GBP=X vs. ^GSPC
Compare and contrast key facts about USD/GBP (GBP=X) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GBP=X or ^GSPC.
Performance
GBP=X vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, GBP=X achieves a 1.17% return, which is significantly lower than ^GSPC's 25.15% return. Over the past 10 years, GBP=X has underperformed ^GSPC with an annualized return of 1.85%, while ^GSPC has yielded a comparatively higher 11.21% annualized return.
GBP=X
1.17%
2.61%
0.86%
-0.75%
0.42%
1.85%
^GSPC
25.15%
2.97%
12.53%
31.00%
13.95%
11.21%
Key characteristics
| GBP=X | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 0.12 | 2.53 |
| Sortino Ratio | 0.23 | 3.39 |
| Omega Ratio | 1.03 | 1.47 |
| Calmar Ratio | 0.03 | 3.65 |
| Martin Ratio | 0.17 | 16.21 |
| Ulcer Index | 3.99% | 1.91% |
| Daily Std Dev | 5.69% | 12.23% |
| Max Drawdown | -34.89% | -56.78% |
| Current Drawdown | -14.76% | -0.53% |
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Correlation
The correlation between GBP=X and ^GSPC is 0.07, 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
GBP=X vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/GBP (GBP=X) and S&P 500 (^GSPC). 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
GBP=X vs. ^GSPC - Drawdown Comparison
The maximum GBP=X drawdown since its inception was -34.89%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for GBP=X and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
GBP=X vs. ^GSPC - Volatility Comparison
The current volatility for USD/GBP (GBP=X) is 3.69%, while S&P 500 (^GSPC) has a volatility of 3.94%. This indicates that GBP=X experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.