUSD=X and FXE have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXE has higher volatility (1.55%) compared to EURUSD=X (1.46%). In terms of maximum drawdown, EURUSD=X dropped -40.01% vs FXE's -43.33%.
FXE currently has the higher Sharpe Ratio (-0.29 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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