SEKUSD=X vs. CADUSD=X
SEKUSD=X (SEK/USD) and CADUSD=X (CAD/USD) are both currencies. Over the past 10 years, SEKUSD=X returned -1.36%/yr vs -0.88%/yr for CADUSD=X. At a 0.14 correlation, their price movements are largely independent.
Performance
SEKUSD=X vs. CADUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, SEKUSD=X achieves a -5.17% return, which is significantly lower than CADUSD=X's -3.75% return. Over the past 10 years, SEKUSD=X has underperformed CADUSD=X with an annualized return of -1.36%, while CADUSD=X has yielded a comparatively higher -0.88% annualized return.
SEKUSD=X
- 1D
- 0.30%
- 1M
- -4.28%
- YTD
- -5.17%
- 6M
- -5.52%
- 1Y
- -1.81%
- 3Y*
- 3.37%
- 5Y*
- -2.64%
- 10Y*
- -1.36%
CADUSD=X
- 1D
- -0.13%
- 1M
- -2.99%
- YTD
- -3.75%
- 6M
- -3.81%
- 1Y
- -3.51%
- 3Y*
- -2.56%
- 5Y*
- -2.84%
- 10Y*
- -0.88%
SEKUSD=X vs. CADUSD=X - Yearly Performance Comparison
Correlation
The correlation between SEKUSD=X and CADUSD=X is 0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.04 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.03 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.03 |
Correlation (All Time) Calculated using the full available price history since Jul 27, 2007 | 0.14 |
The correlation between SEKUSD=X and CADUSD=X shifts across timeframes, from 0.03 (10 years) to 0.14 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SEKUSD=X vs. CADUSD=X — Risk / Return Rank
SEKUSD=X
CADUSD=X
SEKUSD=X vs. CADUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SEK/USD (SEKUSD=X) and CAD/USD (CADUSD=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.
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.
| SEKUSD=X | CADUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.63 | ||
| Sortino ratioReturn per unit of downside risk | +0.98 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 0.88 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | -0.15 | -0.66 | +0.52 |
| Martin ratioReturn relative to average drawdown | -0.39 | -1.56 | +1.18 |
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Drawdowns
SEKUSD=X vs. CADUSD=X - Drawdown Comparison
The maximum SEKUSD=X drawdown since its inception was -48.80%, which is greater than CADUSD=X's maximum drawdown of -37.58%. Use the drawdown chart below to compare losses from any high point for SEKUSD=X and CADUSD=X.
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Drawdown Indicators
| SEKUSD=X | CADUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -48.80% | -37.58% | -11.22% |
Max Drawdown (1Y)Largest decline over 1 year | -9.95% | -5.17% | -4.78% |
Max Drawdown (3Y)Largest decline over 3 years | -11.68% | -10.90% | -0.78% |
Max Drawdown (5Y)Largest decline over 5 years | -25.40% | -16.48% | -8.92% |
Max Drawdown (10Y)Largest decline over 10 years | -31.10% | -18.20% | -12.90% |
Current DrawdownCurrent decline from peak | -39.96% | -35.43% | -4.53% |
Average DrawdownAverage peak-to-trough decline | -27.91% | -19.68% | -8.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.13% | 2.12% | +2.01% |
Volatility
SEKUSD=X vs. CADUSD=X - Volatility Comparison
SEK/USD (SEKUSD=X) has a higher volatility of 3.19% compared to CAD/USD (CADUSD=X) at 1.06%. This indicates that SEKUSD=X's price experiences larger fluctuations and is considered to be riskier than CADUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SEKUSD=X | CADUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.19% | 1.06% | +2.13% |
Volatility (6M)Calculated over the trailing 6-month period | 7.20% | 3.23% | +3.97% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.12% | 4.33% | +4.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.93% | 6.16% | +4.77% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.13% | 6.70% | +3.43% |
Frequently Asked Questions
SEKUSD=X and CADUSD=X have a correlation of 0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SEKUSD=X has higher volatility (3.19%) compared to CADUSD=X (1.06%). In terms of maximum drawdown, SEKUSD=X dropped -48.80% vs CADUSD=X's -37.58%.
SEKUSD=X currently has the higher Sharpe Ratio (-0.16 vs -0.79), 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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