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EURUSD=X vs. USDU
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EURUSD=X and USDU is -0.75. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.8

Performance

EURUSD=X vs. USDU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in EUR/USD (EURUSD=X) and WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
-23.79%
48.75%
EURUSD=X
USDU

Key characteristics

Sharpe Ratio

EURUSD=X:

-0.67

USDU:

2.36

Sortino Ratio

EURUSD=X:

-0.87

USDU:

3.70

Omega Ratio

EURUSD=X:

0.89

USDU:

1.45

Calmar Ratio

EURUSD=X:

-0.11

USDU:

2.91

Martin Ratio

EURUSD=X:

-1.37

USDU:

11.62

Ulcer Index

EURUSD=X:

2.74%

USDU:

1.05%

Daily Std Dev

EURUSD=X:

5.48%

USDU:

5.18%

Max Drawdown

EURUSD=X:

-57.54%

USDU:

-14.53%

Current Drawdown

EURUSD=X:

-34.77%

USDU:

-0.38%

Returns By Period

In the year-to-date period, EURUSD=X achieves a -5.50% return, which is significantly lower than USDU's 13.58% return. Over the past 10 years, EURUSD=X has underperformed USDU with an annualized return of -1.46%, while USDU has yielded a comparatively higher 3.09% annualized return.


EURUSD=X

YTD

-5.50%

1M

-1.09%

6M

-2.45%

1Y

-5.26%

5Y*

-1.12%

10Y*

-1.46%

USDU

YTD

13.58%

1M

1.53%

6M

5.43%

1Y

13.04%

5Y*

4.18%

10Y*

3.09%

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for EUR/USD (EURUSD=X) and WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU). 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 market0.002.004.006.008.0010.00-0.672.06
The chart of Sortino ratio for EURUSD=X, currently valued at -0.87, compared to the broader market0.0010.0020.0030.0040.00-0.873.20
The chart of Omega ratio for EURUSD=X, currently valued at 0.89, compared to the broader market2.004.006.008.0010.000.891.43
The chart of Calmar ratio for EURUSD=X, currently valued at -0.15, compared to the broader market0.0020.0040.0060.0080.00-0.153.08
The chart of Martin ratio for EURUSD=X, currently valued at -1.37, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-1.378.34
EURUSD=X
USDU

The current EURUSD=X Sharpe Ratio is -0.67, which is lower than the USDU Sharpe Ratio of 2.36. The chart below compares the historical Sharpe Ratios of EURUSD=X and USDU, 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-1.00-0.500.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
-0.67
2.06
EURUSD=X
USDU

Drawdowns

EURUSD=X vs. USDU - Drawdown Comparison

The maximum EURUSD=X drawdown since its inception was -57.54%, which is greater than USDU's maximum drawdown of -14.53%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and USDU. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-25.15%
-0.38%
EURUSD=X
USDU

Volatility

EURUSD=X vs. USDU - Volatility Comparison

EUR/USD (EURUSD=X) has a higher volatility of 2.12% compared to WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU) at 1.53%. This indicates that EURUSD=X's price experiences larger fluctuations and is considered to be riskier than USDU based on this measure. 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%
1.53%
EURUSD=X
USDU
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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.

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