GBP=X vs. USD=X
GBP=X (USD/GBP) and USD=X (USD Cash) are both currencies. Over the past 10 years, GBP=X returned 0.87%/yr vs 0.85%/yr for USD=X. With a 1.00 correlation, they move nearly in lockstep.
Performance
GBP=X vs. USD=X - Performance Comparison
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Different Trading Currencies
GBP=X is traded in GBP, while USD=X is traded in USD. To make them comparable, the USD=X values have been converted to GBP using the latest available exchange rates.
Returns By Period
As of year-to-date, both investments have demonstrated similar returns, with GBP=X at 1.01% and USD=X at 1.01%. Both investments have delivered pretty close results over the past 10 years, with GBP=X having a 0.87% annualized return and USD=X not far behind at 0.85%.
GBP=X
- 1D
- 0.63%
- 1M
- 1.90%
- YTD
- 1.01%
- 6M
- -0.07%
- 1Y
- 1.75%
- 3Y*
- -2.35%
- 5Y*
- 1.20%
- 10Y*
- 0.87%
USD=X
- 1D
- 0.00%
- 1M
- 1.90%
- YTD
- 1.01%
- 6M
- -0.07%
- 1Y
- 1.75%
- 3Y*
- -2.30%
- 5Y*
- 1.23%
- 10Y*
- 0.85%
GBP=X vs. USD=X - Yearly Performance Comparison
Correlation
The correlation between GBP=X and USD=X is 1.00 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 1.00 |
Correlation (3Y) Calculated over the trailing 3-year period | 1.00 |
Correlation (5Y) Calculated over the trailing 5-year period | 1.00 |
Correlation (10Y) Calculated over the trailing 10-year period | 1.00 |
Correlation (All Time) Calculated using the full available price history since Jul 4, 2007 | 1.00 |
The correlation between GBP=X and USD=X has been stable across timeframes, ranging from 1.00 to 1.00 - a consistent structural relationship.
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Return for Risk
GBP=X vs. USD=X — Risk / Return Rank
GBP=X
USD=X
GBP=X vs. USD=X - Risk-Adjusted Trends 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 | USD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.04 | 1.04 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 0.24 | 0.23 | 0.00 |
| Martin ratioReturn relative to average drawdown | 0.53 | 0.53 | 0.00 |
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 | USD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.23 | 0.20 | +0.02 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.13 | 0.14 | -0.01 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.09 | 0.09 | 0.00 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.22 | 0.23 | -0.01 |
Drawdowns
GBP=X vs. USD=X - Drawdown Comparison
The maximum GBP=X drawdown since its inception was -22.85%, roughly equal to the maximum USD=X drawdown of -22.85%. Use the drawdown chart below to compare losses from any high point for GBP=X and USD=X.
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Drawdown Indicators
| GBP=X | USD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.85% | -22.85% | 0.00% |
Max Drawdown (1Y)Largest decline over 1 year | -5.98% | -5.98% | 0.00% |
Max Drawdown (3Y)Largest decline over 3 years | -12.79% | -12.79% | 0.00% |
Max Drawdown (5Y)Largest decline over 5 years | -22.85% | -22.85% | 0.00% |
Max Drawdown (10Y)Largest decline over 10 years | -22.85% | -22.85% | 0.00% |
Current DrawdownCurrent decline from peak | -19.91% | -19.91% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -11.18% | -11.07% | -0.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.73% | 2.92% | -0.19% |
Volatility
GBP=X vs. USD=X - Volatility Comparison
The current volatility for USD/GBP (GBP=X) is 1.73%, while USD Cash (USD=X) has a volatility of 1.92%. This indicates that GBP=X experiences smaller price fluctuations and is considered to be less risky than USD=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 | USD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.73% | 1.92% | -0.19% |
Volatility (6M)Calculated over the trailing 6-month period | 5.01% | 5.24% | -0.23% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.23% | 5.77% | +0.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.23% | 7.12% | +1.11% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.26% | 7.92% | +1.34% |
Frequently Asked Questions
With a correlation of 1.00, GBP=X and USD=X move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
USD=X has higher volatility (1.92%) compared to GBP=X (1.73%). In terms of maximum drawdown, GBP=X dropped -22.85% vs USD=X's -22.85%.
GBP=X currently has the higher Sharpe Ratio (0.23 vs 0.20), 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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