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

Correlation

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

The chart below illustrates the hypothetical performance of a $10,000 investment in EUR/USD (EURUSD=X) and STOXX Europe 600 Index (^STOXX). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%80.00%December2025FebruaryMarchAprilMay
-4.47%
78.05%
EURUSD=X
^STOXX

Key characteristics

Sharpe Ratio

EURUSD=X:

0.67

^STOXX:

0.27

Sortino Ratio

EURUSD=X:

1.11

^STOXX:

0.44

Omega Ratio

EURUSD=X:

1.11

^STOXX:

1.06

Calmar Ratio

EURUSD=X:

0.03

^STOXX:

0.24

Martin Ratio

EURUSD=X:

1.45

^STOXX:

1.05

Ulcer Index

EURUSD=X:

4.23%

^STOXX:

3.81%

Daily Std Dev

EURUSD=X:

7.41%

^STOXX:

14.76%

Max Drawdown

EURUSD=X:

-39.99%

^STOXX:

-61.04%

Current Drawdown

EURUSD=X:

-29.33%

^STOXX:

-4.74%

Returns By Period

In the year-to-date period, EURUSD=X achieves a 9.13% return, which is significantly higher than ^STOXX's 5.68% return. Over the past 10 years, EURUSD=X has underperformed ^STOXX with an annualized return of 0.14%, while ^STOXX has yielded a comparatively higher 3.16% annualized return.


EURUSD=X

YTD

9.13%

1M

4.08%

6M

4.28%

1Y

5.33%

5Y*

0.78%

10Y*

0.14%

^STOXX

YTD

5.68%

1M

-0.09%

6M

5.00%

1Y

6.60%

5Y*

9.51%

10Y*

3.16%

*Annualized

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Risk-Adjusted Performance

EURUSD=X vs. ^STOXX — 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

^STOXX
The Risk-Adjusted Performance Rank of ^STOXX is 4141
Overall Rank
The Sharpe Ratio Rank of ^STOXX is 4141
Sharpe Ratio Rank
The Sortino Ratio Rank of ^STOXX is 3737
Sortino Ratio Rank
The Omega Ratio Rank of ^STOXX is 3838
Omega Ratio Rank
The Calmar Ratio Rank of ^STOXX is 4141
Calmar Ratio Rank
The Martin Ratio Rank of ^STOXX is 4747
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. ^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.


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
^STOXX: 0.56
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
^STOXX: 0.89
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
^STOXX: 1.10
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
^STOXX: 0.17
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
^STOXX: 2.07

The current EURUSD=X Sharpe Ratio is 0.67, which is higher than the ^STOXX Sharpe Ratio of 0.27. The chart below compares the historical Sharpe Ratios of EURUSD=X and ^STOXX, 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-1.00-0.500.000.501.00December2025FebruaryMarchAprilMay
0.67
0.56
EURUSD=X
^STOXX

Drawdowns

EURUSD=X vs. ^STOXX - Drawdown Comparison

The maximum EURUSD=X drawdown since its inception was -39.99%, 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.


-40.00%-30.00%-20.00%-10.00%0.00%December2025FebruaryMarchAprilMay
-29.33%
-0.09%
EURUSD=X
^STOXX

Volatility

EURUSD=X vs. ^STOXX - Volatility Comparison

The current volatility for EUR/USD (EURUSD=X) is 4.09%, while STOXX Europe 600 Index (^STOXX) has a volatility of 12.09%. 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.


2.00%4.00%6.00%8.00%10.00%12.00%December2025FebruaryMarchAprilMay
4.09%
12.09%
EURUSD=X
^STOXX