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Performance
Performance Chart
The chart shows the growth of an initial investment of CHF 10,000 in USD/CHF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Different Benchmark Currency
CHF=X is traded in CHF, while the ^GSPC benchmark is in USD. To make them comparable, the benchmark values have been converted to CHF using the latest available exchange rates.
Returns By Period
USD/CHF (CHF=X) has returned 0.56% so far this year and -9.78% over the past 12 months. Over the last ten years, CHF=X has returned -1.81% per year, falling short of the S&P 500 Index benchmark, which averaged 10.13% annually.
USD/CHF
- 1D
- -0.09%
- 1M
- 3.77%
- YTD
- 0.56%
- 6M
- 0.32%
- 1Y
- -9.78%
- 3Y*
- -4.47%
- 5Y*
- -3.26%
- 10Y*
- -1.81%
Benchmark (S&P 500 Index)
- 1D
- 2.82%
- 1M
- -1.46%
- YTD
- -4.10%
- 6M
- -2.08%
- 1Y
- 4.96%
- 3Y*
- 11.47%
- 5Y*
- 6.59%
- 10Y*
- 10.13%
Monthly Returns
Based on dividend-adjusted daily data since Jul 13, 2007, CHF=X's average daily return is -0.01%, while the average monthly return is -0.14%.
Historically, 46% of months were positive and 54% were negative. The best month was Sep 2011 with a return of +12.5%, while the worst month was Dec 2008 at -11.7%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 6 months.
On a daily basis, CHF=X closed higher 51% of trading days. The best single day was Sep 6, 2011 with a return of +9.5%, while the worst single day was Jan 15, 2015 at -17.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -2.60% | -0.56% | 3.83% | 0.56% | |||||||||
| 2025 | 0.35% | -0.97% | -2.00% | -6.58% | -0.50% | -3.50% | 2.43% | -1.56% | -0.57% | 1.13% | -0.09% | -1.27% | -12.62% |
| 2024 | 2.37% | 2.68% | 1.93% | 1.99% | -1.89% | -0.27% | -2.41% | -3.23% | -0.49% | 2.09% | 2.00% | 3.11% | 7.88% |
| 2023 | -0.96% | 2.93% | -2.89% | -2.27% | 1.83% | -1.71% | -2.60% | 1.33% | 3.58% | -0.50% | -3.88% | -3.85% | -8.95% |
| 2022 | 1.68% | -1.10% | 0.63% | 5.50% | -1.45% | -0.52% | -0.33% | 2.80% | 0.96% | 1.38% | -5.53% | -2.25% | 1.37% |
| 2021 | 0.48% | 2.09% | 3.85% | -3.23% | -1.59% | 2.94% | -2.13% | 1.09% | 1.80% | -1.75% | 0.35% | -0.73% | 2.95% |
Benchmark Metrics
USD/CHF has an annualized alpha of -3.75%, beta of 0.22, and R² of 0.21 versus S&P 500 Index. Calculated based on daily prices since July 16, 2007.
- This currency participated in 31.00% of S&P 500 Index downside but only 7.71% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.22 may look defensive, but with R² of 0.21 this currency is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this currency's risk.
- R² of 0.21 means this currency moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- -3.75%
- Beta
- 0.22
- R²
- 0.21
- Upside Capture
- 7.71%
- Downside Capture
- 31.00%
Return for Risk
Risk / Return Rank
CHF=X ranks 20 for risk / return — below 20% of currencies on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for USD/CHF (CHF=X) and compare them to a chosen benchmark (S&P 500 Index).
| CHF=X | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.89 | 0.22 | -1.10 |
Sortino ratioReturn per unit of downside risk | -1.10 | 0.46 | -1.55 |
Omega ratioGain probability vs. loss probability | 0.85 | 1.07 | -0.22 |
Calmar ratioReturn relative to maximum drawdown | -0.27 | 0.37 | -0.64 |
Martin ratioReturn relative to average drawdown | -0.61 | 1.39 | -2.00 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore CHF=X risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the USD/CHF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the USD/CHF was 41.14%, occurring on Aug 9, 2011. The portfolio has not yet recovered.
The current USD/CHF drawdown is 34.87%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -41.14% | Nov 21, 2008 | 708 | Aug 9, 2011 | — | — | — |
| -19.26% | Aug 16, 2007 | 153 | Mar 17, 2008 | 178 | Nov 20, 2008 | 331 |
| -2.03% | Jul 26, 2007 | 7 | Aug 3, 2007 | 8 | Aug 15, 2007 | 15 |
| -0.27% | Jul 17, 2007 | 4 | Jul 20, 2007 | 1 | Jul 23, 2007 | 5 |
| -0.25% | Jul 24, 2007 | 1 | Jul 24, 2007 | 1 | Jul 25, 2007 | 2 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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