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AUDUSD=X vs. GBPUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between AUDUSD=X and GBPUSD=X is 0.08, 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.


-0.50.00.51.0
Correlation: 0.1

Performance

AUDUSD=X vs. GBPUSD=X - Performance Comparison

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

-22.00%-20.00%-18.00%-16.00%-14.00%-12.00%NovemberDecember2025FebruaryMarchApril
-16.10%
-14.79%
AUDUSD=X
GBPUSD=X

Key characteristics

Sharpe Ratio

AUDUSD=X:

-0.49

GBPUSD=X:

0.73

Sortino Ratio

AUDUSD=X:

-0.61

GBPUSD=X:

1.11

Omega Ratio

AUDUSD=X:

0.92

GBPUSD=X:

1.13

Calmar Ratio

AUDUSD=X:

-0.08

GBPUSD=X:

0.13

Martin Ratio

AUDUSD=X:

-0.68

GBPUSD=X:

1.24

Ulcer Index

AUDUSD=X:

6.94%

GBPUSD=X:

4.34%

Daily Std Dev

AUDUSD=X:

9.25%

GBPUSD=X:

7.13%

Max Drawdown

AUDUSD=X:

-67.80%

GBPUSD=X:

-49.30%

Current Drawdown

AUDUSD=X:

-56.86%

GBPUSD=X:

-36.29%

Returns By Period

In the year-to-date period, AUDUSD=X achieves a 3.77% return, which is significantly lower than GBPUSD=X's 7.30% return. Over the past 10 years, AUDUSD=X has underperformed GBPUSD=X with an annualized return of -1.88%, while GBPUSD=X has yielded a comparatively higher -1.15% annualized return.


AUDUSD=X

YTD

3.77%

1M

2.12%

6M

-2.48%

1Y

-1.58%

5Y*

-0.38%

10Y*

-1.88%

GBPUSD=X

YTD

7.30%

1M

3.76%

6M

3.51%

1Y

7.50%

5Y*

1.43%

10Y*

-1.15%

*Annualized

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Risk-Adjusted Performance

AUDUSD=X vs. GBPUSD=X — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AUDUSD=X
The Risk-Adjusted Performance Rank of AUDUSD=X is 3333
Overall Rank
The Sharpe Ratio Rank of AUDUSD=X is 3232
Sharpe Ratio Rank
The Sortino Ratio Rank of AUDUSD=X is 3333
Sortino Ratio Rank
The Omega Ratio Rank of AUDUSD=X is 3030
Omega Ratio Rank
The Calmar Ratio Rank of AUDUSD=X is 3434
Calmar Ratio Rank
The Martin Ratio Rank of AUDUSD=X is 3535
Martin Ratio Rank

GBPUSD=X
The Risk-Adjusted Performance Rank of GBPUSD=X is 7171
Overall Rank
The Sharpe Ratio Rank of GBPUSD=X is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of GBPUSD=X is 7272
Sortino Ratio Rank
The Omega Ratio Rank of GBPUSD=X is 7272
Omega Ratio Rank
The Calmar Ratio Rank of GBPUSD=X is 6969
Calmar Ratio Rank
The Martin Ratio Rank of GBPUSD=X is 6969
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.

AUDUSD=X vs. GBPUSD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AUD/USD (AUDUSD=X) and GBP/USD (GBPUSD=X). 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 chart of Sharpe ratio for AUDUSD=X, currently valued at -0.49, compared to the broader market-1.000.001.002.00
AUDUSD=X: -0.49
GBPUSD=X: 0.70
The chart of Sortino ratio for AUDUSD=X, currently valued at -0.61, compared to the broader market-1.000.001.002.003.004.00
AUDUSD=X: -0.61
GBPUSD=X: 1.06
The chart of Omega ratio for AUDUSD=X, currently valued at 0.92, compared to the broader market1.001.502.002.50
AUDUSD=X: 0.92
GBPUSD=X: 1.13
The chart of Calmar ratio for AUDUSD=X, currently valued at -0.10, compared to the broader market0.001.002.003.004.00
AUDUSD=X: -0.10
GBPUSD=X: 0.12
The chart of Martin ratio for AUDUSD=X, currently valued at -0.68, compared to the broader market0.005.0010.0015.0020.0025.00
AUDUSD=X: -0.68
GBPUSD=X: 1.11

The current AUDUSD=X Sharpe Ratio is -0.49, which is lower than the GBPUSD=X Sharpe Ratio of 0.73. The chart below compares the historical Sharpe Ratios of AUDUSD=X and GBPUSD=X, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00NovemberDecember2025FebruaryMarchApril
-0.49
0.70
AUDUSD=X
GBPUSD=X

Drawdowns

AUDUSD=X vs. GBPUSD=X - Drawdown Comparison

The maximum AUDUSD=X drawdown since its inception was -67.80%, which is greater than GBPUSD=X's maximum drawdown of -49.30%. Use the drawdown chart below to compare losses from any high point for AUDUSD=X and GBPUSD=X. For additional features, visit the drawdowns tool.


-46.00%-44.00%-42.00%-40.00%-38.00%-36.00%NovemberDecember2025FebruaryMarchApril
-41.78%
-36.29%
AUDUSD=X
GBPUSD=X

Volatility

AUDUSD=X vs. GBPUSD=X - Volatility Comparison

AUD/USD (AUDUSD=X) has a higher volatility of 3.94% compared to GBP/USD (GBPUSD=X) at 2.51%. This indicates that AUDUSD=X's price experiences larger fluctuations and is considered to be riskier than GBPUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%NovemberDecember2025FebruaryMarchApril
3.94%
2.51%
AUDUSD=X
GBPUSD=X