GBP=X vs. EUR=X
Compare and contrast key facts about USD/GBP (GBP=X) and USD/EUR (EUR=X).
Performance
GBP=X vs. EUR=X - Performance Comparison
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GBP=X vs. EUR=X - Yearly Performance Comparison
Different Trading Currencies
GBP=X is traded in GBP, while EUR=X is traded in EUR. To make them comparable, the EUR=X values have been converted to GBP using the latest available exchange rates.
Returns By Period
In the year-to-date period, GBP=X achieves a 1.65% return, which is significantly lower than EUR=X's 1.89% return. Both investments have delivered pretty close results over the past 10 years, with GBP=X having a 0.71% annualized return and EUR=X not far ahead at 0.74%.
GBP=X
- 1D
- -0.23%
- 1M
- 1.13%
- YTD
- 1.65%
- 6M
- 1.69%
- 1Y
- -2.51%
- 3Y*
- -2.37%
- 5Y*
- 0.86%
- 10Y*
- 0.71%
EUR=X
- 1D
- 0.03%
- 1M
- 1.37%
- YTD
- 1.89%
- 6M
- 1.94%
- 1Y
- -2.27%
- 3Y*
- -2.29%
- 5Y*
- 0.90%
- 10Y*
- 0.74%
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Return for Risk
GBP=X vs. EUR=X — Risk / Return Rank
GBP=X
EUR=X
GBP=X vs. EUR=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/GBP (GBP=X) and USD/EUR (EUR=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.
| GBP=X | EUR=X | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.30 | -0.27 | -0.03 |
Sortino ratioReturn per unit of downside risk | -0.38 | -0.34 | -0.04 |
Omega ratioGain probability vs. loss probability | 0.96 | 0.96 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 0.37 | 0.41 | -0.04 |
Martin ratioReturn relative to average drawdown | 0.90 | 0.99 | -0.09 |
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
| GBP=X | EUR=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.30 | -0.27 | -0.03 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.10 | 0.10 | 0.00 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.07 | 0.07 | 0.00 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.22 | 0.21 | +0.01 |
Correlation
The correlation between GBP=X and EUR=X is 0.99, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Drawdowns
GBP=X vs. EUR=X - Drawdown Comparison
The maximum GBP=X drawdown since its inception was -22.85%, roughly equal to the maximum EUR=X drawdown of -22.88%. Use the drawdown chart below to compare losses from any high point for GBP=X and EUR=X.
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Drawdown Indicators
| GBP=X | EUR=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.85% | -20.32% | -2.53% |
Max Drawdown (1Y)Largest decline over 1 year | -8.11% | -10.07% | +1.96% |
Max Drawdown (5Y)Largest decline over 5 years | -22.85% | -20.32% | -2.53% |
Max Drawdown (10Y)Largest decline over 10 years | -22.85% | -20.32% | -2.53% |
Current DrawdownCurrent decline from peak | -19.40% | -17.06% | -2.34% |
Average DrawdownAverage peak-to-trough decline | -10.98% | -9.52% | -1.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.48% | 2.39% | +0.09% |
Volatility
GBP=X vs. EUR=X - Volatility Comparison
USD/GBP (GBP=X) has a higher volatility of 2.74% compared to USD/EUR (EUR=X) at 2.58%. This indicates that GBP=X's price experiences larger fluctuations and is considered to be riskier than EUR=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GBP=X | EUR=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.74% | 2.58% | +0.16% |
Volatility (6M)Calculated over the trailing 6-month period | 4.68% | 4.60% | +0.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.73% | 6.72% | +0.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.25% | 8.15% | +0.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.29% | 9.29% | 0.00% |