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 -0.75%/yr vs 60.98%/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 0.07% return, which is significantly higher than BTC-USD's -23.17% return. Over the past 10 years, GBPUSD=X has underperformed BTC-USD with an annualized return of -0.75%, while BTC-USD has yielded a comparatively higher 60.98% 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%
BTC-USD
- 1D
- 0.85%
- 1M
- -14.42%
- YTD
- -23.17%
- 6M
- -26.37%
- 1Y
- -36.52%
- 3Y*
- 35.33%
- 5Y*
- 12.77%
- 10Y*
- 60.98%
GBPUSD=X vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between GBPUSD=X and BTC-USD is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.23 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.10 |
Correlation (All Time) Calculated using the full available price history since Sep 19, 2012 | 0.07 |
The correlation between GBPUSD=X and BTC-USD shifts across timeframes, from 0.07 (all time) to 0.23 (1 year), reflecting how their relationship changes across market environments.
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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.
| GBPUSD=X | BTC-USD | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.07 | -0.85 | +0.78 |
Sortino ratioReturn per unit of downside risk | -0.06 | -1.14 | +1.08 |
Omega ratioGain probability vs. loss probability | 0.99 | 0.88 | +0.11 |
Calmar ratioReturn relative to maximum drawdown | -0.05 | -1.07 | +1.02 |
Martin ratioReturn relative to average drawdown | -0.10 | -1.57 | +1.48 |
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 | BTC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.07 | -0.85 | +0.78 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.10 | 0.24 | -0.34 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.08 | 0.89 | -0.97 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.21 | 1.14 | -1.36 |
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 | -5.26% | -49.65% | +44.39% |
Max Drawdown (3Y)Largest decline over 3 years | -9.34% | -49.65% | +40.31% |
Max Drawdown (5Y)Largest decline over 5 years | -24.62% | -76.67% | +52.05% |
Max Drawdown (10Y)Largest decline over 10 years | -27.99% | -83.80% | +55.81% |
Current DrawdownCurrent decline from peak | -36.10% | -46.10% | +10.00% |
Average DrawdownAverage peak-to-trough decline | -31.12% | -42.27% | +11.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.49% | 33.71% | -31.22% |
Volatility
GBPUSD=X vs. BTC-USD - Volatility Comparison
The current volatility for GBP/USD (GBPUSD=X) is 1.73%, while Bitcoin (BTC-USD) has a volatility of 9.90%. 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 | 1.73% | 9.90% | -8.17% |
Volatility (6M)Calculated over the trailing 6-month period | 4.93% | 33.98% | -29.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.24% | 35.37% | -29.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.25% | 45.01% | -36.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.10% | 56.68% | -47.58% |
Frequently Asked Questions
GBPUSD=X and BTC-USD have a correlation of 0.23, 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 (9.90%) compared to GBPUSD=X (1.73%). In terms of maximum drawdown, GBPUSD=X dropped -49.29% vs BTC-USD's -85.30%.
GBPUSD=X currently has the higher Sharpe Ratio (-0.07 vs -0.85), 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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