FX Returns

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FX Returns

Exchange rate returns can be attributed to each underlying currency. In the interactive service below, select the two currencies associated with the exchange rate of interest. The values are derived from our latest weekly risk model dated: 17 February, 2021

Contents

Select currencies

Date range

Total nominal returns

Cumulative nominal returns

Exchange rate - EUR/USD

Fixed currency (Fixed): and Variable currency (Vari):

Date range

Modify the dates to adjust the date range in both charts

	Min date	Max date
Selected
Date range	04-01-2006	17-02-2021

Total nominal returns

A summary of the total nominal returns over the full sample

Type	Name	Curr	Return	Log Return
Fixed	Euro Member Countries	EUR	29.804%	26.086%
Vari	United States Dollar (Inverse)	1 / USD	-23.168%	-26.354%
FX	EUR/USD exchange rate	EUR/USD	-0.268%	-0.268%

Notes: This table reports the proportional returns and the log returns for the exchange rate and both underlying currencies. As the exchange rate is the ratio of the fixed currency relative to the variable currency, we report the more intuitive inverse of the variable currency. It should be noted that proportional returns (Returns) suffer from the well-known Siegel Paradox. In contrast, the log returns do not suffer from Siegel's Paradox and thus the exchange rate log return is the sum of the two currency log returns (Fixed - Variable).

Cumulative nominal returns

A time-series chart of the cumulative nominal returns