NZDUSD=X vs. SPY

Last updated Jun 6, 2026

NZDUSD=X (New Zealand Dollar/US Dollar FX) is a currency, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, NZDUSD=X returned -1.84%/yr vs 15.16%/yr for SPY. At a 0.39 correlation, their price movements are largely independent.

Performance

NZDUSD=X vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in New Zealand Dollar/US Dollar FX (NZDUSD=X) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NZDUSD=X achieves a 0.66% return, which is significantly lower than SPY's 8.45% return. Over the past 10 years, NZDUSD=X has underperformed SPY with an annualized return of -1.84%, while SPY has yielded a comparatively higher 15.16% 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%

SPY

• 1D: -2.58%
• 1M: 0.51%
• YTD: 8.45%
• 6M: 8.18%
• 1Y: 25.79%
• 3Y*: 21.43%
• 5Y*: 13.32%
• 10Y*: 15.16%

*Multi-year figures are annualized to reflect compound growth (CAGR)

NZDUSD=X vs. SPY - 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%
SPY State Street SPDR S&P 500 ETF	8.45%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between NZDUSD=X and SPY is 0.46, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.46
Correlation (3Y) Calculated over the trailing 3-year period	0.32
Correlation (5Y) Calculated over the trailing 5-year period	0.37
Correlation (10Y) Calculated over the trailing 10-year period	0.33
Correlation (All Time) Calculated using the full available price history since Jul 4, 2007	0.39

The correlation between NZDUSD=X and SPY shifts across timeframes, from 0.32 (3 years) to 0.46 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

NZDUSD=X vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

NZDUSD=X

NZDUSD=X Risk / Return Rank: 27
NZDUSD=X Sharpe Ratio Rank: 28
NZDUSD=X Sortino Ratio Rank: 28
NZDUSD=X Omega Ratio Rank: 28
NZDUSD=X Calmar Ratio Rank: 27
NZDUSD=X Martin Ratio Rank: 25

SPY

SPY Risk / Return Rank: 66
SPY Sharpe Ratio Rank: 66
SPY Sortino Ratio Rank: 63
SPY Omega Ratio Rank: 66
SPY Calmar Ratio Rank: 60
SPY Martin Ratio Rank: 73

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

NZDUSD=X vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for New Zealand Dollar/US Dollar FX (NZDUSD=X) and State Street SPDR S&P 500 ETF (SPY). 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	SPY	Difference
Sharpe ratio: Return per unit of total volatility	-0.40	2.14	-2.54
Sortino ratio: Return per unit of downside risk	-0.50	2.88	-3.38
Omega ratio: Gain probability vs. loss probability	0.94	1.39	-0.45
Calmar ratio: Return relative to maximum drawdown	-0.38	2.92	-3.30
Martin ratio: Return relative to average drawdown	-0.76	13.50	-14.27
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NZDUSD=X vs. SPY - Sharpe Ratio Comparison

The current NZDUSD=X Sharpe Ratio is -0.40, which is lower than the SPY Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of NZDUSD=X and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	NZDUSD=X	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.40	2.14	-2.54
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.39	0.78	-1.18
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.18	0.85	-1.03
Sharpe Ratio (All Time) Calculated using the full available price history	-0.12	0.58	-0.70

Drawdowns

NZDUSD=X vs. SPY - Drawdown Comparison

The maximum NZDUSD=X drawdown since its inception was -39.83%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for NZDUSD=X and SPY.

Drawdown Indicators

	NZDUSD=X	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-39.83%	-55.19%	+15.36%
Max Drawdown (1Y) Largest decline over 1 year	-8.48%	-8.88%	+0.40%
Max Drawdown (3Y) Largest decline over 3 years	-13.50%	-18.76%	+5.26%
Max Drawdown (5Y) Largest decline over 5 years	-23.45%	-24.50%	+1.05%
Max Drawdown (10Y) Largest decline over 10 years	-26.48%	-33.72%	+7.24%
Current Drawdown Current decline from peak	-34.35%	-2.90%	-31.45%
Average Drawdown Average peak-to-trough decline	-19.65%	-9.05%	-10.60%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.48%	1.91%	+1.57%

Volatility

NZDUSD=X vs. SPY - Volatility Comparison

The current volatility for New Zealand Dollar/US Dollar FX (NZDUSD=X) is 3.17%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 3.73%. This indicates that NZDUSD=X experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NZDUSD=X	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.17%	3.73%	-0.56%
Volatility (6M) Calculated over the trailing 6-month period	7.04%	9.31%	-2.27%
Volatility (1Y) Calculated over the trailing 1-year period	8.18%	12.12%	-3.94%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.01%	17.09%	-7.08%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.72%	17.95%	-8.23%

Frequently Asked Questions

Can I hold both NZDUSD=X and SPY in my portfolio?

NZDUSD=X and SPY have a correlation of 0.46, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NZDUSD=X or SPY?

SPY has higher volatility (3.73%) compared to NZDUSD=X (3.17%). In terms of maximum drawdown, NZDUSD=X dropped -39.83% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.14 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.