PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CHFUSD=X vs. GBP=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between CHFUSD=X and GBP=X is 0.22, 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.


-0.50.00.51.00.2

Performance

CHFUSD=X vs. GBP=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/CHF (CHFUSD=X) and USD/GBP (GBP=X). The values are adjusted to include any dividend payments, if applicable.

-8.00%-6.00%-4.00%-2.00%0.00%2.00%SeptemberOctoberNovemberDecember2025February
-5.70%
-0.44%
CHFUSD=X
GBP=X

Key characteristics

Sharpe Ratio

CHFUSD=X:

0.20

GBP=X:

0.22

Sortino Ratio

CHFUSD=X:

0.34

GBP=X:

0.37

Omega Ratio

CHFUSD=X:

1.04

GBP=X:

1.04

Calmar Ratio

CHFUSD=X:

0.06

GBP=X:

0.01

Martin Ratio

CHFUSD=X:

0.33

GBP=X:

0.65

Ulcer Index

CHFUSD=X:

3.98%

GBP=X:

2.52%

Daily Std Dev

CHFUSD=X:

6.45%

GBP=X:

6.00%

Max Drawdown

CHFUSD=X:

-38.65%

GBP=X:

-34.89%

Current Drawdown

CHFUSD=X:

-19.97%

GBP=X:

-14.81%

Returns By Period

In the year-to-date period, CHFUSD=X achieves a 0.45% return, which is significantly higher than GBP=X's -0.35% return. Over the past 10 years, CHFUSD=X has underperformed GBP=X with an annualized return of 0.39%, while GBP=X has yielded a comparatively higher 2.45% annualized return.


CHFUSD=X

YTD

0.45%

1M

0.37%

6M

-5.70%

1Y

-2.35%

5Y*

1.51%

10Y*

0.39%

GBP=X

YTD

-0.35%

1M

-3.35%

6M

3.52%

1Y

-0.04%

5Y*

0.52%

10Y*

2.45%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

CHFUSD=X vs. GBP=X — 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 6262
Overall Rank
The Sharpe Ratio Rank of CHFUSD=X is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of CHFUSD=X is 6262
Sortino Ratio Rank
The Omega Ratio Rank of CHFUSD=X is 6161
Omega Ratio Rank
The Calmar Ratio Rank of CHFUSD=X is 6666
Calmar Ratio Rank
The Martin Ratio Rank of CHFUSD=X is 6060
Martin Ratio Rank

GBP=X
The Risk-Adjusted Performance Rank of GBP=X is 5959
Overall Rank
The Sharpe Ratio Rank of GBP=X is 6363
Sharpe Ratio Rank
The Sortino Ratio Rank of GBP=X is 6262
Sortino Ratio Rank
The Omega Ratio Rank of GBP=X is 5858
Omega Ratio Rank
The Calmar Ratio Rank of GBP=X is 4949
Calmar Ratio Rank
The Martin Ratio Rank of GBP=X 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. 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.


Sharpe ratio
The chart of Sharpe ratio for CHFUSD=X, currently valued at 0.22, compared to the broader market0.002.004.006.008.000.22-0.04
The chart of Sortino ratio for CHFUSD=X, currently valued at 0.39, compared to the broader market0.0010.0020.0030.000.390.02
The chart of Omega ratio for CHFUSD=X, currently valued at 1.04, compared to the broader market2.004.006.008.001.041.00
The chart of Calmar ratio for CHFUSD=X, currently valued at 0.01, compared to the broader market0.0020.0040.0060.000.010.01
The chart of Martin ratio for CHFUSD=X, currently valued at 0.40, compared to the broader market0.00100.00200.00300.00400.00500.000.40-0.41
CHFUSD=X
GBP=X

The current CHFUSD=X Sharpe Ratio is 0.20, which is comparable to the GBP=X Sharpe Ratio of 0.22. The chart below compares the historical Sharpe Ratios of CHFUSD=X and GBP=X, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.00SeptemberOctoberNovemberDecember2025February
0.22
-0.04
CHFUSD=X
GBP=X

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.


-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2025February
-19.97%
-3.02%
CHFUSD=X
GBP=X

Volatility

CHFUSD=X vs. GBP=X - Volatility Comparison

The current volatility for USD/CHF (CHFUSD=X) is 1.96%, while USD/GBP (GBP=X) has a volatility of 3.16%. 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.


1.50%2.00%2.50%3.00%3.50%4.00%SeptemberOctoberNovemberDecember2025February
1.96%
3.16%
CHFUSD=X
GBP=X
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2025 PortfoliosLab