EURUSD=X vs. ^STOXX
Compare and contrast key facts about EUR/USD (EURUSD=X) and STOXX Europe 600 Index (^STOXX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EURUSD=X or ^STOXX.
Performance
EURUSD=X vs. ^STOXX - Performance Comparison
Returns By Period
In the year-to-date period, EURUSD=X achieves a -4.43% return, which is significantly lower than ^STOXX's 4.48% return. Over the past 10 years, EURUSD=X has underperformed ^STOXX with an annualized return of -1.52%, while ^STOXX has yielded a comparatively higher 3.72% annualized return.
EURUSD=X
-4.43%
-2.49%
-2.53%
-3.32%
-0.83%
-1.52%
^STOXX
4.48%
-4.03%
-3.97%
9.79%
4.29%
3.72%
Key characteristics
| EURUSD=X | ^STOXX | |
|---|---|---|
| Sharpe Ratio | -0.58 | 0.90 |
| Sortino Ratio | -0.75 | 1.27 |
| Omega Ratio | 0.91 | 1.16 |
| Calmar Ratio | -0.09 | 1.22 |
| Martin Ratio | -1.60 | 4.68 |
| Ulcer Index | 1.93% | 1.96% |
| Daily Std Dev | 5.46% | 10.10% |
| Max Drawdown | -57.54% | -61.04% |
| Current Drawdown | -34.03% | -5.22% |
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Correlation
The correlation between EURUSD=X and ^STOXX is 0.42, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
EURUSD=X vs. ^STOXX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for EUR/USD (EURUSD=X) and STOXX Europe 600 Index (^STOXX). 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.
Drawdowns
EURUSD=X vs. ^STOXX - Drawdown Comparison
The maximum EURUSD=X drawdown since its inception was -57.54%, smaller than the maximum ^STOXX drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and ^STOXX. For additional features, visit the drawdowns tool.
Volatility
EURUSD=X vs. ^STOXX - Volatility Comparison
The current volatility for EUR/USD (EURUSD=X) is 2.63%, while STOXX Europe 600 Index (^STOXX) has a volatility of 4.37%. This indicates that EURUSD=X experiences smaller price fluctuations and is considered to be less risky than ^STOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.