GBPUSD=X vs. EURUSD=X
GBPUSD=X (GBP/USD) and EURUSD=X (EUR/USD) are both currencies. Over the past 10 years, GBPUSD=X returned -0.75%/yr vs 0.23%/yr for EURUSD=X. A 0.62 correlation means they provide meaningful diversification when combined.
Performance
GBPUSD=X vs. EURUSD=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 higher than EURUSD=X's -1.00% return. Over the past 10 years, GBPUSD=X has underperformed EURUSD=X with an annualized return of -0.75%, while EURUSD=X has yielded a comparatively higher 0.23% 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%
EURUSD=X
- 1D
- -0.03%
- 1M
- -0.87%
- YTD
- -1.00%
- 6M
- 0.02%
- 1Y
- 1.65%
- 3Y*
- 2.79%
- 5Y*
- -0.84%
- 10Y*
- 0.23%
GBPUSD=X vs. EURUSD=X - Yearly Performance Comparison
Correlation
The correlation between GBPUSD=X and EURUSD=X is 0.83, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.83 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.80 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.77 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.68 |
Correlation (All Time) Calculated using the full available price history since Jun 29, 2007 | 0.62 |
Over the past year, GBPUSD=X and EURUSD=X have become more correlated (0.83) than their long-term average of 0.62, meaning their price movements have been converging.
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Return for Risk
GBPUSD=X vs. EURUSD=X — Risk / Return Rank
GBPUSD=X
EURUSD=X
GBPUSD=X vs. EURUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GBP/USD (GBPUSD=X) and EUR/USD (EURUSD=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 | EURUSD=X | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.07 | 0.23 | -0.30 |
Sortino ratioReturn per unit of downside risk | -0.06 | 0.37 | -0.44 |
Omega ratioGain probability vs. loss probability | 0.99 | 1.04 | -0.05 |
Calmar ratioReturn relative to maximum drawdown | -0.05 | -0.07 | +0.02 |
Martin ratioReturn relative to average drawdown | -0.10 | -0.16 | +0.07 |
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 | EURUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.07 | 0.23 | -0.30 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.10 | -0.10 | 0.00 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.08 | 0.03 | -0.11 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.21 | -0.08 | -0.13 |
Drawdowns
GBPUSD=X vs. EURUSD=X - Drawdown Comparison
The maximum GBPUSD=X drawdown since its inception was -49.29%, which is greater than EURUSD=X's maximum drawdown of -40.01%. Use the drawdown chart below to compare losses from any high point for GBPUSD=X and EURUSD=X.
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Drawdown Indicators
| GBPUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.29% | -40.01% | -9.28% |
Max Drawdown (1Y)Largest decline over 1 year | -5.26% | -5.19% | -0.07% |
Max Drawdown (3Y)Largest decline over 3 years | -9.34% | -8.83% | -0.51% |
Max Drawdown (5Y)Largest decline over 5 years | -24.62% | -21.30% | -3.32% |
Max Drawdown (10Y)Largest decline over 10 years | -27.99% | -23.31% | -4.68% |
Current DrawdownCurrent decline from peak | -36.10% | -27.28% | -8.82% |
Average DrawdownAverage peak-to-trough decline | -31.12% | -23.40% | -7.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.49% | 2.37% | +0.12% |
Volatility
GBPUSD=X vs. EURUSD=X - Volatility Comparison
GBP/USD (GBPUSD=X) has a higher volatility of 1.73% compared to EUR/USD (EURUSD=X) at 1.02%. This indicates that GBPUSD=X's price experiences larger fluctuations and is considered to be riskier than EURUSD=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 | EURUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.73% | 1.02% | +0.71% |
Volatility (6M)Calculated over the trailing 6-month period | 4.93% | 4.43% | +0.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.24% | 5.95% | +0.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.25% | 7.42% | +0.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.10% | 7.16% | +1.94% |
Frequently Asked Questions
GBPUSD=X and EURUSD=X have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GBPUSD=X has higher volatility (1.73%) compared to EURUSD=X (1.02%). In terms of maximum drawdown, GBPUSD=X dropped -49.29% vs EURUSD=X's -40.01%.
EURUSD=X currently has the higher Sharpe Ratio (0.23 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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