PL=F vs. EURUSD=X
PL=F (Platinum) is an asset, while EURUSD=X (EUR/USD) is a currency. Over the past 10 years, PL=F returned 6.66%/yr vs 0.15%/yr for EURUSD=X. At a 0.30 correlation, their price movements are largely independent.
Performance
PL=F vs. EURUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, PL=F achieves a -6.68% return, which is significantly lower than EURUSD=X's -1.90% return. Over the past 10 years, PL=F has outperformed EURUSD=X with an annualized return of 6.66%, while EURUSD=X has yielded a comparatively lower 0.15% annualized return.
PL=F
- 1D
- 1.27%
- 1M
- -7.33%
- YTD
- -6.68%
- 6M
- 14.71%
- 1Y
- 67.46%
- 3Y*
- 22.36%
- 5Y*
- 10.27%
- 10Y*
- 6.66%
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%
PL=F vs. EURUSD=X - Yearly Performance Comparison
Correlation
The correlation between PL=F and EURUSD=X is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.27 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.27 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.31 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.31 |
Correlation (All Time) Calculated using the full available price history since Apr 27, 2009 | 0.30 |
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Return for Risk
PL=F vs. EURUSD=X — Risk / Return Rank
PL=F
EURUSD=X
PL=F vs. EURUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Platinum (PL=F) 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.
| PL=F | EURUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.23 | ||
| Sortino ratioReturn per unit of downside risk | +1.53 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.02 | +0.24 |
| Calmar ratioReturn relative to maximum drawdown | 2.01 | 0.11 | +1.90 |
| Martin ratioReturn relative to average drawdown | 4.03 | 0.25 | +3.79 |
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
| PL=F | EURUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.32 | 0.09 | +1.23 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.29 | -0.13 | +0.42 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.21 | 0.02 | +0.19 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.10 | -0.09 | +0.19 |
Drawdowns
PL=F vs. EURUSD=X - Drawdown Comparison
The maximum PL=F drawdown since its inception was -68.68%, which is greater than EURUSD=X's maximum drawdown of -40.01%. Use the drawdown chart below to compare losses from any high point for PL=F and EURUSD=X.
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Drawdown Indicators
| PL=F | EURUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -68.68% | -40.01% | -28.67% |
Max Drawdown (1Y)Largest decline over 1 year | -35.55% | -5.19% | -30.36% |
Max Drawdown (3Y)Largest decline over 3 years | -35.55% | -8.83% | -26.72% |
Max Drawdown (5Y)Largest decline over 5 years | -35.55% | -21.30% | -14.25% |
Max Drawdown (10Y)Largest decline over 10 years | -49.56% | -23.31% | -26.25% |
Current DrawdownCurrent decline from peak | -33.44% | -27.94% | -5.50% |
Average DrawdownAverage peak-to-trough decline | -36.40% | -23.42% | -12.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 17.98% | 2.41% | +15.57% |
Volatility
PL=F vs. EURUSD=X - Volatility Comparison
Platinum (PL=F) has a higher volatility of 10.31% compared to EUR/USD (EURUSD=X) at 1.19%. This indicates that PL=F'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
| PL=F | EURUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.31% | 1.19% | +9.12% |
Volatility (6M)Calculated over the trailing 6-month period | 48.96% | 4.50% | +44.46% |
Volatility (1Y)Calculated over the trailing 1-year period | 54.15% | 5.92% | +48.23% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 35.63% | 7.42% | +28.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.75% | 7.16% | +24.59% |
Frequently Asked Questions
PL=F and EURUSD=X have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PL=F has higher volatility (10.31%) compared to EURUSD=X (1.19%). In terms of maximum drawdown, PL=F dropped -68.68% vs EURUSD=X's -40.01%.
PL=F currently has the higher Sharpe Ratio (1.32 vs 0.09), 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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