AUDUSD=X vs. SPY
Compare and contrast key facts about AUD/USD (AUDUSD=X) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AUDUSD=X or SPY.
Performance
AUDUSD=X vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, AUDUSD=X achieves a -4.71% return, which is significantly lower than SPY's 26.08% return. Over the past 10 years, AUDUSD=X has underperformed SPY with an annualized return of -2.67%, while SPY has yielded a comparatively higher 13.10% annualized return.
AUDUSD=X
-4.71%
-2.87%
-1.77%
-0.79%
-0.84%
-2.67%
SPY
26.08%
1.77%
13.59%
32.24%
15.62%
13.10%
Key characteristics
| AUDUSD=X | SPY | |
|---|---|---|
| Sharpe Ratio | -0.18 | 2.70 |
| Sortino Ratio | -0.20 | 3.60 |
| Omega Ratio | 0.98 | 1.50 |
| Calmar Ratio | -0.02 | 3.90 |
| Martin Ratio | -0.60 | 17.52 |
| Ulcer Index | 2.34% | 1.87% |
| Daily Std Dev | 7.89% | 12.14% |
| Max Drawdown | -67.80% | -55.19% |
| Current Drawdown | -56.40% | -0.85% |
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Correlation
The correlation between AUDUSD=X and SPY is 0.27, 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.
Risk-Adjusted Performance
AUDUSD=X vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AUD/USD (AUDUSD=X) and SPDR S&P 500 ETF (SPY). 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. SPY - Drawdown Comparison
The maximum AUDUSD=X drawdown since its inception was -67.80%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for AUDUSD=X and SPY. For additional features, visit the drawdowns tool.
Volatility
AUDUSD=X vs. SPY - Volatility Comparison
The current volatility for AUD/USD (AUDUSD=X) is 3.13%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.98%. This indicates that AUDUSD=X experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.