NZDUSD=X vs. GBPUSD=X
NZDUSD=X (New Zealand Dollar/US Dollar FX) and GBPUSD=X (GBP/USD) are both currencies. Over the past 10 years, NZDUSD=X returned -1.95%/yr vs 0.27%/yr for GBPUSD=X. A 0.53 correlation means they provide meaningful diversification when combined.
Performance
NZDUSD=X vs. GBPUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, NZDUSD=X achieves a 1.53% return, which is significantly higher than GBPUSD=X's 0.58% return. Over the past 10 years, NZDUSD=X has underperformed GBPUSD=X with an annualized return of -1.95%, while GBPUSD=X has yielded a comparatively higher 0.27% annualized return.
NZDUSD=X
- 1D
- 0.52%
- 1M
- 0.35%
- 6M
- 1.70%
- YTD
- 1.53%
- 1Y
- -1.71%
- 3Y*
- -2.83%
- 5Y*
- -3.55%
- 10Y*
- -1.95%
GBPUSD=X
- 1D
- 1.14%
- 1M
- 0.90%
- 6M
- 0.70%
- YTD
- 0.58%
- 1Y
- 1.15%
- 3Y*
- 1.11%
- 5Y*
- -0.32%
- 10Y*
- 0.27%
NZDUSD=X vs. GBPUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NZDUSD=X New Zealand Dollar/US Dollar FX | 1.53% | 2.87% | -11.45% | -0.44% | -7.32% | -4.75% | 6.74% | 0.43% | -5.48% | 2.51% |
GBPUSD=X GBP/USD | 0.58% | 7.55% | -1.67% | 5.28% | -10.69% | -0.91% | 3.06% | 4.01% | -5.66% | 9.52% |
Correlation
The correlation between NZDUSD=X and GBPUSD=X is 0.74, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.74 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.70 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.70 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.59 |
Correlation (All Time) Calculated using the full available price history since Aug 20, 2007 | 0.53 |
Over the past year, NZDUSD=X and GBPUSD=X have become more correlated (0.74) than their long-term average of 0.53, meaning their price movements have been converging.
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Return for Risk
NZDUSD=X vs. GBPUSD=X — Risk / Return Rank
NZDUSD=X
GBPUSD=X
NZDUSD=X vs. GBPUSD=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 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| NZDUSD=X | GBPUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.32 | ||
| Sortino ratioReturn per unit of downside risk | -0.45 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.03 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | -0.18 | 0.19 | -0.37 |
| Martin ratioReturn relative to average drawdown | -0.34 | 0.36 | -0.69 |
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Drawdowns
NZDUSD=X vs. GBPUSD=X - Drawdown Comparison
The maximum NZDUSD=X drawdown since its inception was -39.83%, smaller than the maximum GBPUSD=X drawdown of -49.29%. Use the drawdown chart below to compare losses from any high point for NZDUSD=X and GBPUSD=X.
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Drawdown Indicators
| NZDUSD=X | GBPUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.83% | -49.29% | +9.46% |
Max Drawdown (1Y)Largest decline over 1 year | -7.67% | -4.89% | -2.78% |
Max Drawdown (3Y)Largest decline over 3 years | -12.88% | -9.34% | -3.54% |
Max Drawdown (5Y)Largest decline over 5 years | -23.19% | -23.41% | +0.22% |
Max Drawdown (10Y)Largest decline over 10 years | -26.48% | -25.46% | -1.02% |
Current DrawdownCurrent decline from peak | -33.77% | -35.78% | +2.01% |
Average DrawdownAverage peak-to-trough decline | -19.75% | -31.37% | +11.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.28% | 2.57% | +0.71% |
Volatility
NZDUSD=X vs. GBPUSD=X - Volatility Comparison
New Zealand Dollar/US Dollar FX (NZDUSD=X) has a higher volatility of 2.08% compared to GBP/USD (GBPUSD=X) at 1.50%. 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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Volatility by Period
| NZDUSD=X | GBPUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.08% | 1.50% | +0.58% |
Volatility (6M)Calculated over the trailing 6-month period | 6.69% | 4.73% | +1.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.15% | 6.21% | +1.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.96% | 8.22% | +1.74% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.63% | 8.58% | +1.05% |
Frequently Asked Questions
NZDUSD=X and GBPUSD=X have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NZDUSD=X has higher volatility (2.08%) compared to GBPUSD=X (1.50%). In terms of maximum drawdown, NZDUSD=X dropped -39.83% vs GBPUSD=X's -49.29%.
GBPUSD=X currently has the higher Sharpe Ratio (0.15 vs -0.17), 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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