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GBP=X vs. USD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


GBP=XUSD=X
YTD Return-0.04%0.00%
1Y Return-4.00%0.00%
3Y Return (Ann)1.27%0.00%
5Y Return (Ann)0.14%0.00%
10Y Return (Ann)1.75%0.00%
Ulcer Index3.97%0.00%
Daily Std Dev5.87%0.00%
Max Drawdown-34.89%0.00%
Current Drawdown-15.78%0.00%

Correlation

-0.50.00.51.00.0

The correlation between GBP=X and USD=X is 0.00. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

GBP=X vs. USD=X - Performance Comparison

The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-1.50%-1.00%-0.50%0.00%0.50%JuneJulyAugustSeptemberOctoberNovember
-0.32%
0
GBP=X
USD=X

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Risk-Adjusted Performance

GBP=X vs. USD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/GBP (GBP=X) and USD Cash (USD=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
Sharpe ratio
The chart of Sharpe ratio for GBP=X, currently valued at -0.04, compared to the broader market-1.00-0.500.000.501.001.50-0.04
Sortino ratio
The chart of Sortino ratio for GBP=X, currently valued at -0.00, compared to the broader market0.0050.00100.00150.00200.00250.00-0.00
Omega ratio
The chart of Omega ratio for GBP=X, currently valued at 1.00, compared to the broader market10.0020.0030.0040.0050.0060.001.00
Calmar ratio
The chart of Calmar ratio for GBP=X, currently valued at -0.08, compared to the broader market0.00100.00200.00300.00400.00500.00-0.08
Martin ratio
The chart of Martin ratio for GBP=X, currently valued at -0.41, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.41
USD=X
Sharpe ratio
No data

GBP=X vs. USD=X - Sharpe Ratio Comparison


Rolling 12-month Sharpe Ratio-0.20-0.100.000.100.20JuneJulyAugustSeptemberOctoberNovember
-0.04
GBP=X
USD=X

Drawdowns

GBP=X vs. USD=X - Drawdown Comparison

The maximum GBP=X drawdown since its inception was -34.89%, which is greater than USD=X's maximum drawdown of 0.00%. Use the drawdown chart below to compare losses from any high point for GBP=X and USD=X. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.09%
0
GBP=X
USD=X

Volatility

GBP=X vs. USD=X - Volatility Comparison

USD/GBP (GBP=X) has a higher volatility of 3.65% compared to USD Cash (USD=X) at 0.00%. This indicates that GBP=X's price experiences larger fluctuations and is considered to be riskier than USD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
3.65%
0
GBP=X
USD=X