CHFUSD=X vs. FXF
CHFUSD=X (USD/CHF) is a currency, while FXF (Invesco CurrencyShares® Swiss Franc Trust) is Currency fund tracking the Swiss Franc. Over the past 10 years, CHFUSD=X returned 1.94%/yr vs 1.08%/yr for FXF. Their correlation of 0.95 suggests significant overlap in exposure.
Performance
CHFUSD=X vs. FXF - Performance Comparison
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Returns By Period
In the year-to-date period, CHFUSD=X achieves a -0.51% return, which is significantly higher than FXF's -0.71% return. Over the past 10 years, CHFUSD=X has outperformed FXF with an annualized return of 1.94%, while FXF has yielded a comparatively lower 1.08% annualized return.
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%
FXF
- 1D
- -0.81%
- 1M
- -2.20%
- YTD
- -0.71%
- 6M
- 0.75%
- 1Y
- 2.51%
- 3Y*
- 4.18%
- 5Y*
- 1.90%
- 10Y*
- 1.08%
CHFUSD=X vs. FXF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CHFUSD=X USD/CHF | -0.51% | 14.56% | -7.30% | 9.83% | -1.34% | -2.97% | 9.43% | 1.71% | -1.05% | 4.56% |
FXF Invesco CurrencyShares® Swiss Franc Trust | -0.71% | 14.04% | -7.46% | 9.63% | -2.29% | -4.08% | 8.18% | 0.32% | -2.01% | 3.31% |
Correlation
The correlation between CHFUSD=X and FXF is 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.89 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.90 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.93 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.94 |
Correlation (All Time) Calculated using the full available price history since Aug 30, 2007 | 0.95 |
The correlation between CHFUSD=X and FXF has been stable across timeframes, ranging from 0.89 to 0.95 - a consistent structural relationship.
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Return for Risk
CHFUSD=X vs. FXF — Risk / Return Rank
CHFUSD=X
FXF
CHFUSD=X vs. FXF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/CHF (CHFUSD=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.
| CHFUSD=X | FXF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.01 | ||
| Sortino ratioReturn per unit of downside risk | +0.02 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 1.06 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 0.50 | 0.52 | -0.02 |
| Martin ratioReturn relative to average drawdown | 1.18 | 1.15 | +0.02 |
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
| CHFUSD=X | FXF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.35 | 0.34 | +0.01 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.28 | 0.23 | +0.05 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.25 | 0.14 | +0.10 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.20 | 0.17 | +0.03 |
Drawdowns
CHFUSD=X vs. FXF - Drawdown Comparison
The maximum CHFUSD=X drawdown since its inception was -29.99%, smaller than the maximum FXF drawdown of -35.58%. Use the drawdown chart below to compare losses from any high point for CHFUSD=X and FXF.
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Drawdown Indicators
| CHFUSD=X | FXF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -29.99% | -35.58% | +5.59% |
Max Drawdown (1Y)Largest decline over 1 year | -4.95% | -4.82% | -0.13% |
Max Drawdown (3Y)Largest decline over 3 years | -8.69% | -8.52% | -0.17% |
Max Drawdown (5Y)Largest decline over 5 years | -11.70% | -13.03% | +1.33% |
Max Drawdown (10Y)Largest decline over 10 years | -13.35% | -15.04% | +1.69% |
Current DrawdownCurrent decline from peak | -9.45% | -18.95% | +9.50% |
Average DrawdownAverage peak-to-trough decline | -18.63% | -20.84% | +2.21% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.23% | 2.18% | +0.05% |
Volatility
CHFUSD=X vs. FXF - Volatility Comparison
USD/CHF (CHFUSD=X) and Invesco CurrencyShares® Swiss Franc Trust (FXF) have volatilities of 1.71% and 1.77%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CHFUSD=X | FXF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.71% | 1.77% | -0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 5.68% | 5.61% | +0.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.04% | 7.47% | -0.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.93% | 8.33% | -0.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.36% | 7.57% | -0.21% |
Frequently Asked Questions
CHFUSD=X and FXF have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXF has higher volatility (1.77%) compared to CHFUSD=X (1.71%). In terms of maximum drawdown, CHFUSD=X dropped -29.99% vs FXF's -35.58%.
CHFUSD=X currently has the higher Sharpe Ratio (0.35 vs 0.34), 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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