AUDUSD=X vs. GBPUSD=X
Compare and contrast key facts about AUD/USD (AUDUSD=X) and GBP/USD (GBPUSD=X).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AUDUSD=X or GBPUSD=X.
Performance
AUDUSD=X vs. GBPUSD=X - Performance Comparison
Returns By Period
In the year-to-date period, AUDUSD=X achieves a -4.21% return, which is significantly lower than GBPUSD=X's -0.36% return. Over the past 10 years, AUDUSD=X has underperformed GBPUSD=X with an annualized return of -2.67%, while GBPUSD=X has yielded a comparatively higher -2.01% annualized return.
AUDUSD=X
-4.21%
-2.68%
-2.12%
-0.50%
-0.74%
-2.67%
GBPUSD=X
-0.36%
-2.75%
-0.19%
1.44%
-0.35%
-2.01%
Key characteristics
| AUDUSD=X | GBPUSD=X | |
|---|---|---|
| Sharpe Ratio | -0.11 | 0.16 |
| Sortino Ratio | -0.10 | 0.26 |
| Omega Ratio | 0.99 | 1.03 |
| Calmar Ratio | -0.01 | 0.02 |
| Martin Ratio | -0.37 | 0.49 |
| Ulcer Index | 2.27% | 1.96% |
| Daily Std Dev | 7.87% | 6.13% |
| Max Drawdown | -67.80% | -49.30% |
| Current Drawdown | -56.17% | -39.82% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Correlation
The correlation between AUDUSD=X and GBPUSD=X is 0.40, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
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.
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.
Volatility
AUDUSD=X vs. GBPUSD=X - Volatility Comparison
AUD/USD (AUDUSD=X) has a higher volatility of 3.12% compared to GBP/USD (GBPUSD=X) at 2.28%. 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.