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 -0.34%/yr vs -0.76%/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 -1.91% return, which is significantly lower than AUDUSD=X's 3.68% return. Over the past 10 years, GBPUSD=X has outperformed AUDUSD=X with an annualized return of -0.34%, while AUDUSD=X has yielded a comparatively lower -0.76% annualized return.
GBPUSD=X
- 1D
- -0.38%
- 1M
- -2.06%
- YTD
- -1.91%
- 6M
- -2.36%
- 1Y
- -2.39%
- 3Y*
- 1.25%
- 5Y*
- -1.05%
- 10Y*
- -0.34%
AUDUSD=X
- 1D
- -1.18%
- 1M
- -3.39%
- YTD
- 3.68%
- 6M
- 3.24%
- 1Y
- 7.13%
- 3Y*
- 1.20%
- 5Y*
- -1.82%
- 10Y*
- -0.76%
GBPUSD=X vs. AUDUSD=X - Yearly Performance Comparison
Correlation
The correlation between GBPUSD=X and AUDUSD=X is 0.70, 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 | 0.70 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.67 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.68 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.58 |
Correlation (All Time) Calculated using the full available price history since Jul 24, 2007 | 0.54 |
The correlation between GBPUSD=X and AUDUSD=X shifts across timeframes, from 0.54 (all time) to 0.70 (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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| GBPUSD=X | AUDUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.06 | ||
| Sortino ratioReturn per unit of downside risk | -1.51 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.14 | -0.18 |
| Calmar ratioReturn relative to maximum drawdown | -0.37 | 1.22 | -1.59 |
| Martin ratioReturn relative to average drawdown | -0.69 | 3.32 | -4.01 |
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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% | -4.66% | -0.60% |
Max Drawdown (3Y)Largest decline over 3 years | -9.34% | -13.83% | +4.49% |
Max Drawdown (5Y)Largest decline over 5 years | -23.41% | -21.49% | -1.92% |
Max Drawdown (10Y)Largest decline over 10 years | -25.46% | -29.18% | +3.72% |
Current DrawdownCurrent decline from peak | -37.37% | -37.19% | -0.18% |
Average DrawdownAverage peak-to-trough decline | -31.25% | -25.93% | -5.32% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.67% | 1.80% | +0.87% |
Volatility
GBPUSD=X vs. AUDUSD=X - Volatility Comparison
The current volatility for GBP/USD (GBPUSD=X) is 1.66%, while AUD/USD (AUDUSD=X) has a volatility of 2.29%. 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 | 1.66% | 2.29% | -0.63% |
Volatility (6M)Calculated over the trailing 6-month period | 4.83% | 6.51% | -1.68% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.25% | 7.60% | -1.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.23% | 10.07% | -1.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.72% | 9.63% | -0.91% |
Frequently Asked Questions
GBPUSD=X and AUDUSD=X have a correlation of 0.70, 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 (2.29%) compared to GBPUSD=X (1.66%). In terms of maximum drawdown, GBPUSD=X dropped -49.29% vs AUDUSD=X's -47.87%.
AUDUSD=X currently has the higher Sharpe Ratio (0.75 vs -0.31), 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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