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NZDUSD=X vs. GBPUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

NZDUSD=X vs. GBPUSD=X

Last updated May 17, 2025

Compare and contrast key facts about New Zealand Dollar/US Dollar FX (NZDUSD=X) and GBP/USD (GBPUSD=X).

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NZDUSD=X or GBPUSD=X.

Correlation

The correlation between NZDUSD=X and GBPUSD=X is 0.05, 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

NZDUSD=X vs. GBPUSD=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 GBP/USD (GBPUSD=X). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

NZDUSD=X:

-0.37

GBPUSD=X:

0.64

Sortino Ratio

NZDUSD=X:

-0.45

GBPUSD=X:

0.87

Omega Ratio

NZDUSD=X:

0.95

GBPUSD=X:

1.10

Calmar Ratio

NZDUSD=X:

-0.06

GBPUSD=X:

0.08

Martin Ratio

NZDUSD=X:

-0.52

GBPUSD=X:

1.03

Ulcer Index

NZDUSD=X:

7.26%

GBPUSD=X:

4.14%

Daily Std Dev

NZDUSD=X:

10.09%

GBPUSD=X:

7.26%

Max Drawdown

NZDUSD=X:

-73.68%

GBPUSD=X:

-60.21%

Current Drawdown

NZDUSD=X:

-60.52%

GBPUSD=X:

-49.79%

Returns By Period

In the year-to-date period, NZDUSD=X achieves a 5.17% return, which is significantly lower than GBPUSD=X's 6.11% return. Over the past 10 years, NZDUSD=X has underperformed GBPUSD=X with an annualized return of -2.11%, while GBPUSD=X has yielded a comparatively higher -1.49% annualized return.

NZDUSD=X

YTD

5.17%

1M

-0.88%

6M

0.34%

1Y

-3.87%

5Y*

-0.16%

10Y*

-2.11%

GBPUSD=X

YTD

6.11%

1M

0.26%

6M

5.22%

1Y

4.81%

5Y*

1.80%

10Y*

-1.49%

*Annualized

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Risk-Adjusted Performance

NZDUSD=X vs. GBPUSD=X — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
NZDUSD=X
The Risk-Adjusted Performance Rank of NZDUSD=X is 3434
Overall Rank
The Sharpe Ratio Rank of NZDUSD=X is 3232
Sharpe Ratio Rank
The Sortino Ratio Rank of NZDUSD=X is 3131
Sortino Ratio Rank
The Omega Ratio Rank of NZDUSD=X is 3434
Omega Ratio Rank
The Calmar Ratio Rank of NZDUSD=X is 3636
Calmar Ratio Rank
The Martin Ratio Rank of NZDUSD=X is 3939
Martin Ratio Rank
GBPUSD=X
The Risk-Adjusted Performance Rank of GBPUSD=X is 7373
Overall Rank
The Sharpe Ratio Rank of GBPUSD=X is 7979
Sharpe Ratio Rank
The Sortino Ratio Rank of GBPUSD=X is 7777
Sortino Ratio Rank
The Omega Ratio Rank of GBPUSD=X is 7575
Omega Ratio Rank
The Calmar Ratio Rank of GBPUSD=X is 6363
Calmar Ratio Rank
The Martin Ratio Rank of GBPUSD=X is 6868
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

NZDUSD=X vs. GBPUSD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for New Zealand Dollar/US Dollar FX (NZDUSD=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.

The current NZDUSD=X Sharpe Ratio is -0.37, which is lower than the GBPUSD=X Sharpe Ratio of 0.64. The chart below compares the historical Sharpe Ratios of NZDUSD=X and GBPUSD=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.

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Drawdowns

NZDUSD=X vs. GBPUSD=X - Drawdown Comparison

The maximum NZDUSD=X drawdown since its inception was -73.68%, which is greater than GBPUSD=X's maximum drawdown of -60.21%. Use the drawdown chart below to compare losses from any high point for NZDUSD=X and GBPUSD=X. For additional features, visit the drawdowns tool.

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Volatility

NZDUSD=X vs. GBPUSD=X - Volatility Comparison

New Zealand Dollar/US Dollar FX (NZDUSD=X) has a higher volatility of 3.23% compared to GBP/USD (GBPUSD=X) at 2.39%. This indicates that NZDUSD=X's price experiences larger fluctuations and is considered to be riskier than GBPUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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