CHFUSD=X vs. GBP=X
Compare and contrast key facts about USD/CHF (CHFUSD=X) and USD/GBP (GBP=X).
Performance
CHFUSD=X vs. GBP=X - Performance Comparison
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CHFUSD=X vs. GBP=X - Yearly Performance Comparison
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 -0.76% return, which is significantly lower than GBP=X's 0.19% return. Over the past 10 years, CHFUSD=X has outperformed GBP=X with an annualized return of 1.85%, while GBP=X has yielded a comparatively lower 0.01% annualized return.
CHFUSD=X
- 1D
- -0.59%
- 1M
- -2.09%
- YTD
- -0.76%
- 6M
- -0.12%
- 1Y
- 10.59%
- 3Y*
- 4.56%
- 5Y*
- 3.38%
- 10Y*
- 1.85%
GBP=X
- 1D
- 0.12%
- 1M
- 0.08%
- YTD
- 0.19%
- 6M
- 0.07%
- 1Y
- 0.08%
- 3Y*
- 0.04%
- 5Y*
- 0.03%
- 10Y*
- 0.01%
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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.
| CHFUSD=X | GBP=X | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.93 | 0.05 | +0.88 |
Sortino ratioReturn per unit of downside risk | 1.53 | 0.08 | +1.46 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.01 | +0.18 |
Calmar ratioReturn relative to maximum drawdown | 0.31 | 0.19 | +0.12 |
Martin ratioReturn relative to average drawdown | 0.83 | 0.41 | +0.41 |
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 | GBP=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.93 | 0.05 | +0.88 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.38 | 0.04 | +0.35 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.23 | 0.01 | +0.23 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.21 | 0.00 | +0.21 |
Correlation
The correlation between CHFUSD=X and GBP=X is 0.02, 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.
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% | -22.85% | -7.14% |
Max Drawdown (1Y)Largest decline over 1 year | -4.79% | -8.11% | +3.32% |
Max Drawdown (5Y)Largest decline over 5 years | -11.70% | -22.85% | +11.15% |
Max Drawdown (10Y)Largest decline over 10 years | -13.35% | -22.85% | +9.50% |
Current DrawdownCurrent decline from peak | -9.67% | -19.22% | +9.55% |
Average DrawdownAverage peak-to-trough decline | -18.55% | -10.98% | -7.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.80% | 2.48% | -0.68% |
Volatility
CHFUSD=X vs. GBP=X - Volatility Comparison
USD/CHF (CHFUSD=X) has a higher volatility of 1.99% compared to USD/GBP (GBP=X) at 0.30%. 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 | 1.99% | 0.30% | +1.69% |
Volatility (6M)Calculated over the trailing 6-month period | 5.29% | 0.66% | +4.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.12% | 1.30% | +7.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.92% | 0.84% | +7.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.38% | 1.37% | +6.01% |