TWD=X vs. TWDUSD=X
TWD=X (USD/TWD) and TWDUSD=X (TWD/USD) are both currencies. Over the past 10 years, TWD=X returned -0.14%/yr vs 0.05%/yr for TWDUSD=X. At a 0.32 correlation, their price movements are largely independent.
Performance
TWD=X vs. TWDUSD=X - Performance Comparison
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Different Trading Currencies
TWD=X is traded in TWD, while TWDUSD=X is traded in USD. To make them comparable, the TWDUSD=X values have been converted to TWD using the latest available exchange rates.
Returns By Period
In the year-to-date period, TWD=X achieves a 0.81% return, which is significantly higher than TWDUSD=X's -0.01% return. Over the past 10 years, TWD=X has underperformed TWDUSD=X with an annualized return of -0.14%, while TWDUSD=X has yielded a comparatively higher 0.05% annualized return.
TWD=X
- 1D
- 0.31%
- 1M
- 0.68%
- YTD
- 0.81%
- 6M
- 1.00%
- 1Y
- 5.49%
- 3Y*
- 1.04%
- 5Y*
- 2.77%
- 10Y*
- -0.14%
TWDUSD=X
- 1D
- 0.00%
- 1M
- -0.10%
- YTD
- -0.01%
- 6M
- 0.00%
- 1Y
- -0.08%
- 3Y*
- 0.03%
- 5Y*
- -0.03%
- 10Y*
- 0.05%
TWD=X vs. TWDUSD=X - Yearly Performance Comparison
Correlation
The correlation between TWD=X and TWDUSD=X is 0.13, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.13 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.27 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.27 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.35 |
Correlation (All Time) Calculated using the full available price history since Jul 4, 2007 | 0.32 |
The correlation between TWD=X and TWDUSD=X shifts across timeframes, from 0.13 (1 year) to 0.35 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
TWD=X vs. TWDUSD=X — Risk / Return Rank
TWD=X
TWDUSD=X
TWD=X vs. TWDUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/TWD (TWD=X) and TWD/USD (TWDUSD=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.
| TWD=X | TWDUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.88 | ||
| Sortino ratioReturn per unit of downside risk | +1.27 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.00 | +0.17 |
| Calmar ratioReturn relative to maximum drawdown | 1.27 | -0.07 | +1.34 |
| Martin ratioReturn relative to average drawdown | 3.59 | -0.13 | +3.72 |
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
| TWD=X | TWDUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.86 | -0.03 | +0.88 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.36 | -0.01 | +0.36 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.02 | 0.01 | -0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.04 | 0.00 | -0.04 |
Drawdowns
TWD=X vs. TWDUSD=X - Drawdown Comparison
The maximum TWD=X drawdown since its inception was -22.11%, which is greater than TWDUSD=X's maximum drawdown of -5.98%. Use the drawdown chart below to compare losses from any high point for TWD=X and TWDUSD=X.
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Drawdown Indicators
| TWD=X | TWDUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.11% | -5.98% | -16.13% |
Max Drawdown (1Y)Largest decline over 1 year | -3.47% | -0.90% | -2.57% |
Max Drawdown (3Y)Largest decline over 3 years | -14.80% | -3.29% | -11.51% |
Max Drawdown (5Y)Largest decline over 5 years | -14.80% | -3.50% | -11.30% |
Max Drawdown (10Y)Largest decline over 10 years | -15.46% | -3.70% | -11.76% |
Current DrawdownCurrent decline from peak | -10.28% | -3.06% | -7.22% |
Average DrawdownAverage peak-to-trough decline | -12.38% | -2.88% | -9.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.06% | 0.48% | +0.58% |
Volatility
TWD=X vs. TWDUSD=X - Volatility Comparison
USD/TWD (TWD=X) has a higher volatility of 0.87% compared to TWD/USD (TWDUSD=X) at 0.68%. This indicates that TWD=X's price experiences larger fluctuations and is considered to be riskier than TWDUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TWD=X | TWDUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.87% | 0.68% | +0.19% |
Volatility (6M)Calculated over the trailing 6-month period | 3.38% | 1.49% | +1.89% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.13% | 2.30% | +2.83% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.18% | 3.55% | +3.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.30% | 3.51% | +2.79% |
Frequently Asked Questions
TWD=X and TWDUSD=X have a correlation of 0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TWD=X has higher volatility (0.87%) compared to TWDUSD=X (0.68%). In terms of maximum drawdown, TWD=X dropped -22.11% vs TWDUSD=X's -5.98%.
TWD=X currently has the higher Sharpe Ratio (0.86 vs -0.03), 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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