FXE vs. EURUSD=X
FXE (Invesco CurrencyShares® Euro Currency Trust) is Currency fund tracking the Euro, while EURUSD=X (Euro / U.S. Dollar) is a currency. Over the past 10 years, FXE returned 0.28%/yr vs 0.36%/yr for EURUSD=X. With a 0.97 correlation, they move nearly in lockstep.
Performance
FXE vs. EURUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, FXE achieves a -2.40% return, which is significantly higher than EURUSD=X's -2.66% return. Over the past 10 years, FXE has underperformed EURUSD=X with an annualized return of 0.28%, while EURUSD=X has yielded a comparatively higher 0.36% annualized return.
FXE
- 1D
- 0.36%
- 1M
- -1.28%
- 6M
- -1.57%
- YTD
- -2.40%
- 1Y
- -1.42%
- 3Y*
- 2.09%
- 5Y*
- 0.11%
- 10Y*
- 0.28%
EURUSD=X
- 1D
- 0.47%
- 1M
- -1.46%
- 6M
- -1.80%
- YTD
- -2.66%
- 1Y
- -1.99%
- 3Y*
- 0.62%
- 5Y*
- -0.65%
- 10Y*
- 0.36%
FXE vs. EURUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXE Invesco CurrencyShares® Euro Currency Trust | -2.40% | 14.52% | -4.18% | 4.87% | -6.57% | -7.83% | 7.94% | -2.90% | -5.30% | 13.05% |
EURUSD=X Euro / U.S. Dollar | -2.66% | 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 Jul 10, 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
FXE
EURUSD=X
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.
| FXE | EURUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.05 | ||
| Sortino ratioReturn per unit of downside risk | +0.07 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 0.96 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | -0.26 | -0.28 | +0.02 |
| Martin ratioReturn relative to average drawdown | -0.56 | -0.59 | +0.03 |
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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
| FXE | EURUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -43.33% | -40.01% | -3.32% |
Max Drawdown (1Y)Largest decline over 1 year | -5.40% | -5.67% | +0.27% |
Max Drawdown (3Y)Largest decline over 3 years | -8.12% | -8.83% | +0.71% |
Max Drawdown (5Y)Largest decline over 5 years | -20.21% | -19.28% | -0.93% |
Max Drawdown (10Y)Largest decline over 10 years | -26.46% | -23.31% | -3.15% |
Current DrawdownCurrent decline from peak | -29.01% | -28.50% | -0.51% |
Average DrawdownAverage peak-to-trough decline | -22.33% | -23.59% | +1.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.53% | 2.80% | -0.27% |
Volatility
FXE vs. EURUSD=X - Volatility Comparison
Invesco CurrencyShares® Euro Currency Trust (FXE) has a higher volatility of 1.53% compared to Euro / U.S. Dollar (EURUSD=X) at 1.10%. 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
| FXE | EURUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.53% | 1.10% | +0.43% |
Volatility (6M)Calculated over the trailing 6-month period | 4.45% | 4.04% | +0.41% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.20% | 5.82% | +0.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.65% | 7.39% | +0.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.26% | 7.09% | +0.17% |
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 (1.53%) compared to EURUSD=X (1.10%). In terms of maximum drawdown, FXE dropped -43.33% vs EURUSD=X's -40.01%.
FXE currently has the higher Sharpe Ratio (-0.23 vs -0.28), 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.
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