PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
GBPUSD=X vs. FCPT
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between GBPUSD=X and FCPT is 0.12, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

GBPUSD=X vs. FCPT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GBP/USD (GBPUSD=X) and Four Corners Property Trust, Inc. (FCPT). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
-0.43%
13.83%
GBPUSD=X
FCPT

Key characteristics

Sharpe Ratio

GBPUSD=X:

-0.02

FCPT:

0.81

Sortino Ratio

GBPUSD=X:

0.02

FCPT:

1.17

Omega Ratio

GBPUSD=X:

1.00

FCPT:

1.15

Calmar Ratio

GBPUSD=X:

-0.00

FCPT:

0.89

Martin Ratio

GBPUSD=X:

-0.04

FCPT:

3.00

Ulcer Index

GBPUSD=X:

2.48%

FCPT:

4.94%

Daily Std Dev

GBPUSD=X:

6.17%

FCPT:

18.39%

Max Drawdown

GBPUSD=X:

-49.30%

FCPT:

-57.60%

Current Drawdown

GBPUSD=X:

-40.21%

FCPT:

-10.42%

Returns By Period

In the year-to-date period, GBPUSD=X achieves a -1.01% return, which is significantly lower than FCPT's 11.56% return.


GBPUSD=X

YTD

-1.01%

1M

-0.60%

6M

-0.91%

1Y

-1.01%

5Y*

-0.60%

10Y*

-2.06%

FCPT

YTD

11.56%

1M

-5.74%

6M

14.02%

1Y

14.52%

5Y*

4.80%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

GBPUSD=X vs. FCPT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GBP/USD (GBPUSD=X) and Four Corners Property Trust, Inc. (FCPT). 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 -0.02, compared to the broader market0.002.004.006.008.0010.00-0.020.56
The chart of Sortino ratio for GBPUSD=X, currently valued at 0.02, compared to the broader market0.0010.0020.0030.0040.000.020.87
The chart of Omega ratio for GBPUSD=X, currently valued at 1.00, compared to the broader market2.004.006.008.0010.001.001.11
The chart of Calmar ratio for GBPUSD=X, currently valued at -0.01, compared to the broader market0.0020.0040.0060.0080.00-0.010.62
The chart of Martin ratio for GBPUSD=X, currently valued at -0.04, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.042.23
GBPUSD=X
FCPT

The current GBPUSD=X Sharpe Ratio is -0.02, which is lower than the FCPT Sharpe Ratio of 0.81. The chart below compares the historical Sharpe Ratios of GBPUSD=X and FCPT, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.02
0.56
GBPUSD=X
FCPT

Drawdowns

GBPUSD=X vs. FCPT - Drawdown Comparison

The maximum GBPUSD=X drawdown since its inception was -49.30%, smaller than the maximum FCPT drawdown of -57.60%. Use the drawdown chart below to compare losses from any high point for GBPUSD=X and FCPT. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-17.57%
-10.42%
GBPUSD=X
FCPT

Volatility

GBPUSD=X vs. FCPT - Volatility Comparison

The current volatility for GBP/USD (GBPUSD=X) is 2.12%, while Four Corners Property Trust, Inc. (FCPT) has a volatility of 5.19%. This indicates that GBPUSD=X experiences smaller price fluctuations and is considered to be less risky than FCPT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.12%
5.19%
GBPUSD=X
FCPT
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab