NZDUSD=X vs. ^STOXX
NZDUSD=X (New Zealand Dollar/US Dollar FX) is a currency, while ^STOXX (STOXX Europe 600 Index) is an index. Over the past 10 years, NZDUSD=X returned -1.94%/yr vs 7.13%/yr for ^STOXX. Their 0.46 correlation means their historical movements had little consistent relationship.
Performance
NZDUSD=X vs. ^STOXX - Performance Comparison
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Different Trading Currencies
NZDUSD=X is traded in USD, while ^STOXX is traded in EUR. To make them comparable, the ^STOXX values have been converted to USD using the latest available exchange rates.
Returns By Period
In the year-to-date period, NZDUSD=X achieves a 2.50% return, which is significantly lower than ^STOXX's 7.59% return. Over the past 10 years, NZDUSD=X has underperformed ^STOXX with an annualized return of -1.94%, while ^STOXX has yielded a comparatively higher 7.13% annualized return.
NZDUSD=X
- 1D
- 0.19%
- 1M
- 3.42%
- 6M
- -1.96%
- YTD
- 2.50%
- 1Y
- -0.24%
- 3Y*
- -0.99%
- 5Y*
- -3.41%
- 10Y*
- -1.94%
- ALL TIME*
- -0.82%
^STOXX
- 1D
- 0.00%
- 1M
- 0.35%
- 6M
- 3.48%
- YTD
- 7.59%
- 1Y
- 20.19%
- 3Y*
- 13.07%
- 5Y*
- 6.46%
- 10Y*
- 7.13%
- ALL TIME*
- 1.99%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^STOXX STOXX Europe 600 Index | $120.03B | $116.32B | $138.07B |
NZDUSD=X New Zealand Dollar/US Dollar FX | $75.19K | $73.22K | $85.22K |
NZDUSD=X vs. ^STOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NZDUSD=X New Zealand Dollar/US Dollar FX | 2.50% | 2.87% | -11.45% | -0.44% | -7.32% | -4.75% | 6.74% | 0.43% | -5.48% | 2.51% |
^STOXX STOXX Europe 600 Index | 7.59% | 32.56% | -0.63% | 16.30% | -17.85% | 12.47% | 5.57% | 21.16% | -17.67% | 22.91% |
Correlation
The correlation between NZDUSD=X and ^STOXX is 0.45, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.45 |
Correlation (3Y) Balances recent behavior with more history. | 0.47 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.50 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.45 |
Correlation (All Time) Calculated using the full available price history since Sep 10, 2007 | 0.46 |
The correlation between NZDUSD=X and ^STOXX has been stable across timeframes, ranging from 0.45 to 0.50 - a consistent structural relationship.
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Return for Risk
NZDUSD=X vs. ^STOXX — Risk / Return Rank
NZDUSD=X
^STOXX
NZDUSD=X vs. ^STOXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for New Zealand Dollar/US Dollar FX (NZDUSD=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.
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.
| NZDUSD=X | ^STOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.43 | ||
| Sortino ratioReturn per unit of downside risk | -2.03 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.26 | -0.25 |
| Calmar ratioReturn relative to maximum drawdown | -0.03 | 1.77 | -1.79 |
| Martin ratioReturn relative to average drawdown | -0.05 | 5.90 | -5.95 |
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Drawdowns
NZDUSD=X vs. ^STOXX - Drawdown Comparison
The maximum NZDUSD=X drawdown since its inception was -39.83%, smaller than the maximum ^STOXX drawdown of -64.60%. Use the drawdown chart below to compare losses from any high point for NZDUSD=X and ^STOXX.
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Drawdown Indicators
| NZDUSD=X | ^STOXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.83% | -64.60% | +24.77% |
Max Drawdown (1Y)Largest decline over 1 year | -7.34% | -11.59% | +4.25% |
Max Drawdown (3Y)Largest decline over 3 years | -12.88% | -15.22% | +2.34% |
Max Drawdown (5Y)Largest decline over 5 years | -23.19% | -33.96% | +10.77% |
Max Drawdown (10Y)Largest decline over 10 years | -26.48% | -39.58% | +13.10% |
Current DrawdownCurrent decline from peak | -33.15% | 0.00% | -33.15% |
Average DrawdownAverage peak-to-trough decline | -19.84% | -22.90% | +3.06% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.31% | 3.45% | -0.14% |
Volatility
NZDUSD=X vs. ^STOXX - Volatility Comparison
The current volatility for New Zealand Dollar/US Dollar FX (NZDUSD=X) is 2.36%, while STOXX Europe 600 Index (^STOXX) has a volatility of 3.44%. This indicates that NZDUSD=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.
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Volatility by Period
| NZDUSD=X | ^STOXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.36% | 3.44% | -1.08% |
Volatility (6M)Calculated over the trailing 6-month period | 6.68% | 12.15% | -5.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.17% | 14.55% | -6.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.96% | 17.46% | -7.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.60% | 17.25% | -7.65% |
Frequently Asked Questions
NZDUSD=X and ^STOXX have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^STOXX has higher volatility (3.44%) compared to NZDUSD=X (2.36%). In terms of maximum drawdown, NZDUSD=X dropped -39.83% vs ^STOXX's -64.60%.
^STOXX currently has the higher Sharpe Ratio (1.41 vs -0.02), 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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