PortfoliosLab logo
PortfoliosLab logo
Tools
Portfolios
Screeners
Discussions
NZDUSD=X vs. EURUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

NZDUSD=X vs. EURUSD=X

Last updated May 16, 2025

Compare and contrast key facts about New Zealand Dollar/US Dollar FX (NZDUSD=X) and EUR/USD (EURUSD=X).

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NZDUSD=X or EURUSD=X.

Correlation

The correlation between NZDUSD=X and EURUSD=X is 0.12, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

NZDUSD=X vs. EURUSD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in New Zealand Dollar/US Dollar FX (NZDUSD=X) and EUR/USD (EURUSD=X). The values are adjusted to include any dividend payments, if applicable.

Loading data...

Key characteristics

Sharpe Ratio

NZDUSD=X:

-0.38

EURUSD=X:

0.41

Sortino Ratio

NZDUSD=X:

-0.47

EURUSD=X:

0.48

Omega Ratio

NZDUSD=X:

0.94

EURUSD=X:

1.05

Calmar Ratio

NZDUSD=X:

-0.06

EURUSD=X:

0.01

Martin Ratio

NZDUSD=X:

-0.54

EURUSD=X:

0.49

Ulcer Index

NZDUSD=X:

7.26%

EURUSD=X:

4.82%

Daily Std Dev

NZDUSD=X:

10.10%

EURUSD=X:

6.92%

Max Drawdown

NZDUSD=X:

-73.68%

EURUSD=X:

-39.98%

Current Drawdown

NZDUSD=X:

-60.58%

EURUSD=X:

-29.92%

Returns By Period

In the year-to-date period, NZDUSD=X achieves a 5.01% return, which is significantly lower than EURUSD=X's 8.23% return. Over the past 10 years, NZDUSD=X has underperformed EURUSD=X with an annualized return of -2.19%, while EURUSD=X has yielded a comparatively higher -0.27% annualized return.

NZDUSD=X

YTD

5.01%

1M

-0.42%

6M

0.41%

1Y

-4.05%

5Y*

-0.19%

10Y*

-2.19%

EURUSD=X

YTD

8.23%

1M

-0.79%

6M

6.41%

1Y

2.91%

5Y*

0.86%

10Y*

-0.27%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Risk-Adjusted Performance

NZDUSD=X vs. EURUSD=X — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
NZDUSD=X
The Risk-Adjusted Performance Rank of NZDUSD=X is 3232
Overall Rank
The Sharpe Ratio Rank of NZDUSD=X is 2929
Sharpe Ratio Rank
The Sortino Ratio Rank of NZDUSD=X is 3232
Sortino Ratio Rank
The Omega Ratio Rank of NZDUSD=X is 3030
Omega Ratio Rank
The Calmar Ratio Rank of NZDUSD=X is 3535
Calmar Ratio Rank
The Martin Ratio Rank of NZDUSD=X is 3636
Martin Ratio Rank
EURUSD=X
The Risk-Adjusted Performance Rank of EURUSD=X is 6161
Overall Rank
The Sharpe Ratio Rank of EURUSD=X is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of EURUSD=X is 6565
Sortino Ratio Rank
The Omega Ratio Rank of EURUSD=X is 6060
Omega Ratio Rank
The Calmar Ratio Rank of EURUSD=X is 5151
Calmar Ratio Rank
The Martin Ratio Rank of EURUSD=X is 5959
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

NZDUSD=X vs. EURUSD=X - Risk-Adjusted Performance 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.

The current NZDUSD=X Sharpe Ratio is -0.38, which is lower than the EURUSD=X Sharpe Ratio of 0.41. The chart below compares the historical Sharpe Ratios of NZDUSD=X and EURUSD=X, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Loading data...

Drawdowns

NZDUSD=X vs. EURUSD=X - Drawdown Comparison

The maximum NZDUSD=X drawdown since its inception was -73.68%, which is greater than EURUSD=X's maximum drawdown of -39.98%. Use the drawdown chart below to compare losses from any high point for NZDUSD=X and EURUSD=X. For additional features, visit the drawdowns tool.

Loading data...

Volatility

NZDUSD=X vs. EURUSD=X - Volatility Comparison

New Zealand Dollar/US Dollar FX (NZDUSD=X) has a higher volatility of 3.23% compared to EUR/USD (EURUSD=X) at 2.55%. 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.

Loading data...