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

Performance

GBP=X vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/GBP (GBP=X) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
0.18%
12.33%
GBP=X
^GSPC

Returns By Period

In the year-to-date period, GBP=X achieves a 0.65% return, which is significantly lower than ^GSPC's 24.05% return. Over the past 10 years, GBP=X has underperformed ^GSPC with an annualized return of 1.80%, while ^GSPC has yielded a comparatively higher 11.13% annualized return.


GBP=X

YTD

0.65%

1M

2.64%

6M

0.48%

1Y

-1.11%

5Y (annualized)

0.34%

10Y (annualized)

1.80%

^GSPC

YTD

24.05%

1M

1.08%

6M

11.50%

1Y

30.38%

5Y (annualized)

13.77%

10Y (annualized)

11.13%

Key characteristics


GBP=X^GSPC
Sharpe Ratio0.022.46
Sortino Ratio0.073.31
Omega Ratio1.011.46
Calmar Ratio0.013.55
Martin Ratio0.0315.76
Ulcer Index3.99%1.91%
Daily Std Dev5.68%12.23%
Max Drawdown-34.89%-56.78%
Current Drawdown-15.20%-1.40%

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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.

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.


Sharpe ratio
The chart of Sharpe ratio for GBP=X, currently valued at -0.02, compared to the broader market-1.00-0.500.000.501.001.50-0.021.48
The chart of Sortino ratio for GBP=X, currently valued at 0.03, compared to the broader market0.0050.00100.00150.00200.00250.000.032.07
The chart of Omega ratio for GBP=X, currently valued at 1.00, compared to the broader market10.0020.0030.0040.0050.0060.001.001.32
The chart of Calmar ratio for GBP=X, currently valued at -0.03, compared to the broader market0.00100.00200.00300.00400.00500.00-0.031.92
The chart of Martin ratio for GBP=X, currently valued at -0.16, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.167.53
GBP=X
^GSPC

The current GBP=X Sharpe Ratio is 0.02, which is lower than the ^GSPC Sharpe Ratio of 2.46. 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
-0.02
1.48
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
-3.01%
-1.40%
GBP=X
^GSPC

Volatility

GBP=X vs. ^GSPC - Volatility Comparison

USD/GBP (GBP=X) and S&P 500 (^GSPC) have volatilities of 3.77% and 3.93%, 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
3.77%
3.93%
GBP=X
^GSPC