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

Correlation

The correlation between EURUSD=X and ^GSPC 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. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in EUR/USD (EURUSD=X) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%December2025FebruaryMarchAprilMay
-4.47%
363.05%
EURUSD=X
^GSPC

Key characteristics

Sharpe Ratio

EURUSD=X:

0.67

^GSPC:

0.67

Sortino Ratio

EURUSD=X:

1.11

^GSPC:

1.05

Omega Ratio

EURUSD=X:

1.11

^GSPC:

1.16

Calmar Ratio

EURUSD=X:

0.03

^GSPC:

0.68

Martin Ratio

EURUSD=X:

1.45

^GSPC:

2.70

Ulcer Index

EURUSD=X:

4.23%

^GSPC:

4.78%

Daily Std Dev

EURUSD=X:

7.41%

^GSPC:

19.41%

Max Drawdown

EURUSD=X:

-39.99%

^GSPC:

-56.78%

Current Drawdown

EURUSD=X:

-29.33%

^GSPC:

-7.45%

Returns By Period

In the year-to-date period, EURUSD=X achieves a 9.13% return, which is significantly higher than ^GSPC's -3.31% return. Over the past 10 years, EURUSD=X has underperformed ^GSPC with an annualized return of 0.14%, while ^GSPC has yielded a comparatively higher 10.56% annualized return.


EURUSD=X

YTD

9.13%

1M

4.08%

6M

4.28%

1Y

5.33%

5Y*

0.78%

10Y*

0.14%

^GSPC

YTD

-3.31%

1M

0.28%

6M

-0.74%

1Y

12.29%

5Y*

15.01%

10Y*

10.56%

*Annualized

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Risk-Adjusted Performance

EURUSD=X vs. ^GSPC — 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 7171
Overall Rank
The Sharpe Ratio Rank of EURUSD=X is 8080
Sharpe Ratio Rank
The Sortino Ratio Rank of EURUSD=X is 7979
Sortino Ratio Rank
The Omega Ratio Rank of EURUSD=X is 7070
Omega Ratio Rank
The Calmar Ratio Rank of EURUSD=X is 5252
Calmar Ratio Rank
The Martin Ratio Rank of EURUSD=X is 7575
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 8282
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 8383
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 7979
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 8181
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 8383
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 8484
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. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for EUR/USD (EURUSD=X) and S&P 500 (^GSPC). 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 0.67, compared to the broader market-1.00-0.500.000.501.001.502.00
EURUSD=X: 0.67
^GSPC: 0.50
The chart of Sortino ratio for EURUSD=X, currently valued at 1.11, compared to the broader market-1.000.001.002.003.00
EURUSD=X: 1.11
^GSPC: 0.84
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
^GSPC: 1.11
The chart of Calmar ratio for EURUSD=X, currently valued at 0.03, compared to the broader market0.001.002.003.00
EURUSD=X: 0.03
^GSPC: 0.13
The chart of Martin ratio for EURUSD=X, currently valued at 1.45, compared to the broader market0.005.0010.0015.0020.00
EURUSD=X: 1.45
^GSPC: 2.17

The current EURUSD=X Sharpe Ratio is 0.67, which is comparable to the ^GSPC Sharpe Ratio of 0.67. The chart below compares the historical Sharpe Ratios of EURUSD=X and ^GSPC, 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-1.000.001.002.003.00December2025FebruaryMarchAprilMay
0.67
0.50
EURUSD=X
^GSPC

Drawdowns

EURUSD=X vs. ^GSPC - Drawdown Comparison

The maximum EURUSD=X drawdown since its inception was -39.99%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and ^GSPC. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%December2025FebruaryMarchAprilMay
-29.33%
-7.45%
EURUSD=X
^GSPC

Volatility

EURUSD=X vs. ^GSPC - Volatility Comparison

The current volatility for EUR/USD (EURUSD=X) is 4.09%, while S&P 500 (^GSPC) has a volatility of 14.09%. This indicates that EURUSD=X experiences smaller price fluctuations and is considered to be less risky than ^GSPC 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%14.00%December2025FebruaryMarchAprilMay
4.09%
14.09%
EURUSD=X
^GSPC