AUDUSD=X vs. ^HSI
Compare and contrast key facts about AUD/USD (AUDUSD=X) and Hang Seng Index (^HSI).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AUDUSD=X or ^HSI.
Performance
AUDUSD=X vs. ^HSI - Performance Comparison
Returns By Period
In the year-to-date period, AUDUSD=X achieves a -4.71% return, which is significantly lower than ^HSI's 13.04% return. Over the past 10 years, AUDUSD=X has underperformed ^HSI with an annualized return of -2.67%, while ^HSI has yielded a comparatively higher -2.18% annualized return.
AUDUSD=X
-4.71%
-2.87%
-1.77%
-0.79%
-0.84%
-2.67%
^HSI
13.04%
-5.99%
2.13%
8.66%
-6.39%
-2.18%
Key characteristics
| AUDUSD=X | ^HSI | |
|---|---|---|
| Sharpe Ratio | -0.18 | 0.42 |
| Sortino Ratio | -0.20 | 0.77 |
| Omega Ratio | 0.98 | 1.09 |
| Calmar Ratio | -0.02 | 0.20 |
| Martin Ratio | -0.60 | 1.14 |
| Ulcer Index | 2.34% | 9.49% |
| Daily Std Dev | 7.89% | 25.54% |
| Max Drawdown | -67.80% | -91.54% |
| Current Drawdown | -56.40% | -41.87% |
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Correlation
The correlation between AUDUSD=X and ^HSI is 0.21, 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. ^HSI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AUD/USD (AUDUSD=X) and Hang Seng Index (^HSI). 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. ^HSI - Drawdown Comparison
The maximum AUDUSD=X drawdown since its inception was -67.80%, smaller than the maximum ^HSI drawdown of -91.54%. Use the drawdown chart below to compare losses from any high point for AUDUSD=X and ^HSI. For additional features, visit the drawdowns tool.
Volatility
AUDUSD=X vs. ^HSI - Volatility Comparison
The current volatility for AUD/USD (AUDUSD=X) is 3.13%, while Hang Seng Index (^HSI) has a volatility of 6.07%. This indicates that AUDUSD=X experiences smaller price fluctuations and is considered to be less risky than ^HSI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.