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 -0.89%/yr vs 1.94%/yr for CHFUSD=X. At a 0.35 correlation, their price movements are largely independent.
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 -1.54% return, which is significantly lower than CHFUSD=X's -0.51% return. Over the past 10 years, CADUSD=X has underperformed CHFUSD=X with an annualized return of -0.89%, while CHFUSD=X has yielded a comparatively higher 1.94% annualized return.
CADUSD=X
- 1D
- -0.25%
- 1M
- -2.20%
- YTD
- -1.54%
- 6M
- -0.87%
- 1Y
- -1.90%
- 3Y*
- -1.30%
- 5Y*
- -2.84%
- 10Y*
- -0.89%
CHFUSD=X
- 1D
- -0.92%
- 1M
- -2.25%
- YTD
- -0.51%
- 6M
- 1.01%
- 1Y
- 3.07%
- 3Y*
- 4.46%
- 5Y*
- 2.45%
- 10Y*
- 1.94%
CADUSD=X vs. CHFUSD=X - Yearly Performance Comparison
Correlation
The correlation between CADUSD=X and CHFUSD=X is 0.58, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.59 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.47 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.47 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.38 |
Correlation (All Time) Calculated using the full available price history since May 8, 2009 | 0.35 |
Over the past year, CADUSD=X and CHFUSD=X have become more correlated (0.58) than their long-term average of 0.35, meaning their price movements have been converging.
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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.
| CADUSD=X | CHFUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.73 | ||
| Sortino ratioReturn per unit of downside risk | -1.11 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.07 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | -0.40 | 0.50 | -0.89 |
| Martin ratioReturn relative to average drawdown | -0.77 | 1.18 | -1.94 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CADUSD=X | CHFUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.38 | 0.35 | -0.73 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.42 | 0.28 | -0.69 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.12 | 0.25 | -0.37 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.07 | 0.20 | -0.26 |
Drawdowns
CADUSD=X vs. CHFUSD=X - Drawdown Comparison
The maximum CADUSD=X drawdown since its inception was -35.27%, 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 | -35.27% | -29.99% | -5.28% |
Max Drawdown (1Y)Largest decline over 1 year | -3.87% | -4.95% | +1.08% |
Max Drawdown (3Y)Largest decline over 3 years | -9.73% | -8.69% | -1.04% |
Max Drawdown (5Y)Largest decline over 5 years | -16.82% | -11.70% | -5.12% |
Max Drawdown (10Y)Largest decline over 10 years | -17.16% | -13.35% | -3.81% |
Current DrawdownCurrent decline from peak | -32.32% | -9.45% | -22.87% |
Average DrawdownAverage peak-to-trough decline | -21.29% | -18.63% | -2.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.62% | 2.23% | -0.61% |
Volatility
CADUSD=X vs. CHFUSD=X - Volatility Comparison
The current volatility for CAD/USD (CADUSD=X) is 0.78%, while USD/CHF (CHFUSD=X) has a volatility of 1.71%. 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 | 0.78% | 1.71% | -0.93% |
Volatility (6M)Calculated over the trailing 6-month period | 3.03% | 5.68% | -2.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.04% | 7.04% | -3.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.82% | 7.93% | -2.11% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.22% | 7.36% | -1.14% |
Frequently Asked Questions
CADUSD=X and CHFUSD=X have a correlation of 0.58, 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 (1.71%) compared to CADUSD=X (0.78%). In terms of maximum drawdown, CADUSD=X dropped -35.27% vs CHFUSD=X's -29.99%.
CHFUSD=X currently has the higher Sharpe Ratio (0.35 vs -0.38), 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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