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

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Compare to other instruments

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


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.13%
12.92%
CHFUSD=X (USD/CHF)
Benchmark (^GSPC)

Returns By Period

USD/CHF had a return of -5.07% year-to-date (YTD) and -0.31% in the last 12 months. Over the past 10 years, USD/CHF had an annualized return of 0.83%, while the S&P 500 had an annualized return of 11.16%, indicating that USD/CHF did not perform as well as the benchmark.


CHFUSD=X

YTD

-5.07%

1M

-2.40%

6M

3.13%

1Y

-0.31%

5Y (annualized)

2.24%

10Y (annualized)

0.83%

^GSPC (Benchmark)

YTD

24.72%

1M

1.67%

6M

12.93%

1Y

30.55%

5Y (annualized)

13.88%

10Y (annualized)

11.16%

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%0.54%-2.11%-5.07%
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 rank of CHFUSD=X is 36, 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 CHFUSD=X is 3636
Combined Rank
The Sharpe Ratio Rank of CHFUSD=X is 3939
Sharpe Ratio Rank
The Sortino Ratio Rank of CHFUSD=X is 3838
Sortino Ratio Rank
The Omega Ratio Rank of CHFUSD=X is 3939
Omega Ratio Rank
The Calmar Ratio Rank of CHFUSD=X is 2222
Calmar Ratio Rank
The Martin Ratio Rank of CHFUSD=X is 4242
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for CHFUSD=X, currently valued at -0.31, compared to the broader market-1.00-0.500.000.501.001.50-0.312.54
The chart of Sortino ratio for CHFUSD=X, currently valued at -0.39, compared to the broader market0.0050.00100.00150.00200.00250.00-0.393.40
The chart of Omega ratio for CHFUSD=X, currently valued at 0.95, compared to the broader market10.0020.0030.0040.0050.0060.000.951.47
The chart of Calmar ratio for CHFUSD=X, currently valued at -0.09, compared to the broader market0.00100.00200.00300.00400.00500.00-0.093.66
The chart of Martin ratio for CHFUSD=X, currently valued at -0.54, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.5416.26
CHFUSD=X
^GSPC

The current USD/CHF Sharpe ratio is -0.31. 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.31
2.54
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%JuneJulyAugustSeptemberOctoberNovember
-18.47%
-0.88%
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 18.47%.


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 2.19%, 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%JuneJulyAugustSeptemberOctoberNovember
2.19%
3.96%
CHFUSD=X (USD/CHF)
Benchmark (^GSPC)