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

CHFUSD=X vs. SPY

Last updated May 10, 2025

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.

Correlation

The correlation between CHFUSD=X and SPY is -0.08. 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

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/CHF (CHFUSD=X) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

CHFUSD=X:

0.85

SPY:

0.50

Sortino Ratio

CHFUSD=X:

1.59

SPY:

0.88

Omega Ratio

CHFUSD=X:

1.19

SPY:

1.13

Calmar Ratio

CHFUSD=X:

0.38

SPY:

0.56

Martin Ratio

CHFUSD=X:

1.83

SPY:

2.17

Ulcer Index

CHFUSD=X:

4.45%

SPY:

4.85%

Daily Std Dev

CHFUSD=X:

8.55%

SPY:

20.02%

Max Drawdown

CHFUSD=X:

-38.65%

SPY:

-55.19%

Current Drawdown

CHFUSD=X:

-13.10%

SPY:

-7.65%

Returns By Period

In the year-to-date period, CHFUSD=X achieves a 9.07% return, which is significantly higher than SPY's -3.42% return. Over the past 10 years, CHFUSD=X has underperformed SPY with an annualized return of 1.06%, while SPY has yielded a comparatively higher 12.35% annualized return.

CHFUSD=X

YTD

9.07%

1M

3.18%

6M

5.26%

1Y

8.91%

5Y*

2.91%

10Y*

1.06%

SPY

YTD

-3.42%

1M

2.87%

6M

-5.06%

1Y

9.87%

5Y*

15.76%

10Y*

12.35%

*Annualized

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Risk-Adjusted Performance

CHFUSD=X vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
CHFUSD=X
The Risk-Adjusted Performance Rank of CHFUSD=X is 8585
Overall Rank
The Sharpe Ratio Rank of CHFUSD=X is 8585
Sharpe Ratio Rank
The Sortino Ratio Rank of CHFUSD=X is 8989
Sortino Ratio Rank
The Omega Ratio Rank of CHFUSD=X is 8484
Omega Ratio Rank
The Calmar Ratio Rank of CHFUSD=X is 8787
Calmar Ratio Rank
The Martin Ratio Rank of CHFUSD=X is 8282
Martin Ratio Rank
SPY
The Risk-Adjusted Performance Rank of SPY is 6262
Overall Rank
The Sharpe Ratio Rank of SPY is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6161
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6464
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6666
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6464
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.

The current CHFUSD=X Sharpe Ratio is 0.85, which is higher than the SPY Sharpe Ratio of 0.50. The chart below compares the historical Sharpe Ratios of CHFUSD=X and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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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.

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Volatility

CHFUSD=X vs. SPY - Volatility Comparison

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