PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CHFUSD=X vs. IDEV
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

CHFUSD=X vs. IDEV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/CHF (CHFUSD=X) and iShares Core MSCI International Developed Markets ETF (IDEV). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.33%
-0.50%
CHFUSD=X
IDEV

Returns By Period

In the year-to-date period, CHFUSD=X achieves a -5.85% return, which is significantly lower than IDEV's 6.36% return.


CHFUSD=X

YTD

-5.85%

1M

-3.09%

6M

2.32%

1Y

-1.09%

5Y (annualized)

2.08%

10Y (annualized)

0.72%

IDEV

YTD

6.36%

1M

-1.81%

6M

-0.50%

1Y

13.11%

5Y (annualized)

6.11%

10Y (annualized)

N/A

Key characteristics


CHFUSD=XIDEV
Sharpe Ratio-0.431.04
Sortino Ratio-0.561.49
Omega Ratio0.931.18
Calmar Ratio-0.131.67
Martin Ratio-0.754.94
Ulcer Index3.76%2.65%
Daily Std Dev6.62%12.64%
Max Drawdown-38.65%-34.77%
Current Drawdown-19.15%-6.79%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Correlation

-0.50.00.51.00.3

The correlation between CHFUSD=X and IDEV is 0.25, 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.

Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for USD/CHF (CHFUSD=X) and iShares Core MSCI International Developed Markets ETF (IDEV). 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 -0.43, compared to the broader market-1.00-0.500.000.501.001.50-0.430.74
The chart of Sortino ratio for CHFUSD=X, currently valued at -0.56, compared to the broader market0.0050.00100.00150.00200.00250.00-0.561.09
The chart of Omega ratio for CHFUSD=X, currently valued at 0.93, compared to the broader market10.0020.0030.0040.0050.0060.000.931.14
The chart of Calmar ratio for CHFUSD=X, currently valued at -0.33, compared to the broader market0.00100.00200.00300.00400.00500.00-0.331.13
The chart of Martin ratio for CHFUSD=X, currently valued at -0.75, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.753.10
CHFUSD=X
IDEV

The current CHFUSD=X Sharpe Ratio is -0.43, which is lower than the IDEV Sharpe Ratio of 1.04. The chart below compares the historical Sharpe Ratios of CHFUSD=X and IDEV, 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-1.00-0.500.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
-0.43
0.74
CHFUSD=X
IDEV

Drawdowns

CHFUSD=X vs. IDEV - Drawdown Comparison

The maximum CHFUSD=X drawdown since its inception was -38.65%, which is greater than IDEV's maximum drawdown of -34.77%. Use the drawdown chart below to compare losses from any high point for CHFUSD=X and IDEV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.98%
-6.79%
CHFUSD=X
IDEV

Volatility

CHFUSD=X vs. IDEV - Volatility Comparison

The current volatility for USD/CHF (CHFUSD=X) is 2.29%, while iShares Core MSCI International Developed Markets ETF (IDEV) has a volatility of 3.37%. This indicates that CHFUSD=X experiences smaller price fluctuations and is considered to be less risky than IDEV 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
2.29%
3.37%
CHFUSD=X
IDEV