PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
USD/CHF (CHFUSD=X)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Share Price Chart


Loading data...

Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Popular comparisons: CHFUSD=X vs. HTGC, CHFUSD=X vs. GLD, CHFUSD=X vs. SPY, CHFUSD=X vs. GOLD, CHFUSD=X vs. VT, CHFUSD=X vs. AMZN, CHFUSD=X vs. GBP=X, CHFUSD=X vs. IDEV

Performance

Performance Chart

The chart shows the growth of an initial investment of $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.


-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
5.73%
7.19%
CHFUSD=X (USD/CHF)
Benchmark (^GSPC)

Returns By Period

USD/CHF had a return of -0.84% year-to-date (YTD) and 5.75% in the last 12 months. Over the past 10 years, USD/CHF had an annualized return of 0.99%, while the S&P 500 had an annualized return of 10.85%, indicating that USD/CHF did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date-0.84%17.79%
1 month1.64%0.18%
6 months4.50%7.53%
1 year5.75%26.42%
5 years (annualized)2.98%13.48%
10 years (annualized)0.99%10.85%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.27%-2.64%-1.96%-1.86%1.92%0.40%2.34%3.27%-0.84%
20230.91%-2.76%2.99%2.31%-1.81%1.69%2.71%-1.29%-3.48%0.50%4.02%3.99%9.85%
2022-1.60%1.13%-0.65%-5.21%1.47%0.45%0.37%-2.65%-0.96%-1.43%5.86%2.31%-1.32%
2021-0.58%-1.97%-3.73%3.29%1.57%-2.78%2.16%-1.05%-1.78%1.74%-0.34%0.72%-2.97%
20200.49%-0.22%0.45%-0.45%0.42%1.49%3.77%1.01%-1.88%0.45%0.84%2.70%9.34%
2019-1.30%-0.39%0.30%-2.34%1.82%2.53%-1.80%0.40%-0.79%1.17%-1.36%3.32%1.40%
20184.61%-1.40%-1.00%-3.69%0.50%-0.49%0.04%2.22%-1.36%-2.61%0.96%1.77%-0.74%
20172.93%-1.64%0.27%0.79%2.84%0.99%-0.89%0.87%-0.99%-2.96%1.44%0.95%4.52%
2016-2.07%2.48%3.82%0.21%-3.42%1.80%0.70%-1.48%1.27%-1.78%-2.80%-0.07%-1.60%
20157.94%-3.38%-1.98%4.30%-0.83%0.52%-3.16%-0.11%-0.63%-1.50%-3.96%2.66%-0.78%
2014-1.47%3.00%-0.53%0.45%-1.60%0.92%-2.39%-1.06%-3.86%-0.81%-0.28%-2.87%-10.18%
20130.54%-2.80%-1.34%2.16%-2.71%1.10%1.99%-0.40%2.77%-0.20%0.05%1.48%2.49%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of CHFUSD=X is 87, placing it in the top 13% of currencies on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of CHFUSD=X is 8787
CHFUSD=X (USD/CHF)
The Sharpe Ratio Rank of CHFUSD=X is 8989Sharpe Ratio Rank
The Sortino Ratio Rank of CHFUSD=X is 9191Sortino Ratio Rank
The Omega Ratio Rank of CHFUSD=X is 9090Omega Ratio Rank
The Calmar Ratio Rank of CHFUSD=X is 9191Calmar Ratio Rank
The Martin Ratio Rank of CHFUSD=X is 7474Martin 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 (CHFUSD=X) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


CHFUSD=X
Sharpe ratio
The chart of Sharpe ratio for CHFUSD=X, currently valued at 0.90, compared to the broader market-1.00-0.500.000.501.000.90
Sortino ratio
The chart of Sortino ratio for CHFUSD=X, currently valued at 1.37, compared to the broader market0.0050.00100.00150.00200.00250.00300.001.37
Omega ratio
The chart of Omega ratio for CHFUSD=X, currently valued at 1.17, compared to the broader market20.0040.0060.001.17
Calmar ratio
The chart of Calmar ratio for CHFUSD=X, currently valued at 0.28, compared to the broader market0.00200.00400.00600.000.28
Martin ratio
The chart of Martin ratio for CHFUSD=X, currently valued at 1.22, compared to the broader market0.001,000.002,000.003,000.004,000.005,000.001.22
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.06, compared to the broader market-1.00-0.500.000.501.002.06
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.0050.00100.00150.00200.00250.00300.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.37, compared to the broader market20.0040.0060.001.37
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.85, compared to the broader market0.00200.00400.00600.001.85
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 11.09, compared to the broader market0.001,000.002,000.003,000.004,000.005,000.0011.09

Sharpe Ratio

The current USD/CHF Sharpe ratio is 0.90. 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-1.000.001.002.003.00AprilMayJuneJulyAugustSeptember
0.90
2.06
CHFUSD=X (USD/CHF)
Benchmark (^GSPC)

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.


-20.00%-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-14.85%
-0.86%
CHFUSD=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 38.65%, occurring on Oct 26, 2000. Recovery took 1839 trading sessions.

The current USD/CHF drawdown is 14.85%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.65%Apr 19, 19951438Oct 26, 20001839Nov 19, 20073277
-29.88%Aug 10, 20111123Nov 27, 2015
-22.53%Feb 7, 1991111Jul 11, 1991318Sep 29, 1992429
-20.47%Sep 30, 1992112Mar 5, 1993519Mar 2, 1995631
-19.56%Mar 18, 2008178Nov 20, 2008481Sep 24, 2010659

Volatility

Volatility Chart

The current USD/CHF volatility is 1.65%, 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%2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
1.65%
3.99%
CHFUSD=X (USD/CHF)
Benchmark (^GSPC)