CHFUSD=X vs. GLD
Compare and contrast key facts about USD/CHF (CHFUSD=X) and SPDR Gold Trust (GLD).
GLD is a passively managed fund by State Street that tracks the performance of the Gold Bullion. It was launched on Nov 18, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CHFUSD=X or GLD.
Key characteristics
| CHFUSD=X | GLD | |
|---|---|---|
| YTD Return | -4.69% | 25.57% |
| 1Y Return | 2.10% | 32.98% |
| 3Y Return (Ann) | 1.32% | 11.27% |
| 5Y Return (Ann) | 2.14% | 11.66% |
| 10Y Return (Ann) | 0.79% | 7.71% |
| Sharpe Ratio | -0.56 | 2.29 |
| Sortino Ratio | -0.74 | 3.03 |
| Omega Ratio | 0.91 | 1.40 |
| Calmar Ratio | -0.17 | 4.89 |
| Martin Ratio | -0.89 | 14.85 |
| Ulcer Index | 4.10% | 2.27% |
| Daily Std Dev | 6.66% | 14.75% |
| Max Drawdown | -38.65% | -45.56% |
| Current Drawdown | -18.15% | -6.78% |
Correlation
The correlation between CHFUSD=X and GLD is 0.42, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
CHFUSD=X vs. GLD - Performance Comparison
In the year-to-date period, CHFUSD=X achieves a -4.69% return, which is significantly lower than GLD's 25.57% return. Over the past 10 years, CHFUSD=X has underperformed GLD with an annualized return of 0.79%, while GLD has yielded a comparatively higher 7.71% 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. GLD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/CHF (CHFUSD=X) and SPDR Gold Trust (GLD). 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. GLD - Drawdown Comparison
The maximum CHFUSD=X drawdown since its inception was -38.65%, smaller than the maximum GLD drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for CHFUSD=X and GLD. For additional features, visit the drawdowns tool.
Volatility
CHFUSD=X vs. GLD - Volatility Comparison
The current volatility for USD/CHF (CHFUSD=X) is 2.02%, while SPDR Gold Trust (GLD) has a volatility of 5.16%. This indicates that CHFUSD=X experiences smaller price fluctuations and is considered to be less risky than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.