CHFUSD=X vs. GBP=X
CHFUSD=X (USD/CHF) and GBP=X (USD/GBP) are both currencies. Over the past 10 years, CHFUSD=X returned 1.98%/yr vs 0.01%/yr for GBP=X. Their 0.02 correlation means their historical movements had little consistent relationship.
Performance
CHFUSD=X vs. GBP=X - Performance Comparison
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Different Trading Currencies
CHFUSD=X is traded in USD, while GBP=X is traded in GBP. To make them comparable, the GBP=X values have been converted to USD using the latest available exchange rates.
Returns By Period
In the year-to-date period, CHFUSD=X achieves a -1.69% return, which is significantly lower than GBP=X's 0.13% return. Over the past 10 years, CHFUSD=X has outperformed GBP=X with an annualized return of 1.98%, while GBP=X has yielded a comparatively lower 0.01% annualized return.
CHFUSD=X
- 1D
- 0.35%
- 1M
- -0.16%
- 6M
- -3.56%
- YTD
- -1.69%
- 1Y
- 0.15%
- 3Y*
- 2.68%
- 5Y*
- 2.57%
- 10Y*
- 1.98%
- ALL TIME*
- 1.81%
GBP=X
- 1D
- -0.01%
- 1M
- 0.03%
- 6M
- 0.09%
- YTD
- 0.13%
- 1Y
- 0.02%
- 3Y*
- 0.02%
- 5Y*
- 0.01%
- 10Y*
- 0.01%
- ALL TIME*
- 0.01%
Liquidity Comparison
CHFUSD=X vs. GBP=X - Yearly Performance Comparison
Correlation
The correlation between CHFUSD=X and GBP=X is -0.03, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.03 |
Correlation (3Y) Balances recent behavior with more history. | 0.02 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.01 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.03 |
Correlation (All Time) Calculated using the full available price history since Nov 9, 2007 | 0.02 |
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Return for Risk
CHFUSD=X vs. GBP=X — Risk / Return Rank
CHFUSD=X
GBP=X
CHFUSD=X vs. GBP=X - Risk-Adjusted Trends 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.
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.
| CHFUSD=X | GBP=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 0.00 | ||
| Sortino ratioReturn per unit of downside risk | +0.05 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.00 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 0.02 | 0.03 | -0.01 |
| Martin ratioReturn relative to average drawdown | 0.04 | 0.05 | -0.01 |
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Drawdowns
CHFUSD=X vs. GBP=X - Drawdown Comparison
The maximum CHFUSD=X drawdown since its inception was -29.99%, which is greater than GBP=X's maximum drawdown of -3.56%. Use the drawdown chart below to compare losses from any high point for CHFUSD=X and GBP=X.
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Drawdown Indicators
| CHFUSD=X | GBP=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -29.99% | -3.56% | -26.43% |
Max Drawdown (1Y)Largest decline over 1 year | -7.06% | -0.54% | -6.52% |
Max Drawdown (3Y)Largest decline over 3 years | -8.69% | -0.81% | -7.88% |
Max Drawdown (5Y)Largest decline over 5 years | -10.30% | -0.81% | -9.49% |
Max Drawdown (10Y)Largest decline over 10 years | -13.35% | -1.88% | -11.47% |
Current DrawdownCurrent decline from peak | -10.52% | -1.56% | -8.96% |
Average DrawdownAverage peak-to-trough decline | -18.73% | -1.16% | -17.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.31% | 0.32% | +2.99% |
Volatility
CHFUSD=X vs. GBP=X - Volatility Comparison
USD/CHF (CHFUSD=X) has a higher volatility of 2.05% compared to USD/GBP (GBP=X) at 0.19%. This indicates that CHFUSD=X's price experiences larger fluctuations and is considered to be riskier than GBP=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CHFUSD=X | GBP=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.05% | 0.19% | +1.86% |
Volatility (6M)Calculated over the trailing 6-month period | 4.53% | 0.58% | +3.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.71% | 0.95% | +5.76% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.91% | 0.85% | +7.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.34% | 1.28% | +6.06% |
Frequently Asked Questions
CHFUSD=X and GBP=X have a correlation of -0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CHFUSD=X has higher volatility (2.05%) compared to GBP=X (0.19%). In terms of maximum drawdown, CHFUSD=X dropped -29.99% vs GBP=X's -3.56%.
CHFUSD=X currently has the higher Sharpe Ratio (0.02 vs 0.02), 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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