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AUD=X vs. GC=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

AUD=X vs. GC=F

Last updated May 11, 2025

Compare and contrast key facts about USD/AUD (AUD=X) and Gold (GC=F).

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AUD=X or GC=F.

Correlation

The correlation between AUD=X and GC=F is 0.02, 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.

Performance

AUD=X vs. GC=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/AUD (AUD=X) and Gold (GC=F). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

AUD=X:

0.28

GC=F:

2.27

Sortino Ratio

AUD=X:

0.73

GC=F:

3.16

Omega Ratio

AUD=X:

1.09

GC=F:

1.44

Calmar Ratio

AUD=X:

0.14

GC=F:

5.46

Martin Ratio

AUD=X:

1.31

GC=F:

15.41

Ulcer Index

AUD=X:

3.20%

GC=F:

2.83%

Daily Std Dev

AUD=X:

9.21%

GC=F:

17.42%

Max Drawdown

AUD=X:

-56.54%

GC=F:

-44.36%

Current Drawdown

AUD=X:

-25.27%

GC=F:

-2.23%

Returns By Period

In the year-to-date period, AUD=X achieves a -3.51% return, which is significantly lower than GC=F's 26.86% return. Over the past 10 years, AUD=X has underperformed GC=F with an annualized return of 2.21%, while GC=F has yielded a comparatively higher 9.30% annualized return.

AUD=X

YTD

-3.51%

1M

-2.95%

6M

2.65%

1Y

2.94%

5Y*

0.21%

10Y*

2.21%

GC=F

YTD

26.86%

1M

5.71%

6M

24.11%

1Y

40.89%

5Y*

12.76%

10Y*

9.30%

*Annualized

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Risk-Adjusted Performance

AUD=X vs. GC=F — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
AUD=X
The Risk-Adjusted Performance Rank of AUD=X is 6666
Overall Rank
The Sharpe Ratio Rank of AUD=X is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of AUD=X is 6363
Sortino Ratio Rank
The Omega Ratio Rank of AUD=X is 6666
Omega Ratio Rank
The Calmar Ratio Rank of AUD=X is 7676
Calmar Ratio Rank
The Martin Ratio Rank of AUD=X is 7070
Martin Ratio Rank
GC=F
The Risk-Adjusted Performance Rank of GC=F is 100100
Overall Rank
The Sharpe Ratio Rank of GC=F is 100100
Sharpe Ratio Rank
The Sortino Ratio Rank of GC=F is 100100
Sortino Ratio Rank
The Omega Ratio Rank of GC=F is 100100
Omega Ratio Rank
The Calmar Ratio Rank of GC=F is 100100
Calmar Ratio Rank
The Martin Ratio Rank of GC=F is 100100
Martin 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.

AUD=X vs. GC=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/AUD (AUD=X) and Gold (GC=F). 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.

The current AUD=X Sharpe Ratio is 0.28, which is lower than the GC=F Sharpe Ratio of 2.27. The chart below compares the historical Sharpe Ratios of AUD=X and GC=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Drawdowns

AUD=X vs. GC=F - Drawdown Comparison

The maximum AUD=X drawdown since its inception was -56.54%, which is greater than GC=F's maximum drawdown of -44.36%. Use the drawdown chart below to compare losses from any high point for AUD=X and GC=F. For additional features, visit the drawdowns tool.

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Volatility

AUD=X vs. GC=F - Volatility Comparison

The current volatility for USD/AUD (AUD=X) is 2.42%, while Gold (GC=F) has a volatility of 9.44%. This indicates that AUD=X experiences smaller price fluctuations and is considered to be less risky than GC=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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