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GBPUSD=X vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between GBPUSD=X and ^GSPC is 0.08, 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.


-0.50.00.51.0
Correlation: 0.1

Performance

GBPUSD=X vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GBP/USD (GBPUSD=X) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

0.00%500.00%1,000.00%1,500.00%NovemberDecember2025FebruaryMarchApril
-15.51%
1,511.55%
GBPUSD=X
^GSPC

Key characteristics

Sharpe Ratio

GBPUSD=X:

0.59

^GSPC:

0.46

Sortino Ratio

GBPUSD=X:

0.90

^GSPC:

0.77

Omega Ratio

GBPUSD=X:

1.11

^GSPC:

1.11

Calmar Ratio

GBPUSD=X:

0.10

^GSPC:

0.47

Martin Ratio

GBPUSD=X:

1.00

^GSPC:

1.94

Ulcer Index

GBPUSD=X:

4.34%

^GSPC:

4.61%

Daily Std Dev

GBPUSD=X:

7.09%

^GSPC:

19.44%

Max Drawdown

GBPUSD=X:

-49.30%

^GSPC:

-56.78%

Current Drawdown

GBPUSD=X:

-36.83%

^GSPC:

-10.07%

Returns By Period

In the year-to-date period, GBPUSD=X achieves a 6.39% return, which is significantly higher than ^GSPC's -6.06% return. Over the past 10 years, GBPUSD=X has underperformed ^GSPC with an annualized return of -1.35%, while ^GSPC has yielded a comparatively higher 10.11% annualized return.


GBPUSD=X

YTD

6.39%

1M

3.30%

6M

2.72%

1Y

6.39%

5Y*

1.42%

10Y*

-1.35%

^GSPC

YTD

-6.06%

1M

-3.27%

6M

-4.87%

1Y

9.44%

5Y*

14.30%

10Y*

10.11%

*Annualized

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Risk-Adjusted Performance

GBPUSD=X vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GBPUSD=X
The Risk-Adjusted Performance Rank of GBPUSD=X is 6666
Overall Rank
The Sharpe Ratio Rank of GBPUSD=X is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of GBPUSD=X is 6666
Sortino Ratio Rank
The Omega Ratio Rank of GBPUSD=X is 6464
Omega Ratio Rank
The Calmar Ratio Rank of GBPUSD=X is 6767
Calmar Ratio Rank
The Martin Ratio Rank of GBPUSD=X is 6363
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6868
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6363
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6767
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 7070
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7373
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

GBPUSD=X vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GBP/USD (GBPUSD=X) and S&P 500 (^GSPC). 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.


The chart of Sharpe ratio for GBPUSD=X, currently valued at 0.59, compared to the broader market-1.000.001.002.00
GBPUSD=X: 0.59
^GSPC: 0.22
The chart of Sortino ratio for GBPUSD=X, currently valued at 0.90, compared to the broader market-1.000.001.002.003.004.00
GBPUSD=X: 0.90
^GSPC: 0.44
The chart of Omega ratio for GBPUSD=X, currently valued at 1.11, compared to the broader market1.001.502.002.50
GBPUSD=X: 1.11
^GSPC: 1.07
The chart of Calmar ratio for GBPUSD=X, currently valued at 0.10, compared to the broader market0.001.002.003.004.00
GBPUSD=X: 0.10
^GSPC: 0.22
The chart of Martin ratio for GBPUSD=X, currently valued at 1.00, compared to the broader market0.005.0010.0015.0020.0025.00
GBPUSD=X: 1.00
^GSPC: 0.81

The current GBPUSD=X Sharpe Ratio is 0.59, which is comparable to the ^GSPC Sharpe Ratio of 0.46. The chart below compares the historical Sharpe Ratios of GBPUSD=X and ^GSPC, 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-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.59
0.22
GBPUSD=X
^GSPC

Drawdowns

GBPUSD=X vs. ^GSPC - Drawdown Comparison

The maximum GBPUSD=X drawdown since its inception was -49.30%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for GBPUSD=X and ^GSPC. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-36.83%
-10.07%
GBPUSD=X
^GSPC

Volatility

GBPUSD=X vs. ^GSPC - Volatility Comparison

The current volatility for GBP/USD (GBPUSD=X) is 3.04%, while S&P 500 (^GSPC) has a volatility of 14.07%. This indicates that GBPUSD=X experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
3.04%
14.07%
GBPUSD=X
^GSPC