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USD/AUD (AUD=X)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Popular comparisons: AUD=X vs. GC=F, AUD=X vs. MTA, AUD=X vs. UROY, AUD=X vs. DNN, AUD=X vs. PL=F, AUD=X vs. BTC-USD, AUD=X vs. URNM, AUD=X vs. AG, AUD=X vs. CCJ, AUD=X vs. PSLV

Performance

Performance Chart

The chart shows the growth of an initial investment of A$10,000 in USD/AUD, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
3.58%
16.37%
AUD=X (USD/AUD)
Benchmark (^GSPC)

Returns By Period

USD/AUD had a return of 5.40% year-to-date (YTD) and 0.70% in the last 12 months. Over the past 10 years, USD/AUD had an annualized return of 2.88%, while the S&P 500 had an annualized return of 11.39%, indicating that USD/AUD did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date5.40%25.48%
1 month4.08%2.14%
6 months3.58%12.76%
1 year0.70%33.14%
5 years (annualized)0.99%13.96%
10 years (annualized)2.88%11.39%

Monthly Returns

The table below presents the monthly returns of AUD=X, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.73%1.04%-0.38%0.78%-2.71%-0.49%2.22%-3.31%-2.14%5.03%5.40%
2023-3.43%4.85%0.65%1.06%1.74%-2.46%-0.75%3.60%0.76%1.55%-4.06%-3.03%0.04%
20222.75%-2.70%-2.92%5.90%-1.55%3.95%-1.20%2.14%6.81%0.09%-5.73%-0.39%6.56%
20210.68%-0.82%1.43%-1.54%-0.21%3.12%2.10%0.40%1.23%-3.92%5.56%-1.87%5.97%
20204.92%2.80%6.10%-5.76%-2.34%-3.42%-3.36%-3.16%2.97%1.93%-4.34%-4.53%-8.75%
2019-3.08%2.55%-0.02%0.67%1.56%-1.14%2.57%1.60%-0.17%-2.12%1.91%-3.65%0.43%
2018-3.14%3.78%1.08%1.97%-0.50%2.22%-0.33%3.23%-0.47%2.21%-3.33%3.77%10.63%
2017-4.86%-0.95%0.38%1.87%0.78%-3.38%-3.90%0.70%1.44%2.31%1.19%-3.01%-7.50%
20162.75%-0.80%-6.74%0.73%5.12%-2.91%-1.94%1.09%-1.95%0.72%3.03%2.35%0.88%
20155.17%-0.55%2.69%-3.78%3.46%-0.88%5.53%2.69%1.34%-1.68%-1.24%-0.70%12.23%
20141.85%-1.94%-3.62%-0.25%-0.24%-1.29%1.46%-0.45%6.77%-0.59%3.37%4.17%9.15%
2013-0.30%2.10%-1.96%0.46%8.35%4.72%1.76%0.93%-4.49%-1.50%3.81%2.18%16.59%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of AUD=X is 59, suggesting that the investment has average results relative to other currencies in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of AUD=X is 5959
Combined Rank
The Sharpe Ratio Rank of AUD=X is 5959Sharpe Ratio Rank
The Sortino Ratio Rank of AUD=X is 5959Sortino Ratio Rank
The Omega Ratio Rank of AUD=X is 5959Omega Ratio Rank
The Calmar Ratio Rank of AUD=X is 5959Calmar Ratio Rank
The Martin Ratio Rank of AUD=X is 5757Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for USD/AUD (AUD=X) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


AUD=X
Sharpe ratio
The chart of Sharpe ratio for AUD=X, currently valued at 0.24, compared to the broader market-1.00-0.500.000.501.001.500.24
Sortino ratio
The chart of Sortino ratio for AUD=X, currently valued at 0.42, compared to the broader market0.0050.00100.00150.00200.00250.000.42
Omega ratio
The chart of Omega ratio for AUD=X, currently valued at 1.05, compared to the broader market10.0020.0030.0040.0050.0060.001.05
Calmar ratio
The chart of Calmar ratio for AUD=X, currently valued at 0.06, compared to the broader market0.00100.00200.00300.00400.00500.000.06
Martin ratio
The chart of Martin ratio for AUD=X, currently valued at 0.52, compared to the broader market0.001,000.002,000.003,000.004,000.000.52
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market-1.00-0.500.000.501.001.502.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market0.0050.00100.00150.00200.00250.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market10.0020.0030.0040.0050.0060.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.00100.00200.00300.00400.00500.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.001,000.002,000.003,000.004,000.0018.80

Sharpe Ratio

The current USD/AUD Sharpe ratio is 0.24. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of USD/AUD with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.24
2.89
AUD=X (USD/AUD)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-25.84%
0
AUD=X (USD/AUD)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the USD/AUD. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the USD/AUD was 56.54%, occurring on Jul 27, 2011. The portfolio has not yet recovered.

The current USD/AUD drawdown is 25.84%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-56.54%Apr 3, 20012692Jul 27, 2011
-21.33%Sep 30, 1993827Dec 2, 1996284Jan 5, 19981111
-17.39%Aug 28, 1998183May 11, 1999346Sep 14, 2000529
-11.63%Jun 13, 1989341Oct 8, 1990337Jan 24, 1992678
-10.56%Nov 22, 200030Jan 5, 200143Mar 7, 200173

Volatility

Volatility Chart

The current USD/AUD volatility is 3.14%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.14%
4.99%
AUD=X (USD/AUD)
Benchmark (^GSPC)