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CHFUSD=X vs. GLD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

CHFUSD=X vs. GLD - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
3.67%
11.13%
CHFUSD=X
GLD

Returns By Period

In the year-to-date period, CHFUSD=X achieves a -4.71% return, which is significantly lower than GLD's 27.96% return. Over the past 10 years, CHFUSD=X has underperformed GLD with an annualized return of 0.89%, while GLD has yielded a comparatively higher 7.82% annualized return.


CHFUSD=X

YTD

-4.71%

1M

-1.95%

6M

3.67%

1Y

0.03%

5Y (annualized)

2.32%

10Y (annualized)

0.89%

GLD

YTD

27.96%

1M

-2.63%

6M

11.14%

1Y

31.98%

5Y (annualized)

12.21%

10Y (annualized)

7.82%

Key characteristics


CHFUSD=XGLD
Sharpe Ratio-0.262.25
Sortino Ratio-0.332.99
Omega Ratio0.961.39
Calmar Ratio-0.084.11
Martin Ratio-0.4613.32
Ulcer Index3.74%2.51%
Daily Std Dev6.57%14.87%
Max Drawdown-38.65%-45.56%
Current Drawdown-18.17%-5.00%

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Correlation

-0.50.00.51.00.4

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.

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.


Sharpe ratio
The chart of Sharpe ratio for CHFUSD=X, currently valued at -0.26, compared to the broader market-1.00-0.500.000.501.001.50-0.262.20
The chart of Sortino ratio for CHFUSD=X, currently valued at -0.33, compared to the broader market0.0050.00100.00150.00200.00250.00-0.332.96
The chart of Omega ratio for CHFUSD=X, currently valued at 0.96, compared to the broader market10.0020.0030.0040.0050.0060.000.961.43
The chart of Calmar ratio for CHFUSD=X, currently valued at -0.08, compared to the broader market0.00100.00200.00300.00400.00500.00-0.083.76
The chart of Martin ratio for CHFUSD=X, currently valued at -0.46, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.4612.39
CHFUSD=X
GLD

The current CHFUSD=X Sharpe Ratio is -0.26, which is lower than the GLD Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of CHFUSD=X and GLD, 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 Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.26
2.20
CHFUSD=X
GLD

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.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-18.17%
-5.00%
CHFUSD=X
GLD

Volatility

CHFUSD=X vs. GLD - Volatility Comparison

The current volatility for USD/CHF (CHFUSD=X) is 2.23%, while SPDR Gold Trust (GLD) has a volatility of 5.45%. 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.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.23%
5.45%
CHFUSD=X
GLD