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

Performance

GC=F vs. AUD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Gold (GC=F) and USD/AUD (AUD=X). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
8.97%
-0.04%
GC=F
AUD=X

Returns By Period

In the year-to-date period, GC=F achieves a 27.95% return, which is significantly higher than AUD=X's 4.35% return. Over the past 10 years, GC=F has outperformed AUD=X with an annualized return of 7.25%, while AUD=X has yielded a comparatively lower 2.70% annualized return.


GC=F

YTD

27.95%

1M

-2.76%

6M

8.97%

1Y

33.43%

5Y (annualized)

11.09%

10Y (annualized)

7.25%

AUD=X

YTD

4.35%

1M

2.73%

6M

2.12%

1Y

0.45%

5Y (annualized)

0.71%

10Y (annualized)

2.70%

Key characteristics


GC=FAUD=X
Sharpe Ratio2.150.08
Sortino Ratio2.760.17
Omega Ratio1.391.02
Calmar Ratio3.780.02
Martin Ratio11.300.17
Ulcer Index2.68%3.58%
Daily Std Dev14.23%7.68%
Max Drawdown-44.36%-56.54%
Current Drawdown-5.36%-26.57%

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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.

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.


Sharpe ratio
The chart of Sharpe ratio for GC=F, currently valued at 2.13, compared to the broader market0.000.501.001.502.002.13-0.04
The chart of Sortino ratio for GC=F, currently valued at 2.74, compared to the broader market0.000.501.001.502.002.502.74-0.04
The chart of Omega ratio for GC=F, currently valued at 1.42, compared to the broader market1.001.101.201.301.420.99
The chart of Calmar ratio for GC=F, currently valued at 3.61, compared to the broader market0.001.002.003.003.61-0.03
The chart of Martin ratio for GC=F, currently valued at 11.15, compared to the broader market00.002.004.006.008.0010.0011.15
GC=F
AUD=X

The current GC=F Sharpe Ratio is 2.15, which is higher than the AUD=X Sharpe Ratio of 0.08. 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
2.13
-0.04
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.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.36%
-1.13%
GC=F
AUD=X

Volatility

GC=F vs. AUD=X - Volatility Comparison

Gold (GC=F) has a higher volatility of 5.18% compared to USD/AUD (AUD=X) at 0.39%. 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
5.18%
0.39%
GC=F
AUD=X