TWDUSD=X vs. CMCSA
TWDUSD=X (TWD/USD) is a currency, while CMCSA (Comcast Corporation) is a stock. Over the past 10 years, TWDUSD=X returned 0.26%/yr vs 0.50%/yr for CMCSA. At a 0.10 correlation, their price movements are largely independent.
Performance
TWDUSD=X vs. CMCSA - Performance Comparison
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Returns By Period
In the year-to-date period, TWDUSD=X achieves a -0.74% return, which is significantly higher than CMCSA's -13.71% return. Over the past 10 years, TWDUSD=X has underperformed CMCSA with an annualized return of 0.26%, while CMCSA has yielded a comparatively higher 0.50% annualized return.
TWDUSD=X
- 1D
- 0.13%
- 1M
- -0.36%
- YTD
- -0.74%
- 6M
- -0.22%
- 1Y
- -6.19%
- 3Y*
- -0.65%
- 5Y*
- -2.40%
- 10Y*
- 0.26%
CMCSA
- 1D
- -0.49%
- 1M
- -11.45%
- YTD
- -13.71%
- 6M
- -11.85%
- 1Y
- -23.82%
- 3Y*
- -11.33%
- 5Y*
- -11.93%
- 10Y*
- 0.50%
TWDUSD=X vs. CMCSA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TWDUSD=X TWD/USD | -0.74% | 4.63% | -6.51% | -0.14% | -9.57% | 1.47% | 6.35% | 2.23% | -2.82% | 9.32% |
CMCSA Comcast Corporation | -13.71% | -17.35% | -11.84% | 29.08% | -28.68% | -2.22% | 19.13% | 34.04% | -12.71% | 17.45% |
Correlation
The correlation between TWDUSD=X and CMCSA is 0.09, 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 | 0.09 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.06 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.14 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.14 |
Correlation (All Time) Calculated using the full available price history since Jul 3, 2007 | 0.10 |
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Return for Risk
TWDUSD=X vs. CMCSA — Risk / Return Rank
TWDUSD=X
CMCSA
TWDUSD=X vs. CMCSA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for TWD/USD (TWDUSD=X) and Comcast Corporation (CMCSA). 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.
| TWDUSD=X | CMCSA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.14 | ||
| Sortino ratioReturn per unit of downside risk | -0.32 | ||
| Omega ratioGain probability vs. loss probability | 0.85 | 0.87 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | -0.51 | -0.78 | +0.28 |
| Martin ratioReturn relative to average drawdown | -0.71 | -1.60 | +0.88 |
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Drawdowns
TWDUSD=X vs. CMCSA - Drawdown Comparison
The maximum TWDUSD=X drawdown since its inception was -17.28%, smaller than the maximum CMCSA drawdown of -67.89%. Use the drawdown chart below to compare losses from any high point for TWDUSD=X and CMCSA.
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Drawdown Indicators
| TWDUSD=X | CMCSA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.28% | -67.89% | +50.61% |
Max Drawdown (1Y)Largest decline over 1 year | -9.90% | -30.48% | +20.58% |
Max Drawdown (3Y)Largest decline over 3 years | -9.90% | -41.39% | +31.49% |
Max Drawdown (5Y)Largest decline over 5 years | -17.28% | -52.61% | +35.33% |
Max Drawdown (10Y)Largest decline over 10 years | -17.28% | -52.61% | +35.33% |
Current DrawdownCurrent decline from peak | -12.94% | -52.61% | +39.67% |
Average DrawdownAverage peak-to-trough decline | -6.88% | -24.63% | +17.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.15% | 14.92% | -10.77% |
Volatility
TWDUSD=X vs. CMCSA - Volatility Comparison
The current volatility for TWD/USD (TWDUSD=X) is 1.13%, while Comcast Corporation (CMCSA) has a volatility of 8.20%. This indicates that TWDUSD=X experiences smaller price fluctuations and is considered to be less risky than CMCSA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TWDUSD=X | CMCSA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.13% | 8.20% | -7.07% |
Volatility (6M)Calculated over the trailing 6-month period | 3.36% | 24.40% | -21.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.26% | 29.62% | -24.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.21% | 27.06% | -20.85% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.58% | 26.55% | -20.97% |
Frequently Asked Questions
TWDUSD=X and CMCSA have a correlation of 0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CMCSA has higher volatility (8.20%) compared to TWDUSD=X (1.13%). In terms of maximum drawdown, TWDUSD=X dropped -17.28% vs CMCSA's -67.89%.
CMCSA currently has the higher Sharpe Ratio (-0.81 vs -0.95), 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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