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GBPUSD=X vs. AUDUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between GBPUSD=X and AUDUSD=X is 0.08, 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.


-0.50.00.51.0
Correlation: 0.1

Performance

GBPUSD=X vs. AUDUSD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GBP/USD (GBPUSD=X) and AUD/USD (AUDUSD=X). The values are adjusted to include any dividend payments, if applicable.

-22.00%-20.00%-18.00%-16.00%-14.00%-12.00%NovemberDecember2025FebruaryMarchApril
-14.79%
-16.10%
GBPUSD=X
AUDUSD=X

Key characteristics

Sharpe Ratio

GBPUSD=X:

0.73

AUDUSD=X:

-0.49

Sortino Ratio

GBPUSD=X:

1.11

AUDUSD=X:

-0.61

Omega Ratio

GBPUSD=X:

1.13

AUDUSD=X:

0.92

Calmar Ratio

GBPUSD=X:

0.13

AUDUSD=X:

-0.08

Martin Ratio

GBPUSD=X:

1.24

AUDUSD=X:

-0.68

Ulcer Index

GBPUSD=X:

4.34%

AUDUSD=X:

6.94%

Daily Std Dev

GBPUSD=X:

7.13%

AUDUSD=X:

9.25%

Max Drawdown

GBPUSD=X:

-49.30%

AUDUSD=X:

-67.80%

Current Drawdown

GBPUSD=X:

-36.29%

AUDUSD=X:

-56.86%

Returns By Period

In the year-to-date period, GBPUSD=X achieves a 7.30% return, which is significantly higher than AUDUSD=X's 3.77% return. Over the past 10 years, GBPUSD=X has outperformed AUDUSD=X with an annualized return of -1.15%, while AUDUSD=X has yielded a comparatively lower -1.88% annualized return.


GBPUSD=X

YTD

7.30%

1M

3.76%

6M

3.51%

1Y

7.50%

5Y*

1.43%

10Y*

-1.15%

AUDUSD=X

YTD

3.77%

1M

2.12%

6M

-2.48%

1Y

-1.58%

5Y*

-0.38%

10Y*

-1.88%

*Annualized

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Risk-Adjusted Performance

GBPUSD=X vs. AUDUSD=X — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GBPUSD=X
The Risk-Adjusted Performance Rank of GBPUSD=X is 7171
Overall Rank
The Sharpe Ratio Rank of GBPUSD=X is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of GBPUSD=X is 7272
Sortino Ratio Rank
The Omega Ratio Rank of GBPUSD=X is 7272
Omega Ratio Rank
The Calmar Ratio Rank of GBPUSD=X is 6969
Calmar Ratio Rank
The Martin Ratio Rank of GBPUSD=X is 6969
Martin Ratio Rank

AUDUSD=X
The Risk-Adjusted Performance Rank of AUDUSD=X is 3333
Overall Rank
The Sharpe Ratio Rank of AUDUSD=X is 3232
Sharpe Ratio Rank
The Sortino Ratio Rank of AUDUSD=X is 3333
Sortino Ratio Rank
The Omega Ratio Rank of AUDUSD=X is 3030
Omega Ratio Rank
The Calmar Ratio Rank of AUDUSD=X is 3434
Calmar Ratio Rank
The Martin Ratio Rank of AUDUSD=X is 3535
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

GBPUSD=X vs. AUDUSD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GBP/USD (GBPUSD=X) and AUD/USD (AUDUSD=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.


The chart of Sharpe ratio for GBPUSD=X, currently valued at 0.70, compared to the broader market-1.000.001.002.00
GBPUSD=X: 0.70
AUDUSD=X: -0.49
The chart of Sortino ratio for GBPUSD=X, currently valued at 1.06, compared to the broader market-1.000.001.002.003.004.00
GBPUSD=X: 1.06
AUDUSD=X: -0.61
The chart of Omega ratio for GBPUSD=X, currently valued at 1.13, compared to the broader market1.001.502.002.50
GBPUSD=X: 1.13
AUDUSD=X: 0.92
The chart of Calmar ratio for GBPUSD=X, currently valued at 0.12, compared to the broader market0.001.002.003.004.00
GBPUSD=X: 0.12
AUDUSD=X: -0.10
The chart of Martin ratio for GBPUSD=X, currently valued at 1.11, compared to the broader market0.005.0010.0015.0020.0025.00
GBPUSD=X: 1.11
AUDUSD=X: -0.68

The current GBPUSD=X Sharpe Ratio is 0.73, which is higher than the AUDUSD=X Sharpe Ratio of -0.49. The chart below compares the historical Sharpe Ratios of GBPUSD=X and AUDUSD=X, 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 Ratio-1.00-0.500.000.501.00NovemberDecember2025FebruaryMarchApril
0.70
-0.49
GBPUSD=X
AUDUSD=X

Drawdowns

GBPUSD=X vs. AUDUSD=X - Drawdown Comparison

The maximum GBPUSD=X drawdown since its inception was -49.30%, smaller than the maximum AUDUSD=X drawdown of -67.80%. Use the drawdown chart below to compare losses from any high point for GBPUSD=X and AUDUSD=X. For additional features, visit the drawdowns tool.


-46.00%-44.00%-42.00%-40.00%-38.00%-36.00%NovemberDecember2025FebruaryMarchApril
-36.29%
-41.78%
GBPUSD=X
AUDUSD=X

Volatility

GBPUSD=X vs. AUDUSD=X - Volatility Comparison

The current volatility for GBP/USD (GBPUSD=X) is 2.51%, while AUD/USD (AUDUSD=X) has a volatility of 3.94%. This indicates that GBPUSD=X experiences smaller price fluctuations and is considered to be less risky than AUDUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%NovemberDecember2025FebruaryMarchApril
2.51%
3.94%
GBPUSD=X
AUDUSD=X