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^GDAXI vs. EURUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^GDAXI and EURUSD=X is 0.42, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.4

Performance

^GDAXI vs. EURUSD=X - Performance Comparison

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

-500.00%0.00%500.00%1,000.00%1,500.00%2,000.00%2,500.00%3,000.00%JulyAugustSeptemberOctoberNovemberDecember
2,673.91%
-31.16%
^GDAXI
EURUSD=X

Key characteristics

Sharpe Ratio

^GDAXI:

1.58

EURUSD=X:

-0.67

Sortino Ratio

^GDAXI:

2.19

EURUSD=X:

-0.87

Omega Ratio

^GDAXI:

1.27

EURUSD=X:

0.89

Calmar Ratio

^GDAXI:

2.35

EURUSD=X:

-0.11

Martin Ratio

^GDAXI:

8.63

EURUSD=X:

-1.37

Ulcer Index

^GDAXI:

2.21%

EURUSD=X:

2.74%

Daily Std Dev

^GDAXI:

11.97%

EURUSD=X:

5.48%

Max Drawdown

^GDAXI:

-72.68%

EURUSD=X:

-57.54%

Current Drawdown

^GDAXI:

-2.65%

EURUSD=X:

-34.77%

Returns By Period

In the year-to-date period, ^GDAXI achieves a 18.70% return, which is significantly higher than EURUSD=X's -5.50% return. Over the past 10 years, ^GDAXI has outperformed EURUSD=X with an annualized return of 7.15%, while EURUSD=X has yielded a comparatively lower -1.46% annualized return.


^GDAXI

YTD

18.70%

1M

4.63%

6M

9.48%

1Y

19.16%

5Y*

8.24%

10Y*

7.15%

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

^GDAXI vs. EURUSD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DAX Performance Index (^GDAXI) 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 ^GDAXI, currently valued at 0.65, compared to the broader market0.001.002.000.65-0.67
The chart of Sortino ratio for ^GDAXI, currently valued at 0.97, compared to the broader market-1.000.001.002.003.000.97-0.87
The chart of Omega ratio for ^GDAXI, currently valued at 1.13, compared to the broader market0.901.001.101.201.301.401.130.89
The chart of Calmar ratio for ^GDAXI, currently valued at 1.12, compared to the broader market0.001.002.003.001.12-0.11
The chart of Martin ratio for ^GDAXI, currently valued at 2.53, compared to the broader market0.005.0010.0015.0020.002.53-1.37
^GDAXI
EURUSD=X

The current ^GDAXI Sharpe Ratio is 1.58, which is higher than the EURUSD=X Sharpe Ratio of -0.67. The chart below compares the historical Sharpe Ratios of ^GDAXI 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.65
-0.67
^GDAXI
EURUSD=X

Drawdowns

^GDAXI vs. EURUSD=X - Drawdown Comparison

The maximum ^GDAXI drawdown since its inception was -72.68%, 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 ^GDAXI and EURUSD=X. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.61%
-34.77%
^GDAXI
EURUSD=X

Volatility

^GDAXI vs. EURUSD=X - Volatility Comparison

DAX Performance Index (^GDAXI) has a higher volatility of 3.27% compared to EUR/USD (EURUSD=X) at 2.12%. This indicates that ^GDAXI'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.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.27%
2.12%
^GDAXI
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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