PortfoliosLab logo
EURUSD=X vs. XAU.TO
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EURUSD=X and XAU.TO is 0.10, 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. XAU.TO - Performance Comparison

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

0.00%1,000,000.00%2,000,000.00%3,000,000.00%4,000,000.00%NovemberDecember2025FebruaryMarchApril
-13.00%
2,950,828.07%
EURUSD=X
XAU.TO

Key characteristics

Sharpe Ratio

EURUSD=X:

0.74

XAU.TO:

-0.04

Sortino Ratio

EURUSD=X:

1.22

XAU.TO:

0.21

Omega Ratio

EURUSD=X:

1.12

XAU.TO:

1.03

Calmar Ratio

EURUSD=X:

0.03

XAU.TO:

-0.02

Martin Ratio

EURUSD=X:

1.61

XAU.TO:

-0.10

Ulcer Index

EURUSD=X:

4.22%

XAU.TO:

14.55%

Daily Std Dev

EURUSD=X:

7.41%

XAU.TO:

36.80%

Max Drawdown

EURUSD=X:

-39.99%

XAU.TO:

-83.45%

Current Drawdown

EURUSD=X:

-28.92%

XAU.TO:

-79.55%

Returns By Period

In the year-to-date period, EURUSD=X achieves a 9.75% return, which is significantly higher than XAU.TO's 3.51% return. Over the past 10 years, EURUSD=X has underperformed XAU.TO with an annualized return of 0.17%, while XAU.TO has yielded a comparatively higher 211.09% annualized return.


EURUSD=X

YTD

9.75%

1M

4.95%

6M

5.27%

1Y

6.27%

5Y*

1.37%

10Y*

0.17%

XAU.TO

YTD

3.51%

1M

-2.45%

6M

-21.17%

1Y

-0.50%

5Y*

-10.78%

10Y*

211.09%

*Annualized

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. XAU.TO — 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 6969
Overall Rank
The Sharpe Ratio Rank of EURUSD=X is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of EURUSD=X is 7777
Sortino Ratio Rank
The Omega Ratio Rank of EURUSD=X is 6767
Omega Ratio Rank
The Calmar Ratio Rank of EURUSD=X is 5252
Calmar Ratio Rank
The Martin Ratio Rank of EURUSD=X is 7474
Martin Ratio Rank

XAU.TO
The Risk-Adjusted Performance Rank of XAU.TO is 4747
Overall Rank
The Sharpe Ratio Rank of XAU.TO is 4949
Sharpe Ratio Rank
The Sortino Ratio Rank of XAU.TO is 4343
Sortino Ratio Rank
The Omega Ratio Rank of XAU.TO is 4343
Omega Ratio Rank
The Calmar Ratio Rank of XAU.TO is 5252
Calmar Ratio Rank
The Martin Ratio Rank of XAU.TO is 4949
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. XAU.TO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for EUR/USD (EURUSD=X) and Goldmoney Inc. (XAU.TO). 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 0.74, compared to the broader market-1.000.001.002.00
EURUSD=X: 0.74
XAU.TO: -0.01
The chart of Sortino ratio for EURUSD=X, currently valued at 1.22, compared to the broader market-1.000.001.002.003.004.00
EURUSD=X: 1.22
XAU.TO: 0.31
The chart of Omega ratio for EURUSD=X, currently valued at 1.12, compared to the broader market1.001.502.002.50
EURUSD=X: 1.12
XAU.TO: 1.03
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
XAU.TO: -0.02
The chart of Martin ratio for EURUSD=X, currently valued at 1.61, compared to the broader market0.005.0010.0015.0020.0025.00
EURUSD=X: 1.61
XAU.TO: -0.03

The current EURUSD=X Sharpe Ratio is 0.74, which is higher than the XAU.TO Sharpe Ratio of -0.04. The chart below compares the historical Sharpe Ratios of EURUSD=X and XAU.TO, 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
0.74
-0.01
EURUSD=X
XAU.TO

Drawdowns

EURUSD=X vs. XAU.TO - Drawdown Comparison

The maximum EURUSD=X drawdown since its inception was -39.99%, smaller than the maximum XAU.TO drawdown of -83.45%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and XAU.TO. For additional features, visit the drawdowns tool.


-80.00%-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%NovemberDecember2025FebruaryMarchApril
-18.44%
-81.03%
EURUSD=X
XAU.TO

Volatility

EURUSD=X vs. XAU.TO - Volatility Comparison

The current volatility for EUR/USD (EURUSD=X) is 4.02%, while Goldmoney Inc. (XAU.TO) has a volatility of 10.19%. This indicates that EURUSD=X experiences smaller price fluctuations and is considered to be less risky than XAU.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
4.02%
10.19%
EURUSD=X
XAU.TO