EURUSD=X vs. GBPUSD=X
EURUSD=X (EUR/USD) and GBPUSD=X (GBP/USD) are both currencies. Over the past 10 years, EURUSD=X returned 0.15%/yr vs -0.87%/yr for GBPUSD=X. A 0.62 correlation means they provide meaningful diversification when combined.
Performance
EURUSD=X vs. GBPUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, EURUSD=X achieves a -1.90% return, which is significantly lower than GBPUSD=X's -0.93% return. Over the past 10 years, EURUSD=X has outperformed GBPUSD=X with an annualized return of 0.15%, while GBPUSD=X has yielded a comparatively lower -0.87% annualized return.
EURUSD=X
- 1D
- -0.76%
- 1M
- -1.92%
- YTD
- -1.90%
- 6M
- -1.04%
- 1Y
- 0.68%
- 3Y*
- 2.52%
- 5Y*
- -1.08%
- 10Y*
- 0.15%
GBPUSD=X
- 1D
- -0.70%
- 1M
- -1.93%
- YTD
- -0.93%
- 6M
- -0.00%
- 1Y
- -1.76%
- 3Y*
- 2.37%
- 5Y*
- -1.19%
- 10Y*
- -0.87%
EURUSD=X vs. GBPUSD=X - Yearly Performance Comparison
Correlation
The correlation between EURUSD=X and GBPUSD=X is 0.83, 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 | 0.83 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.80 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.77 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.68 |
Correlation (All Time) Calculated using the full available price history since Jul 4, 2007 | 0.62 |
Over the past year, EURUSD=X and GBPUSD=X have become more correlated (0.83) than their long-term average of 0.62, meaning their price movements have been converging.
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Return for Risk
EURUSD=X vs. GBPUSD=X — Risk / Return Rank
EURUSD=X
GBPUSD=X
EURUSD=X vs. GBPUSD=X - Risk-Adjusted Trends 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.
| EURUSD=X | GBPUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.32 | ||
| Sortino ratioReturn per unit of downside risk | +0.46 | ||
| Omega ratioGain probability vs. loss probability | 1.02 | 0.97 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 0.11 | -0.27 | +0.38 |
| Martin ratioReturn relative to average drawdown | 0.25 | -0.53 | +0.77 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EURUSD=X | GBPUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.09 | -0.23 | +0.32 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.13 | -0.13 | 0.00 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.02 | -0.09 | +0.11 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.09 | -0.22 | +0.13 |
Drawdowns
EURUSD=X vs. GBPUSD=X - Drawdown Comparison
The maximum EURUSD=X drawdown since its inception was -40.01%, smaller than the maximum GBPUSD=X drawdown of -49.29%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and GBPUSD=X.
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Drawdown Indicators
| EURUSD=X | GBPUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.01% | -49.29% | +9.28% |
Max Drawdown (1Y)Largest decline over 1 year | -5.19% | -5.26% | +0.07% |
Max Drawdown (3Y)Largest decline over 3 years | -8.83% | -9.34% | +0.51% |
Max Drawdown (5Y)Largest decline over 5 years | -21.30% | -24.62% | +3.32% |
Max Drawdown (10Y)Largest decline over 10 years | -23.31% | -27.99% | +4.68% |
Current DrawdownCurrent decline from peak | -27.94% | -36.75% | +8.81% |
Average DrawdownAverage peak-to-trough decline | -23.42% | -31.14% | +7.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.41% | 2.51% | -0.10% |
Volatility
EURUSD=X vs. GBPUSD=X - Volatility Comparison
The current volatility for EUR/USD (EURUSD=X) is 1.19%, 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.
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Volatility by Period
| EURUSD=X | GBPUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.19% | 1.80% | -0.61% |
Volatility (6M)Calculated over the trailing 6-month period | 4.50% | 4.97% | -0.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.92% | 6.26% | -0.34% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.42% | 8.25% | -0.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.16% | 9.10% | -1.94% |
Frequently Asked Questions
EURUSD=X and GBPUSD=X have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GBPUSD=X has higher volatility (1.80%) compared to EURUSD=X (1.19%). In terms of maximum drawdown, EURUSD=X dropped -40.01% vs GBPUSD=X's -49.29%.
EURUSD=X currently has the higher Sharpe Ratio (0.09 vs -0.23), 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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