GBPUSD=X vs. AUDUSD=X
GBPUSD=X (GBP/USD) and AUDUSD=X (AUD/USD) are both currencies. Over the past 10 years, GBPUSD=X returned -0.75%/yr vs -0.25%/yr for AUDUSD=X. A 0.54 correlation means they provide meaningful diversification when combined.
Performance
GBPUSD=X vs. AUDUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, GBPUSD=X achieves a 0.07% return, which is significantly lower than AUDUSD=X's 7.56% return. Over the past 10 years, GBPUSD=X has underperformed AUDUSD=X with an annualized return of -0.75%, while AUDUSD=X has yielded a comparatively higher -0.25% annualized return.
GBPUSD=X
- 1D
- 0.08%
- 1M
- -0.92%
- YTD
- 0.07%
- 6M
- 1.94%
- 1Y
- -0.57%
- 3Y*
- 2.66%
- 5Y*
- -0.92%
- 10Y*
- -0.75%
AUDUSD=X
- 1D
- 0.25%
- 1M
- -0.49%
- YTD
- 7.56%
- 6M
- 9.38%
- 1Y
- 10.51%
- 3Y*
- 2.81%
- 5Y*
- -1.29%
- 10Y*
- -0.25%
GBPUSD=X vs. AUDUSD=X - Yearly Performance Comparison
Correlation
The correlation between GBPUSD=X and AUDUSD=X is 0.69, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.69 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.66 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.68 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.59 |
Correlation (All Time) Calculated using the full available price history since Jun 29, 2007 | 0.54 |
The correlation between GBPUSD=X and AUDUSD=X shifts across timeframes, from 0.54 (all time) to 0.69 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
GBPUSD=X vs. AUDUSD=X — Risk / Return Rank
GBPUSD=X
AUDUSD=X
GBPUSD=X vs. AUDUSD=X - Risk-Adjusted Trends 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.
| GBPUSD=X | AUDUSD=X | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.07 | 1.11 | -1.19 |
Sortino ratioReturn per unit of downside risk | -0.06 | 1.63 | -1.69 |
Omega ratioGain probability vs. loss probability | 0.99 | 1.20 | -0.20 |
Calmar ratioReturn relative to maximum drawdown | -0.05 | 2.37 | -2.42 |
Martin ratioReturn relative to average drawdown | -0.10 | 6.15 | -6.25 |
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
| GBPUSD=X | AUDUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.07 | 1.11 | -1.19 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.10 | -0.12 | +0.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.08 | -0.02 | -0.05 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.21 | -0.06 | -0.15 |
Drawdowns
GBPUSD=X vs. AUDUSD=X - Drawdown Comparison
The maximum GBPUSD=X drawdown since its inception was -49.29%, roughly equal to the maximum AUDUSD=X drawdown of -47.87%. Use the drawdown chart below to compare losses from any high point for GBPUSD=X and AUDUSD=X.
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Drawdown Indicators
| GBPUSD=X | AUDUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.29% | -47.87% | -1.42% |
Max Drawdown (1Y)Largest decline over 1 year | -5.26% | -4.20% | -1.06% |
Max Drawdown (3Y)Largest decline over 3 years | -9.34% | -13.83% | +4.49% |
Max Drawdown (5Y)Largest decline over 5 years | -24.62% | -23.18% | -1.44% |
Max Drawdown (10Y)Largest decline over 10 years | -27.99% | -29.18% | +1.19% |
Current DrawdownCurrent decline from peak | -36.10% | -34.84% | -1.26% |
Average DrawdownAverage peak-to-trough decline | -31.12% | -25.81% | -5.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.49% | 1.62% | +0.87% |
Volatility
GBPUSD=X vs. AUDUSD=X - Volatility Comparison
The current volatility for GBP/USD (GBPUSD=X) is 1.73%, while AUD/USD (AUDUSD=X) has a volatility of 1.99%. 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.
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Volatility by Period
| GBPUSD=X | AUDUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.73% | 1.99% | -0.26% |
Volatility (6M)Calculated over the trailing 6-month period | 4.93% | 6.44% | -1.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.24% | 7.54% | -1.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.25% | 10.09% | -1.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.10% | 9.66% | -0.56% |
Frequently Asked Questions
GBPUSD=X and AUDUSD=X have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AUDUSD=X has higher volatility (1.99%) compared to GBPUSD=X (1.73%). In terms of maximum drawdown, GBPUSD=X dropped -49.29% vs AUDUSD=X's -47.87%.
AUDUSD=X currently has the higher Sharpe Ratio (1.11 vs -0.07), 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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