INR=X vs. GBPUSD=X
INR=X (USD/INR) and GBPUSD=X (GBP/USD) are both currencies. Over the past 10 years, INR=X returned 3.57%/yr vs 2.67%/yr for GBPUSD=X. At a 0.38 correlation, their price movements are largely independent.
Performance
INR=X vs. GBPUSD=X - Performance Comparison
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Different Trading Currencies
INR=X is traded in INR, while GBPUSD=X is traded in USD. To make them comparable, the GBPUSD=X values have been converted to INR using the latest available exchange rates.
Returns By Period
In the year-to-date period, INR=X achieves a 5.68% return, which is significantly higher than GBPUSD=X's 4.69% return. Over the past 10 years, INR=X has outperformed GBPUSD=X with an annualized return of 3.57%, while GBPUSD=X has yielded a comparatively lower 2.67% annualized return.
INR=X
- 1D
- -0.88%
- 1M
- 0.35%
- YTD
- 5.68%
- 6M
- 5.61%
- 1Y
- 10.65%
- 3Y*
- 4.81%
- 5Y*
- 5.40%
- 10Y*
- 3.57%
GBPUSD=X
- 1D
- -1.57%
- 1M
- -1.58%
- YTD
- 4.69%
- 6M
- 5.60%
- 1Y
- 8.70%
- 3Y*
- 7.30%
- 5Y*
- 4.14%
- 10Y*
- 2.67%
INR=X vs. GBPUSD=X - Yearly Performance Comparison
Correlation
The correlation between INR=X and GBPUSD=X is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.44 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.20 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.12 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.24 |
Correlation (All Time) Calculated using the full available price history since Jul 5, 2007 | 0.38 |
The correlation between INR=X and GBPUSD=X shifts across timeframes, from 0.12 (5 years) to 0.44 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
INR=X vs. GBPUSD=X — Risk / Return Rank
INR=X
GBPUSD=X
INR=X vs. GBPUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/INR (INR=X) and GBP/USD (GBPUSD=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.
| INR=X | GBPUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.72 | ||
| Sortino ratioReturn per unit of downside risk | +1.03 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.18 | +0.17 |
| Calmar ratioReturn relative to maximum drawdown | 3.27 | 1.81 | +1.46 |
| Martin ratioReturn relative to average drawdown | 9.84 | 4.04 | +5.80 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| INR=X | GBPUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.72 | 1.00 | +0.72 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.17 | 0.49 | +0.68 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.65 | 0.28 | +0.37 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.62 | 0.22 | +0.39 |
Drawdowns
INR=X vs. GBPUSD=X - Drawdown Comparison
The maximum INR=X drawdown since its inception was -15.55%, smaller than the maximum GBPUSD=X drawdown of -25.90%. Use the drawdown chart below to compare losses from any high point for INR=X and GBPUSD=X.
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Drawdown Indicators
| INR=X | GBPUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.55% | -25.90% | +10.35% |
Max Drawdown (1Y)Largest decline over 1 year | -2.60% | -3.85% | +1.25% |
Max Drawdown (3Y)Largest decline over 3 years | -4.06% | -6.69% | +2.63% |
Max Drawdown (5Y)Largest decline over 5 years | -4.06% | -15.88% | +11.82% |
Max Drawdown (10Y)Largest decline over 10 years | -8.16% | -20.49% | +12.33% |
Current DrawdownCurrent decline from peak | -1.70% | -2.46% | +0.76% |
Average DrawdownAverage peak-to-trough decline | -4.65% | -9.30% | +4.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.87% | 1.85% | -0.98% |
Volatility
INR=X vs. GBPUSD=X - Volatility Comparison
The current volatility for USD/INR (INR=X) is 1.68%, while GBP/USD (GBPUSD=X) has a volatility of 2.49%. This indicates that INR=X experiences smaller price fluctuations and is considered to be less risky than GBPUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| INR=X | GBPUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.68% | 2.49% | -0.81% |
Volatility (6M)Calculated over the trailing 6-month period | 4.33% | 5.66% | -1.33% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.95% | 6.97% | -2.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.23% | 7.76% | -3.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.19% | 9.04% | -3.85% |
Frequently Asked Questions
INR=X and GBPUSD=X have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GBPUSD=X has higher volatility (2.49%) compared to INR=X (1.68%). In terms of maximum drawdown, INR=X dropped -15.55% vs GBPUSD=X's -25.90%.
INR=X currently has the higher Sharpe Ratio (1.72 vs 1.00), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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