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USD/CHF (CHF=X)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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USD/CHF

Popular comparisons: CHF=X vs. GLD, CHF=X vs. VOO, CHF=X vs. AMZN

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.


0.00%5.00%10.00%15.00%20.00%2024FebruaryMarchAprilMayJune
6.37%
21.90%
CHF=X (USD/CHF)
Benchmark (^GSPC)

S&P 500

Returns By Period

USD/CHF had a return of 6.58% year-to-date (YTD) and 0.36% in the last 12 months. Over the past 10 years, USD/CHF had an annualized return of 0.06%, while the S&P 500 had an annualized return of 10.84%, indicating that USD/CHF did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date6.58%14.84%
1 month-1.86%3.26%
6 months6.36%14.56%
1 year0.36%25.11%
5 years (annualized)-1.58%13.29%
10 years (annualized)0.06%10.84%

Monthly Returns

The table below presents the monthly returns of CHF=X, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.35%2.71%1.81%2.09%-1.88%6.58%
2023-0.90%2.84%-2.90%-2.26%1.83%-1.67%-2.62%1.30%3.60%-0.50%-3.87%-3.86%-8.99%
20221.62%-1.12%0.65%5.50%-1.46%-0.45%-0.37%2.73%0.96%1.45%-5.53%-2.25%1.34%
20210.59%2.01%3.87%-3.19%-1.54%2.86%-2.11%1.06%1.80%-1.71%0.34%-0.71%3.06%
2020-0.50%0.24%-0.47%0.46%-0.41%-1.47%-3.63%-1.01%1.90%-0.43%-0.84%-2.63%-8.54%
20191.28%0.41%-0.29%2.39%-1.79%-2.48%1.82%-0.39%0.80%-1.15%1.38%-3.21%-1.39%
2018-4.41%1.42%1.01%3.85%-0.50%0.50%-0.04%-2.17%1.37%2.70%-0.96%-1.73%0.74%
2017-2.85%1.66%-0.27%-0.79%-2.75%-0.98%0.87%-0.82%0.99%3.05%-1.41%-0.94%-4.32%
20162.11%-2.41%-3.68%-0.22%3.53%-1.76%-0.70%1.50%-1.24%1.80%2.85%0.11%1.63%
2015-7.36%3.50%2.02%-4.12%0.84%-0.51%3.26%0.10%0.64%1.52%4.12%-2.59%0.78%
20141.49%-2.91%0.53%-0.49%1.67%-0.92%2.46%1.07%4.01%0.82%0.29%2.95%11.33%
2013-0.62%2.92%1.37%-2.12%2.79%-1.09%-1.96%0.40%-2.69%0.20%-0.06%-1.46%-2.47%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of CHF=X is 65, suggesting that the investment has average results relative to other currencies in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of CHF=X is 6565
CHF=X (USD/CHF)
The Sharpe Ratio Rank of CHF=X is 6767Sharpe Ratio Rank
The Sortino Ratio Rank of CHF=X is 6868Sortino Ratio Rank
The Omega Ratio Rank of CHF=X is 6666Omega Ratio Rank
The Calmar Ratio Rank of CHF=X is 5959Calmar Ratio Rank
The Martin Ratio Rank of CHF=X is 6464Martin 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.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for USD/CHF (CHF=X) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


CHF=X
Sharpe ratio
The chart of Sharpe ratio for CHF=X, currently valued at 0.23, compared to the broader market-1.00-0.500.000.501.001.500.23
Sortino ratio
The chart of Sortino ratio for CHF=X, currently valued at 0.37, compared to the broader market0.00100.00200.00300.00400.000.37
Omega ratio
The chart of Omega ratio for CHF=X, currently valued at 1.05, compared to the broader market20.0040.0060.0080.00100.00120.001.05
Calmar ratio
The chart of Calmar ratio for CHF=X, currently valued at 0.03, compared to the broader market0.00200.00400.00600.00800.001,000.000.03
Martin ratio
The chart of Martin ratio for CHF=X, currently valued at 0.35, compared to the broader market0.002,000.004,000.006,000.008,000.000.35
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.37, compared to the broader market-1.00-0.500.000.501.001.502.37
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.33, compared to the broader market0.00100.00200.00300.00400.003.33
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market20.0040.0060.0080.00100.00120.001.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.87, compared to the broader market0.00200.00400.00600.00800.001,000.001.87
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.82, compared to the broader market0.002,000.004,000.006,000.008,000.008.82

Sharpe Ratio

The current USD/CHF Sharpe ratio is 0.23. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of USD/CHF with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.002024FebruaryMarchAprilMayJune
0.23
2.43
CHF=X (USD/CHF)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%2024FebruaryMarchAprilMayJune
-50.77%
0
CHF=X (USD/CHF)
Benchmark (^GSPC)

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 60.32%, occurring on Aug 9, 2011. The portfolio has not yet recovered.

The current USD/CHF drawdown is 50.77%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-60.32%Oct 27, 20002811Aug 9, 2011
-32.03%Nov 13, 19891414Apr 18, 19951244Jan 28, 20002658
-7.05%May 5, 200031Jun 16, 200054Aug 31, 200085
-3.46%Sep 18, 20008Sep 27, 200015Oct 18, 200023
-3.28%Feb 1, 200016Feb 22, 20005Feb 29, 200021

Volatility

Volatility Chart

The current USD/CHF volatility is 1.76%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%2024FebruaryMarchAprilMayJune
1.76%
3.22%
CHF=X (USD/CHF)
Benchmark (^GSPC)