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FXA vs. GC=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between FXA and GC=F is 0.11, 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.


-0.50.00.51.00.1

Performance

FXA vs. GC=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco CurrencyShares Australian Dollar Trust (FXA) and Gold (GC=F). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-5.34%
12.82%
FXA
GC=F

Key characteristics

Sharpe Ratio

FXA:

-0.65

GC=F:

2.06

Sortino Ratio

FXA:

-0.84

GC=F:

2.59

Omega Ratio

FXA:

0.90

GC=F:

1.37

Calmar Ratio

FXA:

-0.16

GC=F:

3.78

Martin Ratio

FXA:

-1.47

GC=F:

10.45

Ulcer Index

FXA:

3.76%

GC=F:

2.89%

Daily Std Dev

FXA:

8.51%

GC=F:

14.53%

Max Drawdown

FXA:

-40.97%

GC=F:

-44.36%

Current Drawdown

FXA:

-34.76%

GC=F:

-5.73%

Returns By Period

In the year-to-date period, FXA achieves a -6.78% return, which is significantly lower than GC=F's 27.46% return. Over the past 10 years, FXA has underperformed GC=F with an annualized return of -1.92%, while GC=F has yielded a comparatively higher 7.37% annualized return.


FXA

YTD

-6.78%

1M

-3.63%

6M

-5.11%

1Y

-6.57%

5Y*

-1.61%

10Y*

-1.92%

GC=F

YTD

27.46%

1M

-0.74%

6M

13.48%

1Y

28.91%

5Y*

10.83%

10Y*

7.37%

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Risk-Adjusted Performance

FXA vs. GC=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares Australian Dollar Trust (FXA) and Gold (GC=F). 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.


Sharpe ratio
The chart of Sharpe ratio for FXA, currently valued at -0.42, compared to the broader market0.002.004.00-0.422.06
The chart of Sortino ratio for FXA, currently valued at -0.52, compared to the broader market-2.000.002.004.006.008.0010.00-0.522.59
The chart of Omega ratio for FXA, currently valued at 0.94, compared to the broader market0.501.001.502.002.503.000.941.37
The chart of Calmar ratio for FXA, currently valued at -0.10, compared to the broader market0.005.0010.0015.00-0.103.78
The chart of Martin ratio for FXA, currently valued at -1.14, compared to the broader market0.0020.0040.0060.0080.00100.00-1.1410.45
FXA
GC=F

The current FXA Sharpe Ratio is -0.65, which is lower than the GC=F Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of FXA and GC=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.42
2.06
FXA
GC=F

Drawdowns

FXA vs. GC=F - Drawdown Comparison

The maximum FXA drawdown since its inception was -40.97%, smaller than the maximum GC=F drawdown of -44.36%. Use the drawdown chart below to compare losses from any high point for FXA and GC=F. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-34.76%
-5.73%
FXA
GC=F

Volatility

FXA vs. GC=F - Volatility Comparison

The current volatility for Invesco CurrencyShares Australian Dollar Trust (FXA) is 2.67%, while Gold (GC=F) has a volatility of 5.48%. This indicates that FXA experiences smaller price fluctuations and is considered to be less risky than GC=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
2.67%
5.48%
FXA
GC=F
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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