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FXE vs. EURUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

FXE vs. EURUSD=X

Last updated May 15, 2025

Compare and contrast key facts about Invesco CurrencyShares® Euro Currency Trust (FXE) and EUR/USD (EURUSD=X).

FXE is a passively managed fund by Invesco that tracks the performance of the Euro. It was launched on Dec 9, 2005.

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FXE or EURUSD=X.

Correlation

The correlation between FXE and EURUSD=X is 0.13, 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

FXE vs. EURUSD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco CurrencyShares® Euro Currency Trust (FXE) and EUR/USD (EURUSD=X). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FXE:

0.63

EURUSD=X:

0.37

Sortino Ratio

FXE:

1.14

EURUSD=X:

0.44

Omega Ratio

FXE:

1.13

EURUSD=X:

1.04

Calmar Ratio

FXE:

0.15

EURUSD=X:

0.01

Martin Ratio

FXE:

1.49

EURUSD=X:

0.45

Ulcer Index

FXE:

3.66%

EURUSD=X:

4.82%

Daily Std Dev

FXE:

8.01%

EURUSD=X:

6.95%

Max Drawdown

FXE:

-43.33%

EURUSD=X:

-39.98%

Current Drawdown

FXE:

-31.20%

EURUSD=X:

-30.00%

Returns By Period

The year-to-date returns for both stocks are quite close, with FXE having a 8.32% return and EURUSD=X slightly lower at 8.10%. Over the past 10 years, FXE has underperformed EURUSD=X with an annualized return of -0.45%, while EURUSD=X has yielded a comparatively higher -0.24% annualized return.

FXE

YTD

8.32%

1M

-1.63%

6M

6.44%

1Y

5.02%

5Y*

1.03%

10Y*

-0.45%

EURUSD=X

YTD

8.10%

1M

-1.28%

6M

5.92%

1Y

3.50%

5Y*

0.83%

10Y*

-0.24%

*Annualized

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Risk-Adjusted Performance

FXE vs. EURUSD=X — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FXE
The Risk-Adjusted Performance Rank of FXE is 5050
Overall Rank
The Sharpe Ratio Rank of FXE is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of FXE is 6767
Sortino Ratio Rank
The Omega Ratio Rank of FXE is 5555
Omega Ratio Rank
The Calmar Ratio Rank of FXE is 2424
Calmar Ratio Rank
The Martin Ratio Rank of FXE is 4444
Martin Ratio Rank
EURUSD=X
The Risk-Adjusted Performance Rank of EURUSD=X is 5757
Overall Rank
The Sharpe Ratio Rank of EURUSD=X is 6363
Sharpe Ratio Rank
The Sortino Ratio Rank of EURUSD=X is 6161
Sortino Ratio Rank
The Omega Ratio Rank of EURUSD=X is 5757
Omega Ratio Rank
The Calmar Ratio Rank of EURUSD=X is 5050
Calmar Ratio Rank
The Martin Ratio Rank of EURUSD=X is 5656
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.

FXE vs. EURUSD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Euro Currency Trust (FXE) and EUR/USD (EURUSD=X). 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 FXE Sharpe Ratio is 0.63, which is higher than the EURUSD=X Sharpe Ratio of 0.37. The chart below compares the historical Sharpe Ratios of FXE and EURUSD=X, 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

FXE vs. EURUSD=X - Drawdown Comparison

The maximum FXE drawdown since its inception was -43.33%, which is greater than EURUSD=X's maximum drawdown of -39.98%. Use the drawdown chart below to compare losses from any high point for FXE and EURUSD=X. For additional features, visit the drawdowns tool.

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Volatility

FXE vs. EURUSD=X - Volatility Comparison

Invesco CurrencyShares® Euro Currency Trust (FXE) has a higher volatility of 3.16% compared to EUR/USD (EURUSD=X) at 2.72%. This indicates that FXE's price experiences larger fluctuations and is considered to be riskier than EURUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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