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EURUSD=X vs. ^GDAXI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EURUSD=X and ^GDAXI is 0.08, 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. ^GDAXI - Performance Comparison

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

0.00%100.00%200.00%300.00%NovemberDecember2025FebruaryMarchAprilMay
-4.28%
310.00%
EURUSD=X
^GDAXI

Key characteristics

Sharpe Ratio

EURUSD=X:

0.72

^GDAXI:

1.46

Sortino Ratio

EURUSD=X:

1.19

^GDAXI:

2.00

Omega Ratio

EURUSD=X:

1.11

^GDAXI:

1.27

Calmar Ratio

EURUSD=X:

0.03

^GDAXI:

1.61

Martin Ratio

EURUSD=X:

1.56

^GDAXI:

7.35

Ulcer Index

EURUSD=X:

4.23%

^GDAXI:

3.50%

Daily Std Dev

EURUSD=X:

7.42%

^GDAXI:

17.57%

Max Drawdown

EURUSD=X:

-39.99%

^GDAXI:

-72.68%

Current Drawdown

EURUSD=X:

-29.18%

^GDAXI:

-3.94%

Returns By Period

In the year-to-date period, EURUSD=X achieves a 9.35% return, which is significantly lower than ^GDAXI's 13.00% return. Over the past 10 years, EURUSD=X has underperformed ^GDAXI with an annualized return of 0.15%, while ^GDAXI has yielded a comparatively higher 6.93% annualized return.


EURUSD=X

YTD

9.35%

1M

4.66%

6M

4.29%

1Y

6.15%

5Y*

0.84%

10Y*

0.15%

^GDAXI

YTD

13.00%

1M

1.50%

6M

16.82%

1Y

25.46%

5Y*

15.49%

10Y*

6.93%

*Annualized

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Risk-Adjusted Performance

EURUSD=X vs. ^GDAXI — 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 6868
Overall Rank
The Sharpe Ratio Rank of EURUSD=X is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of EURUSD=X is 7676
Sortino Ratio Rank
The Omega Ratio Rank of EURUSD=X is 6363
Omega Ratio Rank
The Calmar Ratio Rank of EURUSD=X is 5151
Calmar Ratio Rank
The Martin Ratio Rank of EURUSD=X is 7272
Martin Ratio Rank

^GDAXI
The Risk-Adjusted Performance Rank of ^GDAXI is 9898
Overall Rank
The Sharpe Ratio Rank of ^GDAXI is 9797
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GDAXI is 9696
Sortino Ratio Rank
The Omega Ratio Rank of ^GDAXI is 9797
Omega Ratio Rank
The Calmar Ratio Rank of ^GDAXI is 9999
Calmar Ratio Rank
The Martin Ratio Rank of ^GDAXI is 9898
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. ^GDAXI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for EUR/USD (EURUSD=X) and DAX Performance Index (^GDAXI). 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 0.72, compared to the broader market-1.00-0.500.000.501.001.502.00
EURUSD=X: 0.72
^GDAXI: 1.72
The chart of Sortino ratio for EURUSD=X, currently valued at 1.19, compared to the broader market-1.000.001.002.003.00
EURUSD=X: 1.19
^GDAXI: 2.37
The chart of Omega ratio for EURUSD=X, currently valued at 1.11, compared to the broader market1.001.502.002.50
EURUSD=X: 1.11
^GDAXI: 1.27
The chart of Calmar ratio for EURUSD=X, currently valued at 0.03, compared to the broader market0.001.002.003.004.00
EURUSD=X: 0.03
^GDAXI: 0.96
The chart of Martin ratio for EURUSD=X, currently valued at 1.56, compared to the broader market0.005.0010.0015.0020.00
EURUSD=X: 1.56
^GDAXI: 10.44

The current EURUSD=X Sharpe Ratio is 0.72, which is lower than the ^GDAXI Sharpe Ratio of 1.46. The chart below compares the historical Sharpe Ratios of EURUSD=X and ^GDAXI, 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-1.000.001.002.00NovemberDecember2025FebruaryMarchAprilMay
0.72
1.72
EURUSD=X
^GDAXI

Drawdowns

EURUSD=X vs. ^GDAXI - Drawdown Comparison

The maximum EURUSD=X drawdown since its inception was -39.99%, smaller than the maximum ^GDAXI drawdown of -72.68%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and ^GDAXI. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchAprilMay
-29.18%
-0.47%
EURUSD=X
^GDAXI

Volatility

EURUSD=X vs. ^GDAXI - Volatility Comparison

The current volatility for EUR/USD (EURUSD=X) is 4.08%, while DAX Performance Index (^GDAXI) has a volatility of 12.28%. This indicates that EURUSD=X experiences smaller price fluctuations and is considered to be less risky than ^GDAXI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchAprilMay
4.08%
12.28%
EURUSD=X
^GDAXI