AUD=X vs. BTC-USD
AUD=X (USD/AUD) is a currency, while BTC-USD (Bitcoin) is a cryptocurrency. Over the past 10 years, AUD=X returned 0.56%/yr vs 60.26%/yr for BTC-USD. At a 0.06 correlation, their price movements are largely independent.
Performance
AUD=X vs. BTC-USD - Performance Comparison
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Different Trading Currencies
AUD=X is traded in AUD, while BTC-USD is traded in USD. To make them comparable, the BTC-USD values have been converted to AUD using the latest available exchange rates.
Returns By Period
In the year-to-date period, AUD=X achieves a -5.31% return, which is significantly higher than BTC-USD's -33.69% return. Over the past 10 years, AUD=X has underperformed BTC-USD with an annualized return of 0.56%, while BTC-USD has yielded a comparatively higher 60.26% annualized return.
AUD=X
- 1D
- 1.23%
- 1M
- 2.72%
- YTD
- -5.31%
- 6M
- -5.78%
- 1Y
- -7.71%
- 3Y*
- -1.82%
- 5Y*
- 1.90%
- 10Y*
- 0.56%
BTC-USD
- 1D
- -2.79%
- 1M
- -22.71%
- YTD
- -33.69%
- 6M
- -35.39%
- 1Y
- -44.32%
- 3Y*
- 28.64%
- 5Y*
- 12.81%
- 10Y*
- 60.26%
AUD=X vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between AUD=X and BTC-USD is -0.16, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.16 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.07 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.00 |
Correlation (All Time) Calculated using the full available price history since Sep 21, 2012 | 0.06 |
The correlation between AUD=X and BTC-USD shifts across timeframes, from -0.16 (1 year) to 0.06 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
AUD=X vs. BTC-USD — Risk / Return Rank
AUD=X
BTC-USD
AUD=X vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/AUD (AUD=X) and Bitcoin (BTC-USD). 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.
| AUD=X | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.26 | ||
| Sortino ratioReturn per unit of downside risk | +0.48 | ||
| Omega ratioGain probability vs. loss probability | 0.87 | 0.83 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | -0.54 | -0.82 | +0.28 |
| Martin ratioReturn relative to average drawdown | -1.04 | -1.45 | +0.41 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| AUD=X | BTC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.84 | -1.09 | +0.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.17 | 0.24 | -0.07 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.06 | 0.90 | -0.85 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.08 | 1.18 | -1.11 |
Drawdowns
AUD=X vs. BTC-USD - Drawdown Comparison
The maximum AUD=X drawdown since its inception was -45.40%, smaller than the maximum BTC-USD drawdown of -83.70%. Use the drawdown chart below to compare losses from any high point for AUD=X and BTC-USD.
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Drawdown Indicators
| AUD=X | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.40% | -83.70% | +38.30% |
Max Drawdown (1Y)Largest decline over 1 year | -11.57% | -53.90% | +42.33% |
Max Drawdown (3Y)Largest decline over 3 years | -18.03% | -53.90% | +35.87% |
Max Drawdown (5Y)Largest decline over 5 years | -18.03% | -73.77% | +55.74% |
Max Drawdown (10Y)Largest decline over 10 years | -28.03% | -82.07% | +54.04% |
Current DrawdownCurrent decline from peak | -18.63% | -53.90% | +35.27% |
Average DrawdownAverage peak-to-trough decline | -22.17% | -39.28% | +17.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.65% | 36.46% | -29.81% |
Volatility
AUD=X vs. BTC-USD - Volatility Comparison
The current volatility for USD/AUD (AUD=X) is 2.37%, while Bitcoin (BTC-USD) has a volatility of 10.21%. This indicates that AUD=X experiences smaller price fluctuations and is considered to be less risky than BTC-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AUD=X | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.37% | 10.21% | -7.84% |
Volatility (6M)Calculated over the trailing 6-month period | 6.56% | 33.05% | -26.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.47% | 33.78% | -26.31% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.03% | 44.28% | -34.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.63% | 55.55% | -45.92% |
Frequently Asked Questions
AUD=X and BTC-USD have a correlation of -0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTC-USD has higher volatility (10.21%) compared to AUD=X (2.37%). In terms of maximum drawdown, AUD=X dropped -45.40% vs BTC-USD's -83.70%.
AUD=X currently has the higher Sharpe Ratio (-0.84 vs -1.09), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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