GBPUSD=X vs. ^GSPC
Compare and contrast key facts about GBP/USD (GBPUSD=X) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GBPUSD=X or ^GSPC.
Performance
GBPUSD=X vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, GBPUSD=X achieves a -0.90% return, which is significantly lower than ^GSPC's 23.08% return. Over the past 10 years, GBPUSD=X has underperformed ^GSPC with an annualized return of -2.05%, while ^GSPC has yielded a comparatively higher 11.11% annualized return.
GBPUSD=X
-0.90%
-2.88%
-0.66%
1.68%
-0.43%
-2.05%
^GSPC
23.08%
0.10%
10.70%
30.05%
13.52%
11.11%
Key characteristics
| GBPUSD=X | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 0.03 | 2.48 |
| Sortino Ratio | 0.09 | 3.33 |
| Omega Ratio | 1.01 | 1.46 |
| Calmar Ratio | 0.00 | 3.58 |
| Martin Ratio | 0.11 | 15.96 |
| Ulcer Index | 1.87% | 1.90% |
| Daily Std Dev | 6.14% | 12.24% |
| Max Drawdown | -49.30% | -56.78% |
| Current Drawdown | -40.14% | -2.18% |
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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.
Risk-Adjusted Performance
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.
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.
Volatility
GBPUSD=X vs. ^GSPC - Volatility Comparison
The current volatility for GBP/USD (GBPUSD=X) is 2.29%, while S&P 500 (^GSPC) has a volatility of 4.04%. 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.