NZDUSD=X vs. EURUSD=X
NZDUSD=X (New Zealand Dollar/US Dollar FX) and EURUSD=X (EUR/USD) are both currencies. Over the past 10 years, NZDUSD=X returned -1.84%/yr vs 0.15%/yr for EURUSD=X. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
NZDUSD=X vs. EURUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, NZDUSD=X achieves a 0.66% return, which is significantly higher than EURUSD=X's -1.90% return. Over the past 10 years, NZDUSD=X has underperformed EURUSD=X with an annualized return of -1.84%, while EURUSD=X has yielded a comparatively higher 0.15% annualized return.
NZDUSD=X
- 1D
- -1.27%
- 1M
- -2.73%
- YTD
- 0.66%
- 6M
- 0.33%
- 1Y
- -4.00%
- 3Y*
- -1.59%
- 5Y*
- -4.28%
- 10Y*
- -1.84%
EURUSD=X
- 1D
- -0.76%
- 1M
- -1.92%
- YTD
- -1.90%
- 6M
- -1.04%
- 1Y
- 0.68%
- 3Y*
- 2.52%
- 5Y*
- -1.08%
- 10Y*
- 0.15%
NZDUSD=X vs. EURUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NZDUSD=X New Zealand Dollar/US Dollar FX | 0.66% | 2.87% | -11.45% | -0.44% | -7.32% | -4.75% | 6.74% | 0.43% | -5.48% | 2.51% |
EURUSD=X EUR/USD | -1.90% | 13.43% | -6.18% | 3.16% | -6.01% | -6.81% | 8.85% | -1.94% | -4.66% | 14.14% |
Correlation
The correlation between NZDUSD=X and EURUSD=X is 0.73, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.73 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.67 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.65 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.59 |
Correlation (All Time) Calculated using the full available price history since Jul 4, 2007 | 0.56 |
The correlation between NZDUSD=X and EURUSD=X shifts across timeframes, from 0.56 (all time) to 0.73 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
NZDUSD=X vs. EURUSD=X — Risk / Return Rank
NZDUSD=X
EURUSD=X
NZDUSD=X vs. EURUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for New Zealand Dollar/US Dollar FX (NZDUSD=X) 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.
| NZDUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.49 | ||
| Sortino ratioReturn per unit of downside risk | -0.68 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.02 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | -0.38 | 0.11 | -0.49 |
| Martin ratioReturn relative to average drawdown | -0.76 | 0.25 | -1.01 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| NZDUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.40 | 0.09 | -0.49 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.39 | -0.13 | -0.26 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.18 | 0.02 | -0.20 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.12 | -0.09 | -0.03 |
Drawdowns
NZDUSD=X vs. EURUSD=X - Drawdown Comparison
The maximum NZDUSD=X drawdown since its inception was -39.83%, roughly equal to the maximum EURUSD=X drawdown of -40.01%. Use the drawdown chart below to compare losses from any high point for NZDUSD=X and EURUSD=X.
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Drawdown Indicators
| NZDUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.83% | -40.01% | +0.18% |
Max Drawdown (1Y)Largest decline over 1 year | -8.48% | -5.19% | -3.29% |
Max Drawdown (3Y)Largest decline over 3 years | -13.50% | -8.83% | -4.67% |
Max Drawdown (5Y)Largest decline over 5 years | -23.45% | -21.30% | -2.15% |
Max Drawdown (10Y)Largest decline over 10 years | -26.48% | -23.31% | -3.17% |
Current DrawdownCurrent decline from peak | -34.35% | -27.94% | -6.41% |
Average DrawdownAverage peak-to-trough decline | -19.65% | -23.42% | +3.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.48% | 2.41% | +1.07% |
Volatility
NZDUSD=X vs. EURUSD=X - Volatility Comparison
New Zealand Dollar/US Dollar FX (NZDUSD=X) has a higher volatility of 3.17% compared to EUR/USD (EURUSD=X) at 1.19%. This indicates that NZDUSD=X'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
| NZDUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.17% | 1.19% | +1.98% |
Volatility (6M)Calculated over the trailing 6-month period | 7.04% | 4.50% | +2.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.18% | 5.92% | +2.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.01% | 7.42% | +2.59% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.72% | 7.16% | +2.56% |
Frequently Asked Questions
NZDUSD=X and EURUSD=X have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NZDUSD=X has higher volatility (3.17%) compared to EURUSD=X (1.19%). In terms of maximum drawdown, NZDUSD=X dropped -39.83% vs EURUSD=X's -40.01%.
EURUSD=X currently has the higher Sharpe Ratio (0.09 vs -0.40), 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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