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FXE vs. EURUSD=X
Performance
Return for Risk
Drawdowns
Volatility

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 Euro / U.S. Dollar (EURUSD=X). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, FXE achieves a -3.05% return, which is significantly higher than EURUSD=X's -3.34% return. Over the past 10 years, FXE has underperformed EURUSD=X with an annualized return of 0.20%, while EURUSD=X has yielded a comparatively higher 0.24% annualized return.


FXE

1D
-0.25%
1M
-2.12%
YTD
-3.05%
6M
-3.24%
1Y
-1.56%
3Y*
2.92%
5Y*
-0.24%
10Y*
0.20%

EURUSD=X

1D
-0.25%
1M
-2.49%
YTD
-3.34%
6M
-3.60%
1Y
-2.20%
3Y*
1.39%
5Y*
-0.99%
10Y*
0.24%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FXE vs. EURUSD=X - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
FXE
Invesco CurrencyShares® Euro Currency Trust
-3.05%14.52%-4.18%4.87%-6.57%-7.83%7.94%-2.90%-5.30%13.05%
EURUSD=X
Euro / U.S. Dollar
-3.34%13.43%-6.18%3.16%-6.01%-6.81%8.85%-1.94%-4.66%14.14%

Correlation

The correlation between FXE and EURUSD=X is 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.89

Correlation (3Y)
Calculated over the trailing 3-year period

0.94

Correlation (5Y)
Calculated over the trailing 5-year period

0.96

Correlation (10Y)
Calculated over the trailing 10-year period

0.97

Correlation (All Time)
Calculated using the full available price history since Jun 15, 2007

0.97

The correlation between FXE and EURUSD=X has been stable across timeframes, ranging from 0.89 to 0.97 - a consistent structural relationship.

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Return for Risk

FXE vs. EURUSD=X — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FXE
FXE Risk / Return Rank: 66
Overall Rank
FXE Sharpe Ratio Rank: 77
Sharpe Ratio Rank
FXE Sortino Ratio Rank: 66
Sortino Ratio Rank
FXE Omega Ratio Rank: 66
Omega Ratio Rank
FXE Calmar Ratio Rank: 66
Calmar Ratio Rank
FXE Martin Ratio Rank: 66
Martin Ratio Rank

EURUSD=X
EURUSD=X Risk / Return Rank: 3030
Overall Rank
EURUSD=X Sharpe Ratio Rank: 3131
Sharpe Ratio Rank
EURUSD=X Sortino Ratio Rank: 3131
Sortino Ratio Rank
EURUSD=X Omega Ratio Rank: 3131
Omega Ratio Rank
EURUSD=X Calmar Ratio Rank: 3232
Calmar Ratio Rank
EURUSD=X Martin Ratio Rank: 2525
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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

This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Euro Currency Trust (FXE) and Euro / U.S. Dollar (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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.


FXEEURUSD=XDifference
Sharpe ratioReturn per unit of total volatility

+0.05

Sortino ratioReturn per unit of downside risk

+0.08

Omega ratioGain probability vs. loss probability

0.96

0.95

+0.01

Calmar ratioReturn relative to maximum drawdown

-0.29

-0.31

+0.02

Martin ratioReturn relative to average drawdown

-0.68

-0.72

+0.04

FXE vs. EURUSD=X - Sharpe Ratio Comparison

The current FXE Sharpe Ratio is -0.25, which is comparable to the EURUSD=X Sharpe Ratio of -0.30. The chart below compares the historical Sharpe Ratios of FXE and EURUSD=X, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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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 -40.01%. Use the drawdown chart below to compare losses from any high point for FXE and EURUSD=X.


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Drawdown Indicators


FXEEURUSD=XDifference

Max Drawdown

Largest peak-to-trough decline

-43.33%

-40.01%

-3.32%

Max Drawdown (1Y)

Largest decline over 1 year

-5.40%

-5.71%

+0.31%

Max Drawdown (3Y)

Largest decline over 3 years

-8.12%

-8.83%

+0.71%

Max Drawdown (5Y)

Largest decline over 5 years

-20.61%

-19.63%

-0.98%

Max Drawdown (10Y)

Largest decline over 10 years

-26.46%

-23.31%

-3.15%

Current Drawdown

Current decline from peak

-29.48%

-29.00%

-0.48%

Average Drawdown

Average peak-to-trough decline

-22.32%

-23.50%

+1.18%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.30%

2.65%

-0.35%

Volatility

FXE vs. EURUSD=X - Volatility Comparison

Invesco CurrencyShares® Euro Currency Trust (FXE) has a higher volatility of 1.56% compared to Euro / U.S. Dollar (EURUSD=X) at 1.45%. 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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Volatility by Period


FXEEURUSD=XDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.56%

1.45%

+0.11%

Volatility (6M)

Calculated over the trailing 6-month period

4.41%

4.20%

+0.21%

Volatility (1Y)

Calculated over the trailing 1-year period

6.22%

5.86%

+0.36%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

7.66%

7.40%

+0.26%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

7.26%

7.10%

+0.16%

Frequently Asked Questions


FXE and EURUSD=X have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

FXE has higher volatility (1.56%) compared to EURUSD=X (1.45%). In terms of maximum drawdown, FXE dropped -43.33% vs EURUSD=X's -40.01%.

FXE currently has the higher Sharpe Ratio (-0.25 vs -0.30), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

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