^STOXX vs. EUR=X
Compare and contrast key facts about STOXX Europe 600 Index (^STOXX) and USD/EUR (EUR=X).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^STOXX or EUR=X.
Performance
^STOXX vs. EUR=X - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with ^STOXX having a 4.48% return and EUR=X slightly higher at 4.61%. Over the past 10 years, ^STOXX has outperformed EUR=X with an annualized return of 3.72%, while EUR=X has yielded a comparatively lower 1.53% annualized return.
^STOXX
4.48%
-4.03%
-3.97%
9.79%
4.29%
3.72%
EUR=X
4.61%
2.52%
2.59%
3.43%
0.82%
1.53%
Key characteristics
| ^STOXX | EUR=X | |
|---|---|---|
| Sharpe Ratio | 0.90 | 0.53 |
| Sortino Ratio | 1.27 | 0.86 |
| Omega Ratio | 1.16 | 1.10 |
| Calmar Ratio | 1.22 | 0.11 |
| Martin Ratio | 4.68 | 1.18 |
| Ulcer Index | 1.96% | 2.39% |
| Daily Std Dev | 10.10% | 5.43% |
| Max Drawdown | -61.04% | -48.28% |
| Current Drawdown | -5.22% | -21.60% |
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Correlation
The correlation between ^STOXX and EUR=X is 0.00, 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.
Risk-Adjusted Performance
^STOXX vs. EUR=X - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for STOXX Europe 600 Index (^STOXX) and USD/EUR (EUR=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.
Drawdowns
^STOXX vs. EUR=X - Drawdown Comparison
The maximum ^STOXX drawdown since its inception was -61.04%, which is greater than EUR=X's maximum drawdown of -48.28%. Use the drawdown chart below to compare losses from any high point for ^STOXX and EUR=X. For additional features, visit the drawdowns tool.
Volatility
^STOXX vs. EUR=X - Volatility Comparison
STOXX Europe 600 Index (^STOXX) has a higher volatility of 4.45% compared to USD/EUR (EUR=X) at 0.13%. This indicates that ^STOXX's price experiences larger fluctuations and is considered to be riskier than EUR=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.