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GBP=X vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


GBP=X^GSPC
YTD Return-0.04%25.45%
1Y Return-4.00%35.64%
3Y Return (Ann)1.27%8.55%
5Y Return (Ann)0.14%14.13%
10Y Return (Ann)1.75%11.39%
Sharpe Ratio-0.242.90
Sortino Ratio-0.323.87
Omega Ratio0.961.54
Calmar Ratio-0.074.19
Martin Ratio-0.3418.72
Ulcer Index3.97%1.90%
Daily Std Dev5.87%12.27%
Max Drawdown-34.89%-56.78%
Current Drawdown-15.78%-0.29%

Correlation

-0.50.00.51.00.1

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.

Performance

GBP=X vs. ^GSPC - Performance Comparison

In the year-to-date period, GBP=X achieves a -0.04% return, which is significantly lower than ^GSPC's 25.45% return. Over the past 10 years, GBP=X has underperformed ^GSPC with an annualized return of 1.75%, while ^GSPC has yielded a comparatively higher 11.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.87%
12.73%
GBP=X
^GSPC

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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.


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
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.71, compared to the broader market-1.00-0.500.000.501.001.501.71
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.40, compared to the broader market0.0050.00100.00150.00200.00250.002.40
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market10.0020.0030.0040.0050.0060.001.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.24, compared to the broader market0.00100.00200.00300.00400.00500.002.24
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.85, compared to the broader market0.001,000.002,000.003,000.004,000.008.85

GBP=X vs. ^GSPC - Sharpe Ratio Comparison

The current GBP=X Sharpe Ratio is -0.24, which is lower than the ^GSPC Sharpe Ratio of 2.90. The chart below compares the historical Sharpe Ratios of GBP=X and ^GSPC, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.04
1.71
GBP=X
^GSPC

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.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.09%
-0.29%
GBP=X
^GSPC

Volatility

GBP=X vs. ^GSPC - Volatility Comparison

USD/GBP (GBP=X) and S&P 500 (^GSPC) have volatilities of 3.65% and 3.72%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.65%
3.72%
GBP=X
^GSPC