EURUSD=X vs. GBPUSD=X
Compare and contrast key facts about EUR/USD (EURUSD=X) and GBP/USD (GBPUSD=X).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EURUSD=X or GBPUSD=X.
Key characteristics
| EURUSD=X | GBPUSD=X | |
|---|---|---|
| YTD Return | -1.65% | 2.00% |
| 1Y Return | 2.64% | 6.62% |
| 3Y Return (Ann) | -2.03% | -1.82% |
| 5Y Return (Ann) | -0.54% | 0.02% |
| 10Y Return (Ann) | -1.53% | -2.05% |
| Sharpe Ratio | -0.03 | 1.01 |
| Sortino Ratio | -0.01 | 1.50 |
| Omega Ratio | 1.00 | 1.19 |
| Calmar Ratio | -0.01 | 0.15 |
| Martin Ratio | -0.07 | 4.41 |
| Ulcer Index | 2.36% | 1.45% |
| Daily Std Dev | 5.45% | 6.35% |
| Max Drawdown | -57.54% | -49.30% |
| Current Drawdown | -32.11% | -38.39% |
Correlation
The correlation between EURUSD=X and GBPUSD=X is 0.64, 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.
Performance
EURUSD=X vs. GBPUSD=X - Performance Comparison
In the year-to-date period, EURUSD=X achieves a -1.65% return, which is significantly lower than GBPUSD=X's 2.00% return. Over the past 10 years, EURUSD=X has outperformed GBPUSD=X with an annualized return of -1.53%, while GBPUSD=X has yielded a comparatively lower -2.05% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
EURUSD=X vs. GBPUSD=X - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for EUR/USD (EURUSD=X) and GBP/USD (GBPUSD=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.
Drawdowns
EURUSD=X vs. GBPUSD=X - Drawdown Comparison
The maximum EURUSD=X drawdown since its inception was -57.54%, which is greater than GBPUSD=X's maximum drawdown of -49.30%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and GBPUSD=X. For additional features, visit the drawdowns tool.
Volatility
EURUSD=X vs. GBPUSD=X - Volatility Comparison
The current volatility for EUR/USD (EURUSD=X) is 1.25%, while GBP/USD (GBPUSD=X) has a volatility of 1.80%. This indicates that EURUSD=X experiences smaller price fluctuations and is considered to be less risky than GBPUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.