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 -0.04%/yr vs 0.28%/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 -2.25% return, which is significantly higher than CMCSA's -7.64% return. Over the past 10 years, TWDUSD=X has underperformed CMCSA with an annualized return of -0.04%, while CMCSA has yielded a comparatively higher 0.28% annualized return.
TWDUSD=X
- 1D
- -0.02%
- 1M
- -1.37%
- 6M
- -1.43%
- YTD
- -2.25%
- 1Y
- -9.05%
- 3Y*
- -1.19%
- 5Y*
- -2.65%
- 10Y*
- -0.04%
CMCSA
- 1D
- 0.96%
- 1M
- -2.49%
- 6M
- -13.81%
- YTD
- -7.64%
- 1Y
- -20.26%
- 3Y*
- -10.91%
- 5Y*
- -11.60%
- 10Y*
- 0.28%
TWDUSD=X vs. CMCSA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TWDUSD=X TWD/USD | -2.25% | 4.63% | -6.51% | -0.14% | -9.57% | 1.47% | 6.35% | 2.23% | -2.82% | 9.32% |
CMCSA Comcast Corporation | -7.64% | -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 0.08, 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 | 0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.06 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.13 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.14 |
Correlation (All Time) Calculated using the full available price history since Jul 27, 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 | -0.99 | ||
| Sortino ratioReturn per unit of downside risk | -1.54 | ||
| Omega ratioGain probability vs. loss probability | 0.78 | 0.89 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | -1.14 | -0.70 | -0.44 |
| Martin ratioReturn relative to average drawdown | -1.60 | -1.34 | -0.26 |
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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 | -9.18% | -30.48% | +21.30% |
Max Drawdown (3Y)Largest decline over 3 years | -10.04% | -41.39% | +31.35% |
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 | -14.26% | -49.28% | +35.02% |
Average DrawdownAverage peak-to-trough decline | -6.92% | -24.67% | +17.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.71% | 15.87% | -12.16% |
Volatility
TWDUSD=X vs. CMCSA - Volatility Comparison
The current volatility for TWD/USD (TWDUSD=X) is 1.12%, while Comcast Corporation (CMCSA) has a volatility of 8.64%. 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 | 1.12% | 8.64% | -7.52% |
Volatility (6M)Calculated over the trailing 6-month period | 3.83% | 23.74% | -19.91% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.12% | 29.99% | -24.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.20% | 27.12% | -20.92% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.56% | 26.58% | -21.02% |
Frequently Asked Questions
TWDUSD=X and CMCSA have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CMCSA has higher volatility (8.64%) compared to TWDUSD=X (1.12%). In terms of maximum drawdown, TWDUSD=X dropped -17.28% vs CMCSA's -67.89%.
CMCSA currently has the higher Sharpe Ratio (-0.71 vs -1.70), 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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