PL=F vs. AUD=X
PL=F (Platinum) is an asset, while AUD=X (USD/AUD) is a currency. Over the past 10 years, PL=F returned 6.66%/yr vs -0.02%/yr for AUD=X. At a 0.00 correlation, their price movements are largely independent.
Performance
PL=F vs. AUD=X - Performance Comparison
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Different Trading Currencies
PL=F is traded in USD, while AUD=X is traded in AUD. To make them comparable, the AUD=X values have been converted to USD using the latest available exchange rates.
Returns By Period
In the year-to-date period, PL=F achieves a -6.68% return, which is significantly lower than AUD=X's -0.13% return. Over the past 10 years, PL=F has outperformed AUD=X with an annualized return of 6.66%, while AUD=X has yielded a comparatively lower -0.02% annualized return.
PL=F
- 1D
- 1.27%
- 1M
- -7.33%
- YTD
- -6.68%
- 6M
- 14.71%
- 1Y
- 67.46%
- 3Y*
- 22.36%
- 5Y*
- 10.27%
- 10Y*
- 6.66%
AUD=X
- 1D
- -0.12%
- 1M
- -0.10%
- YTD
- -0.13%
- 6M
- -0.11%
- 1Y
- -0.14%
- 3Y*
- -0.05%
- 5Y*
- -0.01%
- 10Y*
- -0.02%
PL=F vs. AUD=X - Yearly Performance Comparison
Correlation
The correlation between PL=F and AUD=X is -0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.09 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.01 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.00 |
Correlation (All Time) Calculated using the full available price history since Apr 27, 2009 | 0.00 |
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Return for Risk
PL=F vs. AUD=X — Risk / Return Rank
PL=F
AUD=X
PL=F vs. AUD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Platinum (PL=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.
| PL=F | AUD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.40 | ||
| Sortino ratioReturn per unit of downside risk | +1.82 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 0.98 | +0.27 |
| Calmar ratioReturn relative to maximum drawdown | 2.01 | -0.14 | +2.15 |
| Martin ratioReturn relative to average drawdown | 4.03 | -0.21 | +4.25 |
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
| PL=F | AUD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.32 | -0.08 | +1.40 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.29 | -0.01 | +0.30 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.21 | -0.01 | +0.22 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.10 | -0.00 | +0.10 |
Drawdowns
PL=F vs. AUD=X - Drawdown Comparison
The maximum PL=F drawdown since its inception was -68.68%, which is greater than AUD=X's maximum drawdown of -3.07%. Use the drawdown chart below to compare losses from any high point for PL=F and AUD=X.
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Drawdown Indicators
| PL=F | AUD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -68.68% | -3.07% | -65.61% |
Max Drawdown (1Y)Largest decline over 1 year | -35.55% | -0.81% | -34.74% |
Max Drawdown (3Y)Largest decline over 3 years | -35.55% | -1.22% | -34.33% |
Max Drawdown (5Y)Largest decline over 5 years | -35.55% | -1.22% | -34.33% |
Max Drawdown (10Y)Largest decline over 10 years | -49.56% | -1.44% | -48.12% |
Current DrawdownCurrent decline from peak | -33.44% | -1.82% | -31.62% |
Average DrawdownAverage peak-to-trough decline | -36.40% | -1.63% | -34.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 17.98% | 0.11% | +17.87% |
Volatility
PL=F vs. AUD=X - Volatility Comparison
Platinum (PL=F) has a higher volatility of 10.31% compared to USD/AUD (AUD=X) at 0.26%. This indicates that PL=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.
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Volatility by Period
| PL=F | AUD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.31% | 0.26% | +10.05% |
Volatility (6M)Calculated over the trailing 6-month period | 48.96% | 0.73% | +48.23% |
Volatility (1Y)Calculated over the trailing 1-year period | 54.15% | 1.44% | +52.71% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 35.63% | 1.05% | +34.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.75% | 1.33% | +30.42% |
Frequently Asked Questions
PL=F and AUD=X have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PL=F has higher volatility (10.31%) compared to AUD=X (0.26%). In terms of maximum drawdown, PL=F dropped -68.68% vs AUD=X's -3.07%.
PL=F currently has the higher Sharpe Ratio (1.32 vs -0.08), 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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