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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 0.40, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.4

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.

-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
-1.43%
-6.48%
GBPUSD=X
AUDUSD=X

Key characteristics

Sharpe Ratio

GBPUSD=X:

-0.24

AUDUSD=X:

-0.53

Sortino Ratio

GBPUSD=X:

-0.28

AUDUSD=X:

-0.67

Omega Ratio

GBPUSD=X:

0.97

AUDUSD=X:

0.92

Calmar Ratio

GBPUSD=X:

-0.04

AUDUSD=X:

-0.07

Martin Ratio

GBPUSD=X:

-0.59

AUDUSD=X:

-1.30

Ulcer Index

GBPUSD=X:

2.52%

AUDUSD=X:

3.24%

Daily Std Dev

GBPUSD=X:

6.15%

AUDUSD=X:

7.85%

Max Drawdown

GBPUSD=X:

-49.30%

AUDUSD=X:

-67.80%

Current Drawdown

GBPUSD=X:

-40.81%

AUDUSD=X:

-58.19%

Returns By Period

In the year-to-date period, GBPUSD=X achieves a -2.00% return, which is significantly higher than AUDUSD=X's -8.62% return. Over the past 10 years, GBPUSD=X has outperformed AUDUSD=X with an annualized return of -2.13%, while AUDUSD=X has yielded a comparatively lower -2.52% annualized return.


GBPUSD=X

YTD

-2.00%

1M

-1.62%

6M

-1.42%

1Y

-1.28%

5Y*

-0.80%

10Y*

-2.13%

AUDUSD=X

YTD

-8.62%

1M

-4.72%

6M

-6.49%

1Y

-7.53%

5Y*

-1.91%

10Y*

-2.52%

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Risk-Adjusted Performance

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.


Sharpe ratio
The chart of Sharpe ratio for GBPUSD=X, currently valued at -0.25, compared to the broader market0.002.004.006.008.0010.00-0.25-0.53
The chart of Sortino ratio for GBPUSD=X, currently valued at -0.30, compared to the broader market0.0010.0020.0030.0040.00-0.30-0.67
The chart of Omega ratio for GBPUSD=X, currently valued at 0.96, compared to the broader market2.004.006.008.0010.000.960.92
The chart of Calmar ratio for GBPUSD=X, currently valued at -0.04, compared to the broader market0.0020.0040.0060.0080.00-0.04-0.10
The chart of Martin ratio for GBPUSD=X, currently valued at -0.54, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.54-1.30
GBPUSD=X
AUDUSD=X

The current GBPUSD=X Sharpe Ratio is -0.24, which is higher than the AUDUSD=X Sharpe Ratio of -0.53. 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-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.25
-0.53
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.


-44.00%-42.00%-40.00%-38.00%-36.00%JulyAugustSeptemberOctoberNovemberDecember
-40.81%
-43.56%
GBPUSD=X
AUDUSD=X

Volatility

GBPUSD=X vs. AUDUSD=X - Volatility Comparison

The current volatility for GBP/USD (GBPUSD=X) is 2.06%, while AUD/USD (AUDUSD=X) has a volatility of 2.78%. 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%1.50%2.00%2.50%3.00%JulyAugustSeptemberOctoberNovemberDecember
2.06%
2.78%
GBPUSD=X
AUDUSD=X
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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