GBPUSD=X vs. BTC-USD
GBPUSD=X (GBP/USD) is a currency, while BTC-USD (Bitcoin) is a cryptocurrency. Over the past 10 years, GBPUSD=X returned 0.14%/yr vs 57.45%/yr for BTC-USD. At a 0.07 correlation, their price movements are largely independent.
Performance
GBPUSD=X vs. BTC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, GBPUSD=X achieves a -0.77% return, which is significantly higher than BTC-USD's -28.58% return. Over the past 10 years, GBPUSD=X has underperformed BTC-USD with an annualized return of 0.14%, while BTC-USD has yielded a comparatively higher 57.45% annualized return.
GBPUSD=X
- 1D
- -0.20%
- 1M
- -0.31%
- 6M
- -0.80%
- YTD
- -0.77%
- 1Y
- -0.95%
- 3Y*
- 0.66%
- 5Y*
- -0.74%
- 10Y*
- 0.14%
BTC-USD
- 1D
- -1.96%
- 1M
- -3.01%
- 6M
- -31.47%
- YTD
- -28.58%
- 1Y
- -47.54%
- 3Y*
- 27.25%
- 5Y*
- 13.75%
- 10Y*
- 57.45%
GBPUSD=X vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between GBPUSD=X and BTC-USD is 0.29, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.29 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.15 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.11 |
Correlation (All Time) Calculated using the full available price history since Oct 28, 2012 | 0.07 |
Over the past year, GBPUSD=X and BTC-USD have become more correlated (0.29) than their long-term average of 0.07, meaning their price movements have been converging.
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Return for Risk
GBPUSD=X vs. BTC-USD — Risk / Return Rank
GBPUSD=X
BTC-USD
GBPUSD=X vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GBP/USD (GBPUSD=X) and Bitcoin (BTC-USD). 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 | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.99 | ||
| Sortino ratioReturn per unit of downside risk | +1.57 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 0.83 | +0.16 |
| Calmar ratioReturn relative to maximum drawdown | -0.16 | -0.90 | +0.74 |
| Martin ratioReturn relative to average drawdown | -0.29 | -1.46 | +1.16 |
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Drawdowns
GBPUSD=X vs. BTC-USD - Drawdown Comparison
The maximum GBPUSD=X drawdown since its inception was -49.29%, smaller than the maximum BTC-USD drawdown of -85.30%. Use the drawdown chart below to compare losses from any high point for GBPUSD=X and BTC-USD.
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Drawdown Indicators
| GBPUSD=X | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.29% | -85.30% | +36.01% |
Max Drawdown (1Y)Largest decline over 1 year | -4.89% | -53.08% | +48.19% |
Max Drawdown (3Y)Largest decline over 3 years | -9.34% | -53.08% | +43.74% |
Max Drawdown (5Y)Largest decline over 5 years | -23.41% | -76.67% | +53.26% |
Max Drawdown (10Y)Largest decline over 10 years | -25.46% | -83.80% | +58.34% |
Current DrawdownCurrent decline from peak | -36.64% | -49.89% | +13.25% |
Average DrawdownAverage peak-to-trough decline | -31.35% | -42.55% | +11.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.61% | 28.99% | -26.38% |
Volatility
GBPUSD=X vs. BTC-USD - Volatility Comparison
The current volatility for GBP/USD (GBPUSD=X) is 1.04%, while Bitcoin (BTC-USD) has a volatility of 8.86%. This indicates that GBPUSD=X experiences smaller price fluctuations and is considered to be less risky than BTC-USD 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 | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.04% | 8.86% | -7.82% |
Volatility (6M)Calculated over the trailing 6-month period | 4.63% | 34.96% | -30.33% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.13% | 35.56% | -29.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.21% | 43.94% | -35.73% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.58% | 56.32% | -47.74% |
Frequently Asked Questions
GBPUSD=X and BTC-USD have a correlation of 0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTC-USD has higher volatility (8.86%) compared to GBPUSD=X (1.04%). In terms of maximum drawdown, GBPUSD=X dropped -49.29% vs BTC-USD's -85.30%.
GBPUSD=X currently has the higher Sharpe Ratio (-0.12 vs -1.11), 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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