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

Correlation

The correlation between USDU and EURUSD=X is -0.75. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.8

Performance

USDU vs. EURUSD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU) and EUR/USD (EURUSD=X). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.28%
-2.29%
USDU
EURUSD=X

Key characteristics

Sharpe Ratio

USDU:

1.70

EURUSD=X:

-0.33

Sortino Ratio

USDU:

2.57

EURUSD=X:

-0.42

Omega Ratio

USDU:

1.31

EURUSD=X:

0.95

Calmar Ratio

USDU:

2.17

EURUSD=X:

-0.05

Martin Ratio

USDU:

7.96

EURUSD=X:

-0.74

Ulcer Index

USDU:

1.14%

EURUSD=X:

2.42%

Daily Std Dev

USDU:

5.35%

EURUSD=X:

5.55%

Max Drawdown

USDU:

-14.53%

EURUSD=X:

-57.54%

Current Drawdown

USDU:

-0.81%

EURUSD=X:

-34.13%

Returns By Period

In the year-to-date period, USDU achieves a 11.55% return, which is significantly higher than EURUSD=X's -4.57% return. Over the past 10 years, USDU has outperformed EURUSD=X with an annualized return of 3.01%, while EURUSD=X has yielded a comparatively lower -1.55% annualized return.


USDU

YTD

11.55%

1M

1.27%

6M

4.28%

1Y

9.03%

5Y (annualized)

3.79%

10Y (annualized)

3.01%

EURUSD=X

YTD

-4.57%

1M

-1.74%

6M

-2.28%

1Y

-2.13%

5Y (annualized)

-0.97%

10Y (annualized)

-1.55%

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU) 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 USDU, currently valued at 1.64, compared to the broader market0.002.004.006.001.64-0.33
The chart of Sortino ratio for USDU, currently valued at 2.53, compared to the broader market-2.000.002.004.006.008.0010.0012.002.53-0.42
The chart of Omega ratio for USDU, currently valued at 1.34, compared to the broader market0.501.001.502.002.503.001.340.95
The chart of Calmar ratio for USDU, currently valued at 2.39, compared to the broader market0.005.0010.0015.002.39-0.07
The chart of Martin ratio for USDU, currently valued at 6.45, compared to the broader market0.0020.0040.0060.0080.00100.006.45-0.74
USDU
EURUSD=X

The current USDU Sharpe Ratio is 1.70, which is higher than the EURUSD=X Sharpe Ratio of -0.33. The chart below compares the historical Sharpe Ratios of USDU 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-1.00-0.500.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.64
-0.33
USDU
EURUSD=X

Drawdowns

USDU vs. EURUSD=X - Drawdown Comparison

The maximum USDU drawdown since its inception was -14.53%, smaller than the maximum EURUSD=X drawdown of -57.54%. Use the drawdown chart below to compare losses from any high point for USDU and EURUSD=X. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.81%
-24.42%
USDU
EURUSD=X

Volatility

USDU vs. EURUSD=X - Volatility Comparison

The current volatility for WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU) is 1.37%, while EUR/USD (EURUSD=X) has a volatility of 1.92%. This indicates that USDU experiences smaller price fluctuations and is considered to be less risky than EURUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%JulyAugustSeptemberOctoberNovemberDecember
1.37%
1.92%
USDU
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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