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 -2.06%/yr vs 7.00%/yr for ^STOXX. At a 0.46 correlation, their price movements are largely independent.
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 0.42% return, which is significantly lower than ^STOXX's 5.09% return. Over the past 10 years, NZDUSD=X has underperformed ^STOXX with an annualized return of -2.06%, while ^STOXX has yielded a comparatively higher 7.00% annualized return.
NZDUSD=X
- 1D
- 0.37%
- 1M
- -0.80%
- 6M
- 0.11%
- YTD
- 0.42%
- 1Y
- -3.46%
- 3Y*
- -3.19%
- 5Y*
- -3.84%
- 10Y*
- -2.06%
^STOXX
- 1D
- -0.10%
- 1M
- -0.08%
- 6M
- 2.67%
- YTD
- 5.09%
- 1Y
- 14.36%
- 3Y*
- 13.75%
- 5Y*
- 6.13%
- 10Y*
- 7.00%
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 | 0.42% | 2.87% | -11.45% | -0.44% | -7.32% | -4.75% | 6.74% | 0.43% | -5.48% | 2.51% |
^STOXX STOXX Europe 600 Index | 5.09% | 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 price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.45 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.46 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.50 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.44 |
Correlation (All Time) Calculated using the full available price history since Aug 16, 2007 | 0.46 |
The correlation between NZDUSD=X and ^STOXX has been stable across timeframes, ranging from 0.44 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 | -1.25 | ||
| Sortino ratioReturn per unit of downside risk | -1.82 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.17 | -0.22 |
| Calmar ratioReturn relative to maximum drawdown | -0.36 | 1.15 | -1.51 |
| Martin ratioReturn relative to average drawdown | -0.68 | 3.81 | -4.50 |
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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 | -7.67% | -11.59% | +3.92% |
Max Drawdown (3Y)Largest decline over 3 years | -13.17% | -15.22% | +2.05% |
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 | -34.50% | -2.30% | -32.20% |
Average DrawdownAverage peak-to-trough decline | -19.73% | -22.93% | +3.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.32% | 3.47% | -0.15% |
Volatility
NZDUSD=X vs. ^STOXX - Volatility Comparison
The current volatility for New Zealand Dollar/US Dollar FX (NZDUSD=X) is 1.79%, while STOXX Europe 600 Index (^STOXX) has a volatility of 4.12%. 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 | 1.79% | 4.12% | -2.33% |
Volatility (6M)Calculated over the trailing 6-month period | 6.73% | 12.33% | -5.60% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.09% | 14.64% | -6.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.97% | 17.50% | -7.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.63% | 17.27% | -7.64% |
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 (4.12%) compared to NZDUSD=X (1.79%). In terms of maximum drawdown, NZDUSD=X dropped -39.83% vs ^STOXX's -64.60%.
^STOXX currently has the higher Sharpe Ratio (0.91 vs -0.35), 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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