CHF=X vs. FEZ
CHF=X (USD/CHF) is a currency, while FEZ (State Street SPDR EURO STOXX 50 ETF) is Europe Equities fund tracking the EURO STOXX 50 Index. Over the past 10 years, CHF=X returned -1.87%/yr vs 9.74%/yr for FEZ. At a 0.12 correlation, their price movements are largely independent.
Performance
CHF=X vs. FEZ - Performance Comparison
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Different Trading Currencies
CHF=X is traded in CHF, while FEZ is traded in USD. To make them comparable, the FEZ values have been converted to CHF using the latest available exchange rates.
Returns By Period
In the year-to-date period, CHF=X achieves a 2.14% return, which is significantly lower than FEZ's 9.11% return. Over the past 10 years, CHF=X has underperformed FEZ with an annualized return of -1.87%, while FEZ has yielded a comparatively higher 9.74% annualized return.
CHF=X
- 1D
- -0.23%
- 1M
- 3.11%
- YTD
- 2.14%
- 6M
- 2.79%
- 1Y
- 0.72%
- 3Y*
- -3.29%
- 5Y*
- -2.44%
- 10Y*
- -1.87%
FEZ
- 1D
- 0.74%
- 1M
- 3.70%
- YTD
- 9.11%
- 6M
- 9.57%
- 1Y
- 19.54%
- 3Y*
- 14.16%
- 5Y*
- 7.82%
- 10Y*
- 9.74%
CHF=X vs. FEZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CHF=X USD/CHF | 2.14% | -12.62% | 7.88% | -8.95% | 1.37% | 2.95% | -8.43% | -1.70% | 0.97% | -4.25% |
FEZ State Street SPDR EURO STOXX 50 ETF | 9.11% | 20.41% | 11.74% | 15.78% | -13.10% | 18.23% | -4.00% | 23.90% | -15.04% | 19.50% |
Correlation
The correlation between CHF=X and FEZ is -0.08, 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 | -0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.01 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.12 |
Correlation (All Time) Calculated using the full available price history since Sep 21, 2007 | 0.12 |
The correlation between CHF=X and FEZ shifts across timeframes, from -0.08 (1 year) to 0.12 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
CHF=X vs. FEZ — Risk / Return Rank
CHF=X
FEZ
CHF=X vs. FEZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/CHF (CHF=X) and State Street SPDR EURO STOXX 50 ETF (FEZ). 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.
| CHF=X | FEZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.08 | ||
| Sortino ratioReturn per unit of downside risk | -1.55 | ||
| Omega ratioGain probability vs. loss probability | 1.02 | 1.21 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | 0.09 | 1.67 | -1.58 |
| Martin ratioReturn relative to average drawdown | 0.20 | 6.08 | -5.88 |
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Drawdowns
CHF=X vs. FEZ - Drawdown Comparison
The maximum CHF=X drawdown since its inception was -41.14%, smaller than the maximum FEZ drawdown of -66.23%. Use the drawdown chart below to compare losses from any high point for CHF=X and FEZ.
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Drawdown Indicators
| CHF=X | FEZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.14% | -66.23% | +25.09% |
Max Drawdown (1Y)Largest decline over 1 year | -6.64% | -11.78% | +5.14% |
Max Drawdown (3Y)Largest decline over 3 years | -17.43% | -19.42% | +1.99% |
Max Drawdown (5Y)Largest decline over 5 years | -24.87% | -30.02% | +5.15% |
Max Drawdown (10Y)Largest decline over 10 years | -26.13% | -39.20% | +13.07% |
Current DrawdownCurrent decline from peak | -33.85% | -1.21% | -32.64% |
Average DrawdownAverage peak-to-trough decline | -22.15% | -28.99% | +6.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.62% | 3.22% | -0.60% |
Volatility
CHF=X vs. FEZ - Volatility Comparison
The current volatility for USD/CHF (CHF=X) is 1.65%, while State Street SPDR EURO STOXX 50 ETF (FEZ) has a volatility of 4.81%. This indicates that CHF=X experiences smaller price fluctuations and is considered to be less risky than FEZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CHF=X | FEZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.65% | 4.81% | -3.16% |
Volatility (6M)Calculated over the trailing 6-month period | 5.07% | 14.03% | -8.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.92% | 16.87% | -9.95% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.84% | 19.73% | -11.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.33% | 20.62% | -13.29% |
Frequently Asked Questions
CHF=X and FEZ have a correlation of -0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FEZ has higher volatility (4.81%) compared to CHF=X (1.65%). In terms of maximum drawdown, CHF=X dropped -41.14% vs FEZ's -66.23%.
FEZ currently has the higher Sharpe Ratio (1.17 vs 0.08), 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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