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

CHFUSD=X vs. FXF

Last updated May 10, 2025

Compare and contrast key facts about USD/CHF (CHFUSD=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: CHFUSD=X or FXF.

Correlation

The correlation between CHFUSD=X and FXF is 0.03, 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

CHFUSD=X vs. FXF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/CHF (CHFUSD=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

CHFUSD=X:

0.85

FXF:

0.95

Sortino Ratio

CHFUSD=X:

1.59

FXF:

1.70

Omega Ratio

CHFUSD=X:

1.19

FXF:

1.19

Calmar Ratio

CHFUSD=X:

0.38

FXF:

0.31

Martin Ratio

CHFUSD=X:

1.83

FXF:

2.24

Ulcer Index

CHFUSD=X:

4.45%

FXF:

4.08%

Daily Std Dev

CHFUSD=X:

8.55%

FXF:

9.32%

Max Drawdown

CHFUSD=X:

-38.65%

FXF:

-35.49%

Current Drawdown

CHFUSD=X:

-13.10%

FXF:

-21.75%

Returns By Period

The year-to-date returns for both investments are quite close, with CHFUSD=X having a 9.07% return and FXF slightly higher at 9.17%. Over the past 10 years, CHFUSD=X has outperformed FXF with an annualized return of 1.06%, while FXF has yielded a comparatively lower 0.20% annualized return.

CHFUSD=X

YTD

9.07%

1M

3.18%

6M

5.26%

1Y

8.91%

5Y*

2.91%

10Y*

1.06%

FXF

YTD

9.17%

1M

3.19%

6M

5.22%

1Y

8.77%

5Y*

2.49%

10Y*

0.20%

*Annualized

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Risk-Adjusted Performance

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

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
CHFUSD=X
The Risk-Adjusted Performance Rank of CHFUSD=X is 8585
Overall Rank
The Sharpe Ratio Rank of CHFUSD=X is 8585
Sharpe Ratio Rank
The Sortino Ratio Rank of CHFUSD=X is 8989
Sortino Ratio Rank
The Omega Ratio Rank of CHFUSD=X is 8484
Omega Ratio Rank
The Calmar Ratio Rank of CHFUSD=X is 8787
Calmar Ratio Rank
The Martin Ratio Rank of CHFUSD=X is 8282
Martin Ratio Rank
FXF
The Risk-Adjusted Performance Rank of FXF is 7272
Overall Rank
The Sharpe Ratio Rank of FXF is 8181
Sharpe Ratio Rank
The Sortino Ratio Rank of FXF is 8787
Sortino Ratio Rank
The Omega Ratio Rank of FXF is 8181
Omega Ratio Rank
The Calmar Ratio Rank of FXF is 4646
Calmar Ratio Rank
The Martin Ratio Rank of FXF is 6565
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.

CHFUSD=X vs. FXF - Risk-Adjusted Performance 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.

The current CHFUSD=X Sharpe Ratio is 0.85, which is comparable to the FXF Sharpe Ratio of 0.95. The chart below compares the historical Sharpe Ratios of CHFUSD=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

CHFUSD=X vs. FXF - Drawdown Comparison

The maximum CHFUSD=X drawdown since its inception was -38.65%, which is greater than FXF's maximum drawdown of -35.49%. Use the drawdown chart below to compare losses from any high point for CHFUSD=X and FXF. For additional features, visit the drawdowns tool.

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Volatility

CHFUSD=X vs. FXF - Volatility Comparison

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