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USD vs. EURUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between USD and EURUSD=X is 0.16, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

USD vs. EURUSD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Ultra Semiconductors (USD) and EUR/USD (EURUSD=X). The values are adjusted to include any dividend payments, if applicable.

0.00%2,000.00%4,000.00%6,000.00%8,000.00%JulyAugustSeptemberOctoberNovemberDecember
6,208.79%
-19.91%
USD
EURUSD=X

Key characteristics

Sharpe Ratio

USD:

1.91

EURUSD=X:

-0.67

Sortino Ratio

USD:

2.34

EURUSD=X:

-0.87

Omega Ratio

USD:

1.30

EURUSD=X:

0.89

Calmar Ratio

USD:

3.21

EURUSD=X:

-0.11

Martin Ratio

USD:

8.01

EURUSD=X:

-1.37

Ulcer Index

USD:

19.18%

EURUSD=X:

2.74%

Daily Std Dev

USD:

80.40%

EURUSD=X:

5.48%

Max Drawdown

USD:

-87.93%

EURUSD=X:

-57.54%

Current Drawdown

USD:

-21.60%

EURUSD=X:

-34.77%

Returns By Period

In the year-to-date period, USD achieves a 137.12% return, which is significantly higher than EURUSD=X's -5.50% return. Over the past 10 years, USD has outperformed EURUSD=X with an annualized return of 43.86%, while EURUSD=X has yielded a comparatively lower -1.46% annualized return.


USD

YTD

137.12%

1M

-4.89%

6M

-11.97%

1Y

142.33%

5Y*

53.19%

10Y*

43.86%

EURUSD=X

YTD

-5.50%

1M

-1.09%

6M

-2.45%

1Y

-5.26%

5Y*

-1.12%

10Y*

-1.46%

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Risk-Adjusted Performance

USD vs. EURUSD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra Semiconductors (USD) and EUR/USD (EURUSD=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.


Sharpe ratio
The chart of Sharpe ratio for USD, currently valued at 0.74, compared to the broader market0.002.004.000.74-0.67
The chart of Sortino ratio for USD, currently valued at 1.39, compared to the broader market-2.000.002.004.006.008.0010.001.39-0.87
The chart of Omega ratio for USD, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.190.89
The chart of Calmar ratio for USD, currently valued at 1.16, compared to the broader market0.005.0010.0015.001.16-0.11
The chart of Martin ratio for USD, currently valued at 2.64, compared to the broader market0.0020.0040.0060.0080.00100.002.64-1.37
USD
EURUSD=X

The current USD Sharpe Ratio is 1.91, which is higher than the EURUSD=X Sharpe Ratio of -0.67. The chart below compares the historical Sharpe Ratios of USD and EURUSD=X, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
0.74
-0.67
USD
EURUSD=X

Drawdowns

USD vs. EURUSD=X - Drawdown Comparison

The maximum USD drawdown since its inception was -87.93%, which is greater than EURUSD=X's maximum drawdown of -57.54%. Use the drawdown chart below to compare losses from any high point for USD and EURUSD=X. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-21.60%
-34.77%
USD
EURUSD=X

Volatility

USD vs. EURUSD=X - Volatility Comparison

ProShares Ultra Semiconductors (USD) has a higher volatility of 15.96% compared to EUR/USD (EURUSD=X) at 2.12%. This indicates that USD's price experiences larger fluctuations and is considered to be riskier than EURUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
15.96%
2.12%
USD
EURUSD=X
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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