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

Correlation

The correlation between AUDUSD=X and GDX is 0.45, 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.


-0.50.00.51.00.5

Performance

AUDUSD=X vs. GDX - Performance Comparison

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

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
-5.80%
2.17%
AUDUSD=X
GDX

Key characteristics

Sharpe Ratio

AUDUSD=X:

-0.48

GDX:

0.40

Sortino Ratio

AUDUSD=X:

-0.60

GDX:

0.76

Omega Ratio

AUDUSD=X:

0.93

GDX:

1.09

Calmar Ratio

AUDUSD=X:

-0.07

GDX:

0.23

Martin Ratio

AUDUSD=X:

-1.18

GDX:

1.40

Ulcer Index

AUDUSD=X:

3.24%

GDX:

9.19%

Daily Std Dev

AUDUSD=X:

7.85%

GDX:

31.81%

Max Drawdown

AUDUSD=X:

-67.80%

GDX:

-80.57%

Current Drawdown

AUDUSD=X:

-58.01%

GDX:

-41.44%

Returns By Period

In the year-to-date period, AUDUSD=X achieves a -8.24% return, which is significantly lower than GDX's 12.00% return. Over the past 10 years, AUDUSD=X has underperformed GDX with an annualized return of -2.44%, while GDX has yielded a comparatively higher 8.18% annualized return.


AUDUSD=X

YTD

-8.24%

1M

-3.93%

6M

-5.89%

1Y

-8.12%

5Y*

-1.83%

10Y*

-2.44%

GDX

YTD

12.00%

1M

-7.93%

6M

2.18%

1Y

10.78%

5Y*

6.40%

10Y*

8.18%

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for AUD/USD (AUDUSD=X) and VanEck Vectors Gold Miners ETF (GDX). 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.


Sharpe ratio
The chart of Sharpe ratio for AUDUSD=X, currently valued at -0.48, compared to the broader market0.002.004.006.008.0010.00-0.481.20
The chart of Sortino ratio for AUDUSD=X, currently valued at -0.60, compared to the broader market0.0010.0020.0030.0040.00-0.601.70
The chart of Omega ratio for AUDUSD=X, currently valued at 0.93, compared to the broader market2.004.006.008.0010.000.931.23
The chart of Calmar ratio for AUDUSD=X, currently valued at -0.09, compared to the broader market0.0020.0040.0060.0080.00-0.090.62
The chart of Martin ratio for AUDUSD=X, currently valued at -1.18, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-1.184.47
AUDUSD=X
GDX

The current AUDUSD=X Sharpe Ratio is -0.48, which is lower than the GDX Sharpe Ratio of 0.40. The chart below compares the historical Sharpe Ratios of AUDUSD=X and GDX, 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-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.48
1.20
AUDUSD=X
GDX

Drawdowns

AUDUSD=X vs. GDX - Drawdown Comparison

The maximum AUDUSD=X drawdown since its inception was -67.80%, smaller than the maximum GDX drawdown of -80.57%. Use the drawdown chart below to compare losses from any high point for AUDUSD=X and GDX. For additional features, visit the drawdowns tool.


-40.00%-35.00%-30.00%-25.00%JulyAugustSeptemberOctoberNovemberDecember
-43.33%
-41.44%
AUDUSD=X
GDX

Volatility

AUDUSD=X vs. GDX - Volatility Comparison

The current volatility for AUD/USD (AUDUSD=X) is 2.80%, while VanEck Vectors Gold Miners ETF (GDX) has a volatility of 8.84%. This indicates that AUDUSD=X experiences smaller price fluctuations and is considered to be less risky than GDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
2.80%
8.84%
AUDUSD=X
GDX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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