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GC=F vs. AUD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


GC=FAUD=X
YTD Return30.31%3.42%
1Y Return36.82%-3.34%
3Y Return (Ann)12.19%3.39%
5Y Return (Ann)11.47%0.75%
10Y Return (Ann)7.71%2.63%
Sharpe Ratio2.330.02
Sortino Ratio3.000.09
Omega Ratio1.421.01
Calmar Ratio5.850.01
Martin Ratio13.470.05
Ulcer Index2.40%3.56%
Daily Std Dev13.98%7.86%
Max Drawdown-44.36%-56.54%
Current Drawdown-3.62%-27.23%

Correlation

-0.50.00.51.00.0

The correlation between GC=F and AUD=X is 0.03, 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.

Performance

GC=F vs. AUD=X - Performance Comparison

In the year-to-date period, GC=F achieves a 30.31% return, which is significantly higher than AUD=X's 3.42% return. Over the past 10 years, GC=F has outperformed AUD=X with an annualized return of 7.71%, while AUD=X has yielded a comparatively lower 2.63% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.53%
-0.09%
GC=F
AUD=X

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Risk-Adjusted Performance

GC=F vs. AUD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Gold (GC=F) and USD/AUD (AUD=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.


GC=F
Sharpe ratio
The chart of Sharpe ratio for GC=F, currently valued at 2.50, compared to the broader market0.000.501.001.502.002.50
Sortino ratio
The chart of Sortino ratio for GC=F, currently valued at 3.19, compared to the broader market-0.500.000.501.001.502.002.503.19
Omega ratio
The chart of Omega ratio for GC=F, currently valued at 1.50, compared to the broader market1.001.101.201.301.401.50
Calmar ratio
The chart of Calmar ratio for GC=F, currently valued at 5.89, compared to the broader market0.001.002.003.004.005.005.89
Martin ratio
The chart of Martin ratio for GC=F, currently valued at 14.71, compared to the broader market0.002.004.006.008.0010.0012.0014.71
AUD=X
Sharpe ratio
The chart of Sharpe ratio for AUD=X, currently valued at -0.07, compared to the broader market0.000.501.001.502.00-0.07
Sortino ratio
The chart of Sortino ratio for AUD=X, currently valued at -0.09, compared to the broader market-0.500.000.501.001.502.002.50-0.09
Omega ratio
The chart of Omega ratio for AUD=X, currently valued at 0.98, compared to the broader market1.001.101.201.301.400.98
Calmar ratio
The chart of Calmar ratio for AUD=X, currently valued at -0.06, compared to the broader market0.001.002.003.004.005.00-0.06
Martin ratio
The chart of Martin ratio for AUD=X, currently valued at -1.26, compared to the broader market0.002.004.006.008.0010.0012.00-1.26

GC=F vs. AUD=X - Sharpe Ratio Comparison

The current GC=F Sharpe Ratio is 2.33, which is higher than the AUD=X Sharpe Ratio of 0.02. The chart below compares the historical Sharpe Ratios of GC=F and AUD=X, 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-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.50
-0.07
GC=F
AUD=X

Drawdowns

GC=F vs. AUD=X - Drawdown Comparison

The maximum GC=F drawdown since its inception was -44.36%, smaller than the maximum AUD=X drawdown of -56.54%. Use the drawdown chart below to compare losses from any high point for GC=F and AUD=X. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.62%
-1.17%
GC=F
AUD=X

Volatility

GC=F vs. AUD=X - Volatility Comparison

Gold (GC=F) has a higher volatility of 4.25% compared to USD/AUD (AUD=X) at 0.28%. This indicates that GC=F's price experiences larger fluctuations and is considered to be riskier than AUD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.25%
0.28%
GC=F
AUD=X