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 0.12%/yr vs 0.04%/yr for TWDUSD=X. At a 0.31 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 2.64% return, which is significantly higher than TWDUSD=X's 0.10% return. Over the past 10 years, TWD=X has outperformed TWDUSD=X with an annualized return of 0.12%, while TWDUSD=X has yielded a comparatively lower 0.04% annualized return.
TWD=X
- 1D
- 0.07%
- 1M
- 2.03%
- 6M
- 2.02%
- YTD
- 2.64%
- 1Y
- 9.43%
- 3Y*
- 1.40%
- 5Y*
- 2.84%
- 10Y*
- 0.12%
TWDUSD=X
- 1D
- -0.02%
- 1M
- 0.10%
- 6M
- 0.10%
- YTD
- 0.10%
- 1Y
- 0.12%
- 3Y*
- 0.14%
- 5Y*
- 0.04%
- 10Y*
- 0.04%
TWD=X vs. TWDUSD=X - Yearly Performance Comparison
Correlation
The correlation between TWD=X and TWDUSD=X is 0.10, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.10 |
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 Aug 20, 2007 | 0.31 |
Over the past year, the correlation between TWD=X and TWDUSD=X has dropped to 0.10 - well below their long-term average of 0.31, suggesting their price drivers have been diverging.
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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.
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.
| TWD=X | TWDUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.55 | ||
| Sortino ratioReturn per unit of downside risk | +2.33 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.01 | +0.31 |
| Calmar ratioReturn relative to maximum drawdown | 3.00 | 0.10 | +2.89 |
| Martin ratioReturn relative to average drawdown | 7.38 | 0.18 | +7.20 |
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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 | -2.51% | -0.90% | -1.61% |
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 | -15.28% | -3.70% | -11.58% |
Current DrawdownCurrent decline from peak | -8.65% | -2.96% | -5.69% |
Average DrawdownAverage peak-to-trough decline | -12.43% | -2.90% | -9.53% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.04% | 0.51% | +0.53% |
Volatility
TWD=X vs. TWDUSD=X - Volatility Comparison
The current volatility for USD/TWD (TWD=X) is 0.69%, while TWD/USD (TWDUSD=X) has a volatility of 0.94%. This indicates that TWD=X experiences smaller price fluctuations and is considered to be less risky 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 | 0.69% | 0.94% | -0.25% |
Volatility (6M)Calculated over the trailing 6-month period | 2.85% | 1.90% | +0.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.74% | 2.48% | +2.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.16% | 3.54% | +3.62% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.26% | 3.51% | +2.75% |
Frequently Asked Questions
TWD=X and TWDUSD=X have a correlation of 0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TWDUSD=X has higher volatility (0.94%) compared to TWD=X (0.69%). In terms of maximum drawdown, TWD=X dropped -22.11% vs TWDUSD=X's -5.98%.
TWD=X currently has the higher Sharpe Ratio (1.59 vs 0.04), 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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