AUDUSD=X vs. NZDUSD=X

Last updated Jun 6, 2026

AUDUSD=X (AUD/USD) and NZDUSD=X (New Zealand Dollar/US Dollar FX) are both currencies. Over the past 10 years, AUDUSD=X returned -0.57%/yr vs -1.84%/yr for NZDUSD=X. Their correlation of 0.82 suggests significant overlap in exposure.

Performance

AUDUSD=X vs. NZDUSD=X - Performance Comparison

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

Returns By Period

In the year-to-date period, AUDUSD=X achieves a 5.47% return, which is significantly higher than NZDUSD=X's 0.66% return. Over the past 10 years, AUDUSD=X has outperformed NZDUSD=X with an annualized return of -0.57%, while NZDUSD=X has yielded a comparatively lower -1.84% annualized return.

AUDUSD=X

• 1D: -1.33%
• 1M: -2.74%
• YTD: 5.47%
• 6M: 6.02%
• 1Y: 8.20%
• 3Y*: 1.80%
• 5Y*: -1.88%
• 10Y*: -0.57%

NZDUSD=X

• 1D: -1.27%
• 1M: -2.73%
• YTD: 0.66%
• 6M: 0.33%
• 1Y: -4.00%
• 3Y*: -1.59%
• 5Y*: -4.28%
• 10Y*: -1.84%

*Multi-year figures are annualized to reflect compound growth (CAGR)

AUDUSD=X vs. NZDUSD=X - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AUDUSD=X AUD/USD	5.47%	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	0.66%	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 0.86, 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	0.86
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	0.83
Correlation (All Time) Calculated using the full available price history since Jul 4, 2007	0.82

The correlation between AUDUSD=X and NZDUSD=X has been stable across timeframes, ranging from 0.82 to 0.87 - a consistent structural relationship.

Return for Risk

AUDUSD=X vs. NZDUSD=X — Risk / Return Rank

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

AUDUSD=X

AUDUSD=X Risk / Return Rank: 79
AUDUSD=X Sharpe Ratio Rank: 76
AUDUSD=X Sortino Ratio Rank: 75
AUDUSD=X Omega Ratio Rank: 75
AUDUSD=X Calmar Ratio Rank: 82
AUDUSD=X Martin Ratio Rank: 85

NZDUSD=X

NZDUSD=X Risk / Return Rank: 27
NZDUSD=X Sharpe Ratio Rank: 28
NZDUSD=X Sortino Ratio Rank: 28
NZDUSD=X Omega Ratio Rank: 28
NZDUSD=X Calmar Ratio Rank: 27
NZDUSD=X Martin Ratio Rank: 25

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.

	AUDUSD=X	NZDUSD=X	Difference
Sharpe ratio: Return per unit of total volatility	0.86	-0.40	+1.26
Sortino ratio: Return per unit of downside risk	1.26	-0.50	+1.76
Omega ratio: Gain probability vs. loss probability	1.15	0.94	+0.21
Calmar ratio: Return relative to maximum drawdown	1.56	-0.38	+1.94
Martin ratio: Return relative to average drawdown	4.16	-0.76	+4.92
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AUDUSD=X vs. NZDUSD=X - Sharpe Ratio Comparison

The current AUDUSD=X Sharpe Ratio is 0.86, which is higher than the NZDUSD=X Sharpe Ratio of -0.40. The chart below compares the historical Sharpe Ratios of AUDUSD=X and NZDUSD=X, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	AUDUSD=X	NZDUSD=X	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.86	-0.40	+1.26
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.17	-0.39	+0.22
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.06	-0.18	+0.12
Sharpe Ratio (All Time) Calculated using the full available price history	-0.08	-0.12	+0.04

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.

Drawdown Indicators

	AUDUSD=X	NZDUSD=X	Difference
Max Drawdown Largest peak-to-trough decline	-47.87%	-39.83%	-8.04%
Max Drawdown (1Y) Largest decline over 1 year	-4.20%	-8.48%	+4.28%
Max Drawdown (3Y) Largest decline over 3 years	-13.83%	-13.50%	-0.33%
Max Drawdown (5Y) Largest decline over 5 years	-23.18%	-23.45%	+0.27%
Max Drawdown (10Y) Largest decline over 10 years	-29.18%	-26.48%	-2.70%
Current Drawdown Current decline from peak	-36.11%	-34.35%	-1.76%
Average Drawdown Average peak-to-trough decline	-25.83%	-19.65%	-6.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.62%	3.48%	-1.86%

Volatility

AUDUSD=X vs. NZDUSD=X - Volatility Comparison

The current volatility for AUD/USD (AUDUSD=X) is 2.44%, while New Zealand Dollar/US Dollar FX (NZDUSD=X) has a volatility of 3.17%. 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.

Volatility by Period

	AUDUSD=X	NZDUSD=X	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.44%	3.17%	-0.73%
Volatility (6M) Calculated over the trailing 6-month period	6.62%	7.04%	-0.42%
Volatility (1Y) Calculated over the trailing 1-year period	7.62%	8.18%	-0.56%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.08%	10.01%	+0.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.67%	9.72%	-0.05%

Frequently Asked Questions

Can I hold both AUDUSD=X and NZDUSD=X in my portfolio?

AUDUSD=X and NZDUSD=X have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AUDUSD=X or NZDUSD=X?

NZDUSD=X has higher volatility (3.17%) compared to AUDUSD=X (2.44%). In terms of maximum drawdown, AUDUSD=X dropped -47.87% vs NZDUSD=X's -39.83%.

Which has better risk-adjusted returns?

AUDUSD=X currently has the higher Sharpe Ratio (0.86 vs -0.40), 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.