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

Correlation

The correlation between CHFUSD=X and GOLD is 0.24, 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. GOLD - Performance Comparison

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

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
-0.82%
-9.76%
CHFUSD=X
GOLD

Key characteristics

Sharpe Ratio

CHFUSD=X:

-0.33

GOLD:

-0.43

Sortino Ratio

CHFUSD=X:

-0.42

GOLD:

-0.39

Omega Ratio

CHFUSD=X:

0.95

GOLD:

0.95

Calmar Ratio

CHFUSD=X:

-0.10

GOLD:

-0.21

Martin Ratio

CHFUSD=X:

-0.73

GOLD:

-1.25

Ulcer Index

CHFUSD=X:

2.91%

GOLD:

11.41%

Daily Std Dev

CHFUSD=X:

6.66%

GOLD:

33.60%

Max Drawdown

CHFUSD=X:

-38.65%

GOLD:

-88.52%

Current Drawdown

CHFUSD=X:

-19.57%

GOLD:

-65.25%

Returns By Period

In the year-to-date period, CHFUSD=X achieves a -6.34% return, which is significantly higher than GOLD's -14.31% return. Over the past 10 years, CHFUSD=X has underperformed GOLD with an annualized return of 0.87%, while GOLD has yielded a comparatively higher 5.83% annualized return.


CHFUSD=X

YTD

-6.34%

1M

-1.82%

6M

-0.82%

1Y

-4.00%

5Y*

1.70%

10Y*

0.87%

GOLD

YTD

-14.31%

1M

-14.05%

6M

-9.76%

1Y

-12.76%

5Y*

-0.16%

10Y*

5.83%

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Risk-Adjusted Performance

CHFUSD=X vs. GOLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/CHF (CHFUSD=X) and Barrick Gold Corporation (GOLD). 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 -0.33, compared to the broader market0.002.004.006.008.0010.00-0.330.17
The chart of Sortino ratio for CHFUSD=X, currently valued at -0.42, compared to the broader market0.0010.0020.0030.0040.00-0.420.45
The chart of Omega ratio for CHFUSD=X, currently valued at 0.95, compared to the broader market2.004.006.008.0010.000.951.06
The chart of Calmar ratio for CHFUSD=X, currently valued at -0.10, compared to the broader market0.0020.0040.0060.0080.00-0.100.08
The chart of Martin ratio for CHFUSD=X, currently valued at -0.73, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.730.58
CHFUSD=X
GOLD

The current CHFUSD=X Sharpe Ratio is -0.33, which is comparable to the GOLD Sharpe Ratio of -0.43. The chart below compares the historical Sharpe Ratios of CHFUSD=X and GOLD, 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-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.33
0.17
CHFUSD=X
GOLD

Drawdowns

CHFUSD=X vs. GOLD - Drawdown Comparison

The maximum CHFUSD=X drawdown since its inception was -38.65%, smaller than the maximum GOLD drawdown of -88.52%. Use the drawdown chart below to compare losses from any high point for CHFUSD=X and GOLD. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-19.57%
-65.25%
CHFUSD=X
GOLD

Volatility

CHFUSD=X vs. GOLD - Volatility Comparison

The current volatility for USD/CHF (CHFUSD=X) is 1.83%, while Barrick Gold Corporation (GOLD) has a volatility of 8.12%. This indicates that CHFUSD=X experiences smaller price fluctuations and is considered to be less risky than GOLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
1.83%
8.12%
CHFUSD=X
GOLD
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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.

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