CHFUSD=X vs. GBP=X
Compare and contrast key facts about USD/CHF (CHFUSD=X) and USD/GBP (GBP=X).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CHFUSD=X or GBP=X.
Key characteristics
| CHFUSD=X | GBP=X | |
|---|---|---|
| YTD Return | -3.59% | -1.83% |
| 1Y Return | 3.01% | -5.22% |
| 3Y Return (Ann) | 1.40% | 1.51% |
| 5Y Return (Ann) | 2.54% | -0.34% |
| 10Y Return (Ann) | 0.99% | 2.47% |
| Sharpe Ratio | -0.40 | -0.58 |
| Sortino Ratio | -0.51 | -0.82 |
| Omega Ratio | 0.94 | 0.92 |
| Calmar Ratio | -0.12 | 0.00 |
| Martin Ratio | -0.59 | -0.96 |
| Ulcer Index | 4.40% | 3.94% |
| Daily Std Dev | 6.65% | 5.78% |
| Max Drawdown | -38.65% | -34.89% |
| Current Drawdown | -17.20% | -17.29% |
Correlation
The correlation between CHFUSD=X and GBP=X is 0.21, 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. GBP=X - Performance Comparison
In the year-to-date period, CHFUSD=X achieves a -3.59% return, which is significantly lower than GBP=X's -1.83% return. Over the past 10 years, CHFUSD=X has underperformed GBP=X with an annualized return of 0.99%, while GBP=X has yielded a comparatively higher 2.47% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
CHFUSD=X vs. GBP=X - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/CHF (CHFUSD=X) and USD/GBP (GBP=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.
Drawdowns
CHFUSD=X vs. GBP=X - Drawdown Comparison
The maximum CHFUSD=X drawdown since its inception was -38.65%, which is greater than GBP=X's maximum drawdown of -34.89%. Use the drawdown chart below to compare losses from any high point for CHFUSD=X and GBP=X. For additional features, visit the drawdowns tool.
Volatility
CHFUSD=X vs. GBP=X - Volatility Comparison
The current volatility for USD/CHF (CHFUSD=X) is 2.15%, while USD/GBP (GBP=X) has a volatility of 3.45%. This indicates that CHFUSD=X experiences smaller price fluctuations and is considered to be less risky than GBP=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.