AUD=X vs. PL=F
AUD=X (USD/AUD) is a currency, while PL=F (Platinum) is an asset. Over the past 10 years, AUD=X returned 0.56%/yr vs 7.00%/yr for PL=F. At a 0.03 correlation, their price movements are largely independent.
Performance
AUD=X vs. PL=F - Performance Comparison
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Different Trading Currencies
AUD=X is traded in AUD, while PL=F is traded in USD. To make them comparable, the PL=F 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 PL=F's -12.71% return. Over the past 10 years, AUD=X has underperformed PL=F with an annualized return of 0.56%, while PL=F has yielded a comparatively higher 7.00% 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%
PL=F
- 1D
- 1.22%
- 1M
- -5.96%
- YTD
- -12.71%
- 6M
- 6.77%
- 1Y
- 52.68%
- 3Y*
- 19.33%
- 5Y*
- 12.09%
- 10Y*
- 7.00%
AUD=X vs. PL=F - Yearly Performance Comparison
Correlation
The correlation between AUD=X and PL=F is -0.29, 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 | -0.29 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.13 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.08 |
Correlation (All Time) Calculated using the full available price history since Apr 27, 2009 | 0.03 |
The correlation between AUD=X and PL=F shifts across timeframes, from -0.29 (1 year) to 0.03 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
AUD=X vs. PL=F — Risk / Return Rank
AUD=X
PL=F
AUD=X vs. PL=F - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/AUD (AUD=X) and Platinum (PL=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.
| AUD=X | PL=F | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.94 | ||
| Sortino ratioReturn per unit of downside risk | -2.65 | ||
| Omega ratioGain probability vs. loss probability | 0.87 | 1.23 | -0.36 |
| Calmar ratioReturn relative to maximum drawdown | -0.54 | 1.56 | -2.10 |
| Martin ratioReturn relative to average drawdown | -1.04 | 3.02 | -4.06 |
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 | PL=F | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.84 | 1.10 | -1.94 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.17 | 0.37 | -0.19 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.06 | 0.24 | -0.18 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.08 | 0.11 | -0.04 |
Drawdowns
AUD=X vs. PL=F - Drawdown Comparison
The maximum AUD=X drawdown since its inception was -45.40%, roughly equal to the maximum PL=F drawdown of -47.01%. Use the drawdown chart below to compare losses from any high point for AUD=X and PL=F.
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Drawdown Indicators
| AUD=X | PL=F | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.40% | -47.01% | +1.61% |
Max Drawdown (1Y)Largest decline over 1 year | -11.57% | -36.23% | +24.66% |
Max Drawdown (3Y)Largest decline over 3 years | -18.03% | -36.23% | +18.20% |
Max Drawdown (5Y)Largest decline over 5 years | -18.03% | -36.23% | +18.20% |
Max Drawdown (10Y)Largest decline over 10 years | -28.03% | -36.23% | +8.20% |
Current DrawdownCurrent decline from peak | -18.63% | -35.45% | +16.82% |
Average DrawdownAverage peak-to-trough decline | -22.17% | -25.33% | +3.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.65% | 18.99% | -12.34% |
Volatility
AUD=X vs. PL=F - Volatility Comparison
The current volatility for USD/AUD (AUD=X) is 2.37%, while Platinum (PL=F) has a volatility of 8.87%. This indicates that AUD=X experiences smaller price fluctuations and is considered to be less risky than PL=F 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 | PL=F | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.37% | 8.87% | -6.50% |
Volatility (6M)Calculated over the trailing 6-month period | 6.56% | 46.35% | -39.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.47% | 51.30% | -43.83% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.03% | 32.86% | -22.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.63% | 29.09% | -19.46% |
Frequently Asked Questions
AUD=X and PL=F have a correlation of -0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PL=F has higher volatility (8.87%) compared to AUD=X (2.37%). In terms of maximum drawdown, AUD=X dropped -45.40% vs PL=F's -47.01%.
PL=F currently has the higher Sharpe Ratio (1.10 vs -0.84), 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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