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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
-15.64%
-16.63%
GBPUSD=X
AUDUSD=X

Key characteristics

Sharpe Ratio

GBPUSD=X:

0.61

AUDUSD=X:

-0.55

Sortino Ratio

GBPUSD=X:

0.92

AUDUSD=X:

-0.69

Omega Ratio

GBPUSD=X:

1.11

AUDUSD=X:

0.91

Calmar Ratio

GBPUSD=X:

0.10

AUDUSD=X:

-0.09

Martin Ratio

GBPUSD=X:

1.02

AUDUSD=X:

-0.76

Ulcer Index

GBPUSD=X:

4.34%

AUDUSD=X:

6.93%

Daily Std Dev

GBPUSD=X:

7.08%

AUDUSD=X:

9.24%

Max Drawdown

GBPUSD=X:

-49.30%

AUDUSD=X:

-67.80%

Current Drawdown

GBPUSD=X:

-36.92%

AUDUSD=X:

-57.14%

Returns By Period

In the year-to-date period, GBPUSD=X achieves a 6.24% return, which is significantly higher than AUDUSD=X's 3.10% return. Over the past 10 years, GBPUSD=X has outperformed AUDUSD=X with an annualized return of -1.37%, while AUDUSD=X has yielded a comparatively lower -2.00% annualized return.


GBPUSD=X

YTD

6.24%

1M

2.73%

6M

2.57%

1Y

6.44%

5Y*

1.30%

10Y*

-1.37%

AUDUSD=X

YTD

3.10%

1M

1.46%

6M

-3.39%

1Y

-2.36%

5Y*

-0.32%

10Y*

-2.00%

*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 6767
Overall Rank
The Sharpe Ratio Rank of GBPUSD=X is 7070
Sharpe Ratio Rank
The Sortino Ratio Rank of GBPUSD=X is 6969
Sortino Ratio Rank
The Omega Ratio Rank of GBPUSD=X is 6565
Omega Ratio Rank
The Calmar Ratio Rank of GBPUSD=X is 6767
Calmar Ratio Rank
The Martin Ratio Rank of GBPUSD=X is 6363
Martin Ratio Rank

AUDUSD=X
The Risk-Adjusted Performance Rank of AUDUSD=X is 2929
Overall Rank
The Sharpe Ratio Rank of AUDUSD=X is 2929
Sharpe Ratio Rank
The Sortino Ratio Rank of AUDUSD=X is 2828
Sortino Ratio Rank
The Omega Ratio Rank of AUDUSD=X is 2626
Omega Ratio Rank
The Calmar Ratio Rank of AUDUSD=X is 3232
Calmar Ratio Rank
The Martin Ratio Rank of AUDUSD=X is 3232
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 0.54, compared to the broader market-1.000.001.002.00
GBPUSD=X: 0.54
AUDUSD=X: -0.55
The chart of Sortino ratio for GBPUSD=X, currently valued at 0.82, compared to the broader market-1.000.001.002.003.004.00
GBPUSD=X: 0.82
AUDUSD=X: -0.69
The chart of Omega ratio for GBPUSD=X, currently valued at 1.10, compared to the broader market1.001.502.002.50
GBPUSD=X: 1.10
AUDUSD=X: 0.91
The chart of Calmar ratio for GBPUSD=X, currently valued at 0.09, compared to the broader market0.001.002.003.004.00
GBPUSD=X: 0.09
AUDUSD=X: -0.12
The chart of Martin ratio for GBPUSD=X, currently valued at 0.84, compared to the broader market0.005.0010.0015.0020.0025.00
GBPUSD=X: 0.84
AUDUSD=X: -0.76

The current GBPUSD=X Sharpe Ratio is 0.61, which is higher than the AUDUSD=X Sharpe Ratio of -0.55. 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
0.54
-0.55
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
-36.92%
-42.15%
GBPUSD=X
AUDUSD=X

Volatility

GBPUSD=X vs. AUDUSD=X - Volatility Comparison

The current volatility for GBP/USD (GBPUSD=X) is 2.93%, while AUD/USD (AUDUSD=X) has a volatility of 6.27%. 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
2.93%
6.27%
GBPUSD=X
AUDUSD=X