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

Correlation

The correlation between EURUSD=X and ^GSPC is 0.11, 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.


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.

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Key characteristics

Sharpe Ratio

EURUSD=X:

0.63

^GSPC:

0.52

Sortino Ratio

EURUSD=X:

0.49

^GSPC:

0.78

Omega Ratio

EURUSD=X:

1.05

^GSPC:

1.11

Calmar Ratio

EURUSD=X:

0.01

^GSPC:

0.48

Martin Ratio

EURUSD=X:

0.51

^GSPC:

1.81

Ulcer Index

EURUSD=X:

4.82%

^GSPC:

4.99%

Daily Std Dev

EURUSD=X:

6.98%

^GSPC:

19.70%

Max Drawdown

EURUSD=X:

-39.98%

^GSPC:

-56.78%

Current Drawdown

EURUSD=X:

-28.92%

^GSPC:

-5.56%

Returns By Period

In the year-to-date period, EURUSD=X achieves a 9.77% return, which is significantly higher than ^GSPC's -1.34% return. Over the past 10 years, EURUSD=X has underperformed ^GSPC with an annualized return of 0.43%, while ^GSPC has yielded a comparatively higher 10.68% annualized return.


EURUSD=X

YTD

9.77%

1M

-0.07%

6M

9.07%

1Y

4.79%

3Y*

2.07%

5Y*

0.82%

10Y*

0.43%

^GSPC

YTD

-1.34%

1M

5.80%

6M

-2.79%

1Y

9.39%

3Y*

13.76%

5Y*

14.45%

10Y*

10.68%

*Annualized

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EUR/USD

S&P 500

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

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 5959
Overall Rank
The Sharpe Ratio Rank of EURUSD=X is 7474
Sharpe Ratio Rank
The Sortino Ratio Rank of EURUSD=X is 5757
Sortino Ratio Rank
The Omega Ratio Rank of EURUSD=X is 5555
Omega Ratio Rank
The Calmar Ratio Rank of EURUSD=X is 5151
Calmar Ratio Rank
The Martin Ratio Rank of EURUSD=X is 5757
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6161
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 5656
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 5959
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 5858
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 6767
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 current EURUSD=X Sharpe Ratio is 0.63, which is comparable to the ^GSPC Sharpe Ratio of 0.52. 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.


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Drawdowns

EURUSD=X vs. ^GSPC - Drawdown Comparison

The maximum EURUSD=X drawdown since its inception was -39.98%, 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.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

EURUSD=X vs. ^GSPC - Volatility Comparison

The current volatility for EUR/USD (EURUSD=X) is 2.26%, while S&P 500 (^GSPC) has a volatility of 4.37%. 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.


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