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 0.18%/yr vs 0.05%/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 -0.81% return, which is significantly lower than TWD=X's -0.01% return. Over the past 10 years, TWDUSD=X has outperformed TWD=X with an annualized return of 0.18%, while TWD=X has yielded a comparatively lower 0.05% annualized return.
TWDUSD=X
- 1D
- -0.31%
- 1M
- -0.78%
- YTD
- -0.81%
- 6M
- -0.98%
- 1Y
- -5.28%
- 3Y*
- -1.00%
- 5Y*
- -2.73%
- 10Y*
- 0.18%
TWD=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%
TWDUSD=X vs. TWD=X - Yearly Performance Comparison
Correlation
The correlation between TWDUSD=X and TWD=X is 0.29, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.29 |
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 4, 2007 | 0.21 |
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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.
| TWDUSD=X | TWD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.76 | ||
| Sortino ratioReturn per unit of downside risk | -1.09 | ||
| Omega ratioGain probability vs. loss probability | 0.87 | 1.00 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | -0.43 | -0.07 | -0.36 |
| Martin ratioReturn relative to average drawdown | -0.63 | -0.13 | -0.50 |
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
| TWDUSD=X | TWD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.79 | -0.03 | -0.76 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.41 | -0.01 | -0.40 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.03 | 0.01 | +0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.04 | 0.00 | +0.04 |
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 | -13.00% | -3.06% | -9.94% |
Average DrawdownAverage peak-to-trough decline | -6.84% | -2.88% | -3.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.34% | 0.48% | +3.86% |
Volatility
TWDUSD=X vs. TWD=X - Volatility Comparison
TWD/USD (TWDUSD=X) has a higher volatility of 1.12% compared to USD/TWD (TWD=X) at 0.68%. 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 | 1.12% | 0.68% | +0.44% |
Volatility (6M)Calculated over the trailing 6-month period | 3.46% | 1.49% | +1.97% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.40% | 2.30% | +3.10% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.23% | 3.54% | +2.69% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.58% | 3.50% | +2.08% |
Frequently Asked Questions
TWDUSD=X and TWD=X have a correlation of 0.29, 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 (1.12%) compared to TWD=X (0.68%). In terms of maximum drawdown, TWDUSD=X dropped -17.28% vs TWD=X's -5.98%.
TWD=X currently has the higher Sharpe Ratio (-0.03 vs -0.79), 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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