PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EURUSD=X vs. GBPUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EURUSD=X and GBPUSD=X is 0.64, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

EURUSD=X vs. GBPUSD=X - Performance Comparison

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

-4.00%-2.00%0.00%2.00%4.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
-2.45%
-0.61%
EURUSD=X
GBPUSD=X

Key characteristics

Sharpe Ratio

EURUSD=X:

-0.67

GBPUSD=X:

-0.12

Sortino Ratio

EURUSD=X:

-0.87

GBPUSD=X:

-0.12

Omega Ratio

EURUSD=X:

0.89

GBPUSD=X:

0.99

Calmar Ratio

EURUSD=X:

-0.11

GBPUSD=X:

-0.02

Martin Ratio

EURUSD=X:

-1.37

GBPUSD=X:

-0.30

Ulcer Index

EURUSD=X:

2.74%

GBPUSD=X:

2.52%

Daily Std Dev

EURUSD=X:

5.48%

GBPUSD=X:

6.17%

Max Drawdown

EURUSD=X:

-57.54%

GBPUSD=X:

-49.30%

Current Drawdown

EURUSD=X:

-34.77%

GBPUSD=X:

-40.37%

Returns By Period

In the year-to-date period, EURUSD=X achieves a -5.50% return, which is significantly lower than GBPUSD=X's -1.27% return. Over the past 10 years, EURUSD=X has outperformed GBPUSD=X with an annualized return of -1.46%, while GBPUSD=X has yielded a comparatively lower -2.02% annualized return.


EURUSD=X

YTD

-5.50%

1M

-1.09%

6M

-2.45%

1Y

-5.26%

5Y*

-1.12%

10Y*

-1.46%

GBPUSD=X

YTD

-1.27%

1M

-0.66%

6M

-0.62%

1Y

-0.95%

5Y*

-0.65%

10Y*

-2.02%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

EURUSD=X vs. GBPUSD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for EUR/USD (EURUSD=X) and GBP/USD (GBPUSD=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.


Sharpe ratio
The chart of Sharpe ratio for EURUSD=X, currently valued at -0.67, compared to the broader market0.002.004.006.008.0010.00-0.67-0.13
The chart of Sortino ratio for EURUSD=X, currently valued at -0.87, compared to the broader market0.0010.0020.0030.0040.00-0.87-0.13
The chart of Omega ratio for EURUSD=X, currently valued at 0.89, compared to the broader market2.004.006.008.0010.000.890.98
The chart of Calmar ratio for EURUSD=X, currently valued at -0.11, compared to the broader market0.0020.0040.0060.0080.00-0.11-0.02
The chart of Martin ratio for EURUSD=X, currently valued at -1.37, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-1.37-0.27
EURUSD=X
GBPUSD=X

The current EURUSD=X Sharpe Ratio is -0.67, which is lower than the GBPUSD=X Sharpe Ratio of -0.12. The chart below compares the historical Sharpe Ratios of EURUSD=X and GBPUSD=X, 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-1.00-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.67
-0.13
EURUSD=X
GBPUSD=X

Drawdowns

EURUSD=X vs. GBPUSD=X - Drawdown Comparison

The maximum EURUSD=X drawdown since its inception was -57.54%, which is greater than GBPUSD=X's maximum drawdown of -49.30%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and GBPUSD=X. For additional features, visit the drawdowns tool.


-40.00%-38.00%-36.00%-34.00%-32.00%-30.00%JulyAugustSeptemberOctoberNovemberDecember
-34.77%
-40.37%
EURUSD=X
GBPUSD=X

Volatility

EURUSD=X vs. GBPUSD=X - Volatility Comparison

EUR/USD (EURUSD=X) and GBP/USD (GBPUSD=X) have volatilities of 2.12% and 2.12%, 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.


1.00%1.50%2.00%2.50%3.00%JulyAugustSeptemberOctoberNovemberDecember
2.12%
2.12%
EURUSD=X
GBPUSD=X
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab