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 1.94%/yr vs -0.01%/yr for GBP=X. At a 0.02 correlation, their price movements are largely independent.
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 -0.51% return, which is significantly lower than GBP=X's 0.06% return. Over the past 10 years, CHFUSD=X has outperformed GBP=X with an annualized return of 1.94%, while GBP=X has yielded a comparatively lower -0.01% annualized return.
CHFUSD=X
- 1D
- -0.92%
- 1M
- -2.25%
- YTD
- -0.51%
- 6M
- 1.01%
- 1Y
- 3.07%
- 3Y*
- 4.46%
- 5Y*
- 2.45%
- 10Y*
- 1.94%
GBP=X
- 1D
- -0.07%
- 1M
- -0.07%
- YTD
- 0.06%
- 6M
- -0.07%
- 1Y
- -0.04%
- 3Y*
- -0.03%
- 5Y*
- -0.00%
- 10Y*
- -0.01%
CHFUSD=X vs. GBP=X - Yearly Performance Comparison
Correlation
The correlation between CHFUSD=X and GBP=X is -0.00, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.00 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.00 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since Aug 30, 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.
| CHFUSD=X | GBP=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.38 | ||
| Sortino ratioReturn per unit of downside risk | +0.62 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 0.99 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 0.50 | -0.06 | +0.55 |
| Martin ratioReturn relative to average drawdown | 1.18 | -0.11 | +1.29 |
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 | 0.35 | -0.03 | +0.38 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.28 | -0.00 | +0.28 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.25 | -0.01 | +0.25 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.20 | 0.00 | +0.20 |
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 | -4.95% | -0.54% | -4.41% |
Max Drawdown (3Y)Largest decline over 3 years | -8.69% | -0.81% | -7.88% |
Max Drawdown (5Y)Largest decline over 5 years | -11.70% | -0.81% | -10.89% |
Max Drawdown (10Y)Largest decline over 10 years | -13.35% | -1.88% | -11.47% |
Current DrawdownCurrent decline from peak | -9.45% | -1.63% | -7.82% |
Average DrawdownAverage peak-to-trough decline | -18.63% | -1.14% | -17.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.23% | 0.28% | +1.95% |
Volatility
CHFUSD=X vs. GBP=X - Volatility Comparison
USD/CHF (CHFUSD=X) has a higher volatility of 1.71% compared to USD/GBP (GBP=X) at 0.20%. 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 | 1.71% | 0.20% | +1.51% |
Volatility (6M)Calculated over the trailing 6-month period | 5.68% | 0.60% | +5.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.04% | 0.97% | +6.07% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.93% | 0.84% | +7.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.36% | 1.36% | +6.00% |
Frequently Asked Questions
CHFUSD=X and GBP=X have a correlation of -0.00, 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 (1.71%) compared to GBP=X (0.20%). In terms of maximum drawdown, CHFUSD=X dropped -29.99% vs GBP=X's -3.56%.
CHFUSD=X currently has the higher Sharpe Ratio (0.35 vs -0.03), 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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