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 -0.91%/yr vs 1.91%/yr for CHFUSD=X. At a 0.10 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 -3.19% return, which is significantly lower than CHFUSD=X's -2.65% return. Over the past 10 years, CADUSD=X has underperformed CHFUSD=X with an annualized return of -0.91%, while CHFUSD=X has yielded a comparatively higher 1.91% annualized return.
CADUSD=X
- 1D
- 0.13%
- 1M
- -1.23%
- 6M
- -1.64%
- YTD
- -3.19%
- 1Y
- -3.46%
- 3Y*
- -2.50%
- 5Y*
- -2.42%
- 10Y*
- -0.91%
CHFUSD=X
- 1D
- -0.55%
- 1M
- -2.09%
- 6M
- -2.04%
- YTD
- -2.65%
- 1Y
- -2.12%
- 3Y*
- 1.93%
- 5Y*
- 2.38%
- 10Y*
- 1.91%
CADUSD=X vs. CHFUSD=X - Yearly Performance Comparison
Correlation
The correlation between CADUSD=X and CHFUSD=X is 0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.01 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.04 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.04 |
Correlation (All Time) Calculated using the full available price history since Oct 12, 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 | -0.51 | ||
| Sortino ratioReturn per unit of downside risk | -0.76 | ||
| Omega ratioGain probability vs. loss probability | 0.88 | 0.96 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | -0.61 | -0.26 | -0.34 |
| Martin ratioReturn relative to average drawdown | -1.35 | -0.63 | -0.71 |
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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% | -6.49% | +1.27% |
Max Drawdown (3Y)Largest decline over 3 years | -10.90% | -8.69% | -2.21% |
Max Drawdown (5Y)Largest decline over 5 years | -16.26% | -10.75% | -5.51% |
Max Drawdown (10Y)Largest decline over 10 years | -18.20% | -13.35% | -4.85% |
Current DrawdownCurrent decline from peak | -35.05% | -11.40% | -23.65% |
Average DrawdownAverage peak-to-trough decline | -19.72% | -18.69% | -1.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.39% | 2.84% | -0.45% |
Volatility
CADUSD=X vs. CHFUSD=X - Volatility Comparison
The current volatility for CAD/USD (CADUSD=X) is 1.05%, while USD/CHF (CHFUSD=X) has a volatility of 1.27%. 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 | 1.05% | 1.27% | -0.22% |
Volatility (6M)Calculated over the trailing 6-month period | 3.20% | 4.60% | -1.40% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.22% | 6.87% | -2.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.12% | 7.89% | -1.77% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.66% | 7.34% | -0.68% |
Frequently Asked Questions
CADUSD=X and CHFUSD=X have a correlation of 0.01, 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 (1.27%) compared to CADUSD=X (1.05%). In terms of maximum drawdown, CADUSD=X dropped -37.58% vs CHFUSD=X's -29.99%.
CHFUSD=X currently has the higher Sharpe Ratio (-0.25 vs -0.75), 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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