CADUSD=X vs. CHFUSD=X
CADUSD=X (CAD/USD) and CHFUSD=X (USD/CHF) are both currencies. Over the past 10 years, CADUSD=X returned -0.74%/yr vs 1.93%/yr for CHFUSD=X. Their 0.10 correlation means their historical movements had little consistent relationship.
Performance
CADUSD=X vs. CHFUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, CADUSD=X achieves a -2.35% return, which is significantly lower than CHFUSD=X's -2.18% return. Over the past 10 years, CADUSD=X has underperformed CHFUSD=X with an annualized return of -0.74%, while CHFUSD=X has yielded a comparatively higher 1.93% annualized return.
CADUSD=X
- 1D
- -0.09%
- 1M
- 1.19%
- 6M
- -2.77%
- YTD
- -2.35%
- 1Y
- -1.19%
- 3Y*
- -1.63%
- 5Y*
- -2.22%
- 10Y*
- -0.74%
- ALL TIME*
- -0.11%
CHFUSD=X
- 1D
- -0.15%
- 1M
- -0.83%
- 6M
- -3.76%
- YTD
- -2.18%
- 1Y
- -0.69%
- 3Y*
- 2.51%
- 5Y*
- 2.28%
- 10Y*
- 1.93%
- ALL TIME*
- 1.86%
Liquidity Comparison
CADUSD=X vs. CHFUSD=X - Yearly Performance Comparison
Correlation
The correlation between CADUSD=X and CHFUSD=X is 0.03, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.03 |
Correlation (3Y) Balances recent behavior with more history. | 0.04 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.05 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.04 |
Correlation (All Time) Calculated using the full available price history since Nov 7, 2007 | 0.10 |
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Return for Risk
CADUSD=X vs. CHFUSD=X — Risk / Return Rank
CADUSD=X
CHFUSD=X
CADUSD=X vs. CHFUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CAD/USD (CADUSD=X) and USD/CHF (CHFUSD=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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CADUSD=X | CHFUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.19 | ||
| Sortino ratioReturn per unit of downside risk | -0.31 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 0.99 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | -0.22 | -0.08 | -0.14 |
| Martin ratioReturn relative to average drawdown | -0.51 | -0.18 | -0.33 |
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Drawdowns
CADUSD=X vs. CHFUSD=X - Drawdown Comparison
The maximum CADUSD=X drawdown since its inception was -37.58%, which is greater than CHFUSD=X's maximum drawdown of -29.99%. Use the drawdown chart below to compare losses from any high point for CADUSD=X and CHFUSD=X.
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Drawdown Indicators
| CADUSD=X | CHFUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -37.58% | -29.99% | -7.59% |
Max Drawdown (1Y)Largest decline over 1 year | -5.22% | -7.06% | +1.84% |
Max Drawdown (3Y)Largest decline over 3 years | -10.34% | -8.69% | -1.65% |
Max Drawdown (5Y)Largest decline over 5 years | -16.26% | -10.45% | -5.81% |
Max Drawdown (10Y)Largest decline over 10 years | -18.20% | -13.35% | -4.85% |
Current DrawdownCurrent decline from peak | -34.49% | -10.96% | -23.53% |
Average DrawdownAverage peak-to-trough decline | -19.75% | -18.73% | -1.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.27% | 3.27% | -1.00% |
Volatility
CADUSD=X vs. CHFUSD=X - Volatility Comparison
The current volatility for CAD/USD (CADUSD=X) is 1.09%, while USD/CHF (CHFUSD=X) has a volatility of 2.03%. This indicates that CADUSD=X experiences smaller price fluctuations and is considered to be less risky than CHFUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CADUSD=X | CHFUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.09% | 2.03% | -0.94% |
Volatility (6M)Calculated over the trailing 6-month period | 2.86% | 4.52% | -1.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.21% | 6.72% | -2.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.08% | 7.91% | -1.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.65% | 7.34% | -0.69% |
Frequently Asked Questions
CADUSD=X and CHFUSD=X have a correlation of 0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CHFUSD=X has higher volatility (2.03%) compared to CADUSD=X (1.09%). In terms of maximum drawdown, CADUSD=X dropped -37.58% vs CHFUSD=X's -29.99%.
CHFUSD=X currently has the higher Sharpe Ratio (-0.08 vs -0.28), 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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