AUDUSD=X vs. NZDUSD=X
AUDUSD=X (AUD/USD) and NZDUSD=X (New Zealand Dollar/US Dollar FX) are both currencies. Over the past 10 years, AUDUSD=X returned -0.79%/yr vs -1.95%/yr for NZDUSD=X. Their correlation of 0.81 suggests significant overlap in exposure.
Performance
AUDUSD=X vs. NZDUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, AUDUSD=X achieves a 4.87% return, which is significantly higher than NZDUSD=X's 1.53% return. Over the past 10 years, AUDUSD=X has outperformed NZDUSD=X with an annualized return of -0.79%, while NZDUSD=X has yielded a comparatively lower -1.95% annualized return.
AUDUSD=X
- 1D
- 0.35%
- 1M
- -1.03%
- 6M
- 4.74%
- YTD
- 4.87%
- 1Y
- 7.44%
- 3Y*
- 0.78%
- 5Y*
- -1.09%
- 10Y*
- -0.79%
NZDUSD=X
- 1D
- 0.52%
- 1M
- 0.35%
- 6M
- 1.70%
- YTD
- 1.53%
- 1Y
- -1.71%
- 3Y*
- -2.83%
- 5Y*
- -3.55%
- 10Y*
- -1.95%
AUDUSD=X vs. NZDUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AUDUSD=X AUD/USD | 4.87% | 7.81% | -9.12% | -0.06% | -6.27% | -5.58% | 9.75% | -0.37% | -9.73% | 8.36% |
NZDUSD=X New Zealand Dollar/US Dollar FX | 1.53% | 2.87% | -11.45% | -0.44% | -7.32% | -4.75% | 6.74% | 0.43% | -5.48% | 2.51% |
Correlation
The correlation between AUDUSD=X and NZDUSD=X is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.85 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.87 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.87 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.84 |
Correlation (All Time) Calculated using the full available price history since Aug 20, 2007 | 0.82 |
The correlation between AUDUSD=X and NZDUSD=X has been stable across timeframes, ranging from 0.81 to 0.87 - a consistent structural relationship.
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Return for Risk
AUDUSD=X vs. NZDUSD=X — Risk / Return Rank
AUDUSD=X
NZDUSD=X
AUDUSD=X vs. NZDUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AUD/USD (AUDUSD=X) and New Zealand Dollar/US Dollar FX (NZDUSD=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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| AUDUSD=X | NZDUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.97 | ||
| Sortino ratioReturn per unit of downside risk | +1.34 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 0.98 | +0.16 |
| Calmar ratioReturn relative to maximum drawdown | 1.16 | -0.18 | +1.34 |
| Martin ratioReturn relative to average drawdown | 2.90 | -0.34 | +3.24 |
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Drawdowns
AUDUSD=X vs. NZDUSD=X - Drawdown Comparison
The maximum AUDUSD=X drawdown since its inception was -47.87%, which is greater than NZDUSD=X's maximum drawdown of -39.83%. Use the drawdown chart below to compare losses from any high point for AUDUSD=X and NZDUSD=X.
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Drawdown Indicators
| AUDUSD=X | NZDUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.87% | -39.83% | -8.04% |
Max Drawdown (1Y)Largest decline over 1 year | -5.12% | -7.67% | +2.55% |
Max Drawdown (3Y)Largest decline over 3 years | -13.83% | -12.88% | -0.95% |
Max Drawdown (5Y)Largest decline over 5 years | -21.39% | -23.19% | +1.80% |
Max Drawdown (10Y)Largest decline over 10 years | -29.18% | -26.48% | -2.70% |
Current DrawdownCurrent decline from peak | -36.47% | -33.77% | -2.70% |
Average DrawdownAverage peak-to-trough decline | -26.03% | -19.75% | -6.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.97% | 3.28% | -1.31% |
Volatility
AUDUSD=X vs. NZDUSD=X - Volatility Comparison
The current volatility for AUD/USD (AUDUSD=X) is 1.89%, while New Zealand Dollar/US Dollar FX (NZDUSD=X) has a volatility of 2.08%. This indicates that AUDUSD=X experiences smaller price fluctuations and is considered to be less risky than NZDUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AUDUSD=X | NZDUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.89% | 2.08% | -0.19% |
Volatility (6M)Calculated over the trailing 6-month period | 6.03% | 6.69% | -0.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.48% | 8.15% | -0.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.04% | 9.96% | +0.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.58% | 9.63% | -0.05% |
Frequently Asked Questions
AUDUSD=X and NZDUSD=X have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NZDUSD=X has higher volatility (2.08%) compared to AUDUSD=X (1.89%). In terms of maximum drawdown, AUDUSD=X dropped -47.87% vs NZDUSD=X's -39.83%.
AUDUSD=X currently has the higher Sharpe Ratio (0.80 vs -0.17), 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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