TWDUSD=X vs. TWD=X
TWDUSD=X (TWD/USD) and TWD=X (USD/TWD) are both currencies. Over the past 10 years, TWDUSD=X returned 0.21%/yr vs 0.03%/yr for TWD=X. At a 0.21 correlation, their price movements are largely independent.
Performance
TWDUSD=X vs. TWD=X - Performance Comparison
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Different Trading Currencies
TWDUSD=X is traded in USD, while TWD=X is traded in TWD. To make them comparable, the TWD=X values have been converted to USD using the latest available exchange rates.
Returns By Period
In the year-to-date period, TWDUSD=X achieves a -1.49% return, which is significantly lower than TWD=X's 0.15% return. Over the past 10 years, TWDUSD=X has outperformed TWD=X with an annualized return of 0.21%, while TWD=X has yielded a comparatively lower 0.03% annualized return.
TWDUSD=X
- 1D
- 0.07%
- 1M
- -1.15%
- YTD
- -1.49%
- 6M
- -0.89%
- 1Y
- -8.00%
- 3Y*
- -0.85%
- 5Y*
- -2.63%
- 10Y*
- 0.21%
TWD=X
- 1D
- 0.24%
- 1M
- 0.16%
- YTD
- 0.15%
- 6M
- 0.46%
- 1Y
- -0.14%
- 3Y*
- 0.03%
- 5Y*
- 0.06%
- 10Y*
- 0.03%
TWDUSD=X vs. TWD=X - Yearly Performance Comparison
Correlation
The correlation between TWDUSD=X and TWD=X is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.33 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.20 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.22 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.22 |
Correlation (All Time) Calculated using the full available price history since Jul 26, 2007 | 0.21 |
The correlation between TWDUSD=X and TWD=X shifts across timeframes, from 0.20 (3 years) to 0.33 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
TWDUSD=X vs. TWD=X — Risk / Return Rank
TWDUSD=X
TWD=X
TWDUSD=X vs. TWD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for TWD/USD (TWDUSD=X) and USD/TWD (TWD=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.
| TWDUSD=X | TWD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.20 | ||
| Sortino ratioReturn per unit of downside risk | -1.69 | ||
| Omega ratioGain probability vs. loss probability | 0.81 | 0.99 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | -0.66 | -0.13 | -0.53 |
| Martin ratioReturn relative to average drawdown | -0.92 | -0.22 | -0.69 |
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Drawdowns
TWDUSD=X vs. TWD=X - Drawdown Comparison
The maximum TWDUSD=X drawdown since its inception was -17.28%, which is greater than TWD=X's maximum drawdown of -5.98%. Use the drawdown chart below to compare losses from any high point for TWDUSD=X and TWD=X.
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Drawdown Indicators
| TWDUSD=X | TWD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.28% | -5.98% | -11.30% |
Max Drawdown (1Y)Largest decline over 1 year | -9.90% | -0.90% | -9.00% |
Max Drawdown (3Y)Largest decline over 3 years | -9.90% | -3.29% | -6.61% |
Max Drawdown (5Y)Largest decline over 5 years | -17.28% | -3.50% | -13.78% |
Max Drawdown (10Y)Largest decline over 10 years | -17.28% | -3.70% | -13.58% |
Current DrawdownCurrent decline from peak | -13.60% | -2.91% | -10.69% |
Average DrawdownAverage peak-to-trough decline | -6.88% | -2.89% | -3.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.19% | 0.49% | +3.70% |
Volatility
TWDUSD=X vs. TWD=X - Volatility Comparison
TWD/USD (TWDUSD=X) has a higher volatility of 1.11% compared to USD/TWD (TWD=X) at 0.99%. This indicates that TWDUSD=X's price experiences larger fluctuations and is considered to be riskier than TWD=X 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 | TWD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.11% | 0.99% | +0.12% |
Volatility (6M)Calculated over the trailing 6-month period | 3.26% | 1.73% | +1.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.24% | 2.41% | +2.83% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.21% | 3.52% | +2.69% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.56% | 3.50% | +2.06% |
Frequently Asked Questions
TWDUSD=X and TWD=X have a correlation of 0.33, 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 (1.11%) compared to TWD=X (0.99%). In terms of maximum drawdown, TWDUSD=X dropped -17.28% vs TWD=X's -5.98%.
TWD=X currently has the higher Sharpe Ratio (-0.05 vs -1.25), 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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