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CHF=X vs. FXF
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

CHF=X vs. FXF

Last updated May 16, 2025

Compare and contrast key facts about USD/CHF (CHF=X) and Invesco CurrencyShares® Swiss Franc Trust (FXF).

FXF is a passively managed fund by Invesco that tracks the performance of the Swiss Franc. It was launched on Jun 26, 2006.

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CHF=X or FXF.

Correlation

The correlation between CHF=X and FXF is 0.02, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

CHF=X vs. FXF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/CHF (CHF=X) and Invesco CurrencyShares® Swiss Franc Trust (FXF). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

CHF=X:

-0.84

FXF:

0.82

Sortino Ratio

CHF=X:

-1.02

FXF:

1.50

Omega Ratio

CHF=X:

0.86

FXF:

1.17

Calmar Ratio

CHF=X:

-0.14

FXF:

0.29

Martin Ratio

CHF=X:

-1.63

FXF:

2.04

Ulcer Index

CHF=X:

4.71%

FXF:

4.12%

Daily Std Dev

CHF=X:

9.15%

FXF:

9.57%

Max Drawdown

CHF=X:

-60.32%

FXF:

-35.49%

Current Drawdown

CHF=X:

-54.22%

FXF:

-22.23%

Returns By Period

In the year-to-date period, CHF=X achieves a -8.08% return, which is significantly lower than FXF's 8.49% return. Over the past 10 years, CHF=X has underperformed FXF with an annualized return of -1.01%, while FXF has yielded a comparatively higher 0.11% annualized return.

CHF=X

YTD

-8.08%

1M

1.28%

6M

-6.31%

1Y

-7.56%

5Y*

-2.90%

10Y*

-1.01%

FXF

YTD

8.49%

1M

-1.60%

6M

6.50%

1Y

7.76%

5Y*

2.39%

10Y*

0.11%

*Annualized

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Risk-Adjusted Performance

CHF=X vs. FXF — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
CHF=X
The Risk-Adjusted Performance Rank of CHF=X is 1010
Overall Rank
The Sharpe Ratio Rank of CHF=X is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of CHF=X is 77
Sortino Ratio Rank
The Omega Ratio Rank of CHF=X is 1111
Omega Ratio Rank
The Calmar Ratio Rank of CHF=X is 2222
Calmar Ratio Rank
The Martin Ratio Rank of CHF=X is 66
Martin Ratio Rank
FXF
The Risk-Adjusted Performance Rank of FXF is 6565
Overall Rank
The Sharpe Ratio Rank of FXF is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of FXF is 8383
Sortino Ratio Rank
The Omega Ratio Rank of FXF is 7474
Omega Ratio Rank
The Calmar Ratio Rank of FXF is 3737
Calmar Ratio Rank
The Martin Ratio Rank of FXF is 5757
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.

CHF=X vs. FXF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/CHF (CHF=X) and Invesco CurrencyShares® Swiss Franc Trust (FXF). 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.

The current CHF=X Sharpe Ratio is -0.84, which is lower than the FXF Sharpe Ratio of 0.82. The chart below compares the historical Sharpe Ratios of CHF=X and FXF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Drawdowns

CHF=X vs. FXF - Drawdown Comparison

The maximum CHF=X drawdown since its inception was -60.32%, which is greater than FXF's maximum drawdown of -35.49%. Use the drawdown chart below to compare losses from any high point for CHF=X and FXF. For additional features, visit the drawdowns tool.

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Volatility

CHF=X vs. FXF - Volatility Comparison

The current volatility for USD/CHF (CHF=X) is 3.31%, while Invesco CurrencyShares® Swiss Franc Trust (FXF) has a volatility of 3.91%. This indicates that CHF=X experiences smaller price fluctuations and is considered to be less risky than FXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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