CHFUSD=X vs. SPY
Compare and contrast key facts about USD/CHF (CHFUSD=X) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CHFUSD=X or SPY.
Key characteristics
| CHFUSD=X | SPY | |
|---|---|---|
| YTD Return | -3.59% | 26.49% |
| 1Y Return | 3.01% | 38.06% |
| 3Y Return (Ann) | 1.40% | 9.93% |
| 5Y Return (Ann) | 2.54% | 15.84% |
| 10Y Return (Ann) | 0.99% | 13.32% |
| Sharpe Ratio | -0.40 | 3.11 |
| Sortino Ratio | -0.51 | 4.14 |
| Omega Ratio | 0.94 | 1.58 |
| Calmar Ratio | -0.12 | 4.54 |
| Martin Ratio | -0.59 | 20.57 |
| Ulcer Index | 4.40% | 1.86% |
| Daily Std Dev | 6.65% | 12.29% |
| Max Drawdown | -38.65% | -55.19% |
| Current Drawdown | -17.20% | 0.00% |
Correlation
The correlation between CHFUSD=X and SPY is -0.07. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
CHFUSD=X vs. SPY - Performance Comparison
In the year-to-date period, CHFUSD=X achieves a -3.59% return, which is significantly lower than SPY's 26.49% return. Over the past 10 years, CHFUSD=X has underperformed SPY with an annualized return of 0.99%, while SPY has yielded a comparatively higher 13.32% 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. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/CHF (CHFUSD=X) and SPDR S&P 500 ETF (SPY). 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. SPY - Drawdown Comparison
The maximum CHFUSD=X drawdown since its inception was -38.65%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CHFUSD=X and SPY. For additional features, visit the drawdowns tool.
Volatility
CHFUSD=X vs. SPY - Volatility Comparison
The current volatility for USD/CHF (CHFUSD=X) is 2.00%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.74%. This indicates that CHFUSD=X experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.