NZDUSD=X vs. AUDUSD=X

Last updated Jun 6, 2026

NZDUSD=X (New Zealand Dollar/US Dollar FX) and AUDUSD=X (AUD/USD) are both currencies. Over the past 10 years, NZDUSD=X returned -1.84%/yr vs -0.57%/yr for AUDUSD=X. Their correlation of 0.82 suggests significant overlap in exposure.

Performance

NZDUSD=X vs. AUDUSD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in New Zealand Dollar/US Dollar FX (NZDUSD=X) and AUD/USD (AUDUSD=X). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NZDUSD=X achieves a 0.66% return, which is significantly lower than AUDUSD=X's 5.47% return. Over the past 10 years, NZDUSD=X has underperformed AUDUSD=X with an annualized return of -1.84%, while AUDUSD=X has yielded a comparatively higher -0.57% annualized return.

NZDUSD=X

• 1D: -1.27%
• 1M: -2.73%
• YTD: 0.66%
• 6M: 0.33%
• 1Y: -4.00%
• 3Y*: -1.59%
• 5Y*: -4.28%
• 10Y*: -1.84%

AUDUSD=X

• 1D: -1.33%
• 1M: -2.74%
• YTD: 5.47%
• 6M: 6.02%
• 1Y: 8.20%
• 3Y*: 1.80%
• 5Y*: -1.88%
• 10Y*: -0.57%

*Multi-year figures are annualized to reflect compound growth (CAGR)

NZDUSD=X vs. AUDUSD=X - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NZDUSD=X New Zealand Dollar/US Dollar FX	0.66%	2.87%	-11.45%	-0.44%	-7.32%	-4.75%	6.74%	0.43%	-5.48%	2.51%
AUDUSD=X AUD/USD	5.47%	7.81%	-9.12%	-0.06%	-6.27%	-5.58%	9.75%	-0.37%	-9.73%	8.36%

Correlation

The correlation between NZDUSD=X and AUDUSD=X is 0.86, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.86
Correlation (3Y) Calculated over the trailing 3-year period	0.87
Correlation (5Y) Calculated over the trailing 5-year period	0.87
Correlation (10Y) Calculated over the trailing 10-year period	0.83
Correlation (All Time) Calculated using the full available price history since Jul 4, 2007	0.82

The correlation between NZDUSD=X and AUDUSD=X has been stable across timeframes, ranging from 0.82 to 0.87 - a consistent structural relationship.

Return for Risk

NZDUSD=X vs. AUDUSD=X — Risk / Return Rank

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

NZDUSD=X

NZDUSD=X Risk / Return Rank: 27
NZDUSD=X Sharpe Ratio Rank: 28
NZDUSD=X Sortino Ratio Rank: 28
NZDUSD=X Omega Ratio Rank: 28
NZDUSD=X Calmar Ratio Rank: 27
NZDUSD=X Martin Ratio Rank: 25

AUDUSD=X

AUDUSD=X Risk / Return Rank: 79
AUDUSD=X Sharpe Ratio Rank: 76
AUDUSD=X Sortino Ratio Rank: 75
AUDUSD=X Omega Ratio Rank: 75
AUDUSD=X Calmar Ratio Rank: 82
AUDUSD=X Martin Ratio Rank: 85

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

NZDUSD=X vs. AUDUSD=X - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for New Zealand Dollar/US Dollar FX (NZDUSD=X) and AUD/USD (AUDUSD=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.

	NZDUSD=X	AUDUSD=X	Difference
Sharpe ratio: Return per unit of total volatility	-0.40	0.86	-1.26
Sortino ratio: Return per unit of downside risk	-0.50	1.26	-1.76
Omega ratio: Gain probability vs. loss probability	0.94	1.15	-0.21
Calmar ratio: Return relative to maximum drawdown	-0.38	1.56	-1.94
Martin ratio: Return relative to average drawdown	-0.76	4.16	-4.92
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NZDUSD=X vs. AUDUSD=X - Sharpe Ratio Comparison

The current NZDUSD=X Sharpe Ratio is -0.40, which is lower than the AUDUSD=X Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of NZDUSD=X and AUDUSD=X, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	NZDUSD=X	AUDUSD=X	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.40	0.86	-1.26
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.39	-0.17	-0.22
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.18	-0.06	-0.12
Sharpe Ratio (All Time) Calculated using the full available price history	-0.12	-0.08	-0.04

Drawdowns

NZDUSD=X vs. AUDUSD=X - Drawdown Comparison

The maximum NZDUSD=X drawdown since its inception was -39.83%, smaller than the maximum AUDUSD=X drawdown of -47.87%. Use the drawdown chart below to compare losses from any high point for NZDUSD=X and AUDUSD=X.

Drawdown Indicators

	NZDUSD=X	AUDUSD=X	Difference
Max Drawdown Largest peak-to-trough decline	-39.83%	-47.87%	+8.04%
Max Drawdown (1Y) Largest decline over 1 year	-8.48%	-4.20%	-4.28%
Max Drawdown (3Y) Largest decline over 3 years	-13.50%	-13.83%	+0.33%
Max Drawdown (5Y) Largest decline over 5 years	-23.45%	-23.18%	-0.27%
Max Drawdown (10Y) Largest decline over 10 years	-26.48%	-29.18%	+2.70%
Current Drawdown Current decline from peak	-34.35%	-36.11%	+1.76%
Average Drawdown Average peak-to-trough decline	-19.65%	-25.83%	+6.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.48%	1.62%	+1.86%

Volatility

NZDUSD=X vs. AUDUSD=X - Volatility Comparison

New Zealand Dollar/US Dollar FX (NZDUSD=X) has a higher volatility of 3.17% compared to AUD/USD (AUDUSD=X) at 2.44%. This indicates that NZDUSD=X's price experiences larger fluctuations and is considered to be riskier than AUDUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NZDUSD=X	AUDUSD=X	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.17%	2.44%	+0.73%
Volatility (6M) Calculated over the trailing 6-month period	7.04%	6.62%	+0.42%
Volatility (1Y) Calculated over the trailing 1-year period	8.18%	7.62%	+0.56%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.01%	10.08%	-0.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.72%	9.67%	+0.05%

Frequently Asked Questions

Can I hold both NZDUSD=X and AUDUSD=X in my portfolio?

NZDUSD=X and AUDUSD=X have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NZDUSD=X or AUDUSD=X?

NZDUSD=X has higher volatility (3.17%) compared to AUDUSD=X (2.44%). In terms of maximum drawdown, NZDUSD=X dropped -39.83% vs AUDUSD=X's -47.87%.

Which has better risk-adjusted returns?

AUDUSD=X currently has the higher Sharpe Ratio (0.86 vs -0.40), 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.