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

Correlation

The correlation between CHFUSD=X and UUP is -0.76. 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.


-0.50.00.51.0-0.8

Performance

CHFUSD=X vs. UUP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/CHF (CHFUSD=X) and Invesco DB US Dollar Index Bullish Fund (UUP). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
0.09%
5.03%
CHFUSD=X
UUP

Key characteristics

Sharpe Ratio

CHFUSD=X:

-0.23

UUP:

1.99

Sortino Ratio

CHFUSD=X:

-0.28

UUP:

3.04

Omega Ratio

CHFUSD=X:

0.97

UUP:

1.37

Calmar Ratio

CHFUSD=X:

-0.07

UUP:

2.07

Martin Ratio

CHFUSD=X:

-0.52

UUP:

7.84

Ulcer Index

CHFUSD=X:

2.90%

UUP:

1.50%

Daily Std Dev

CHFUSD=X:

6.69%

UUP:

5.92%

Max Drawdown

CHFUSD=X:

-38.65%

UUP:

-22.19%

Current Drawdown

CHFUSD=X:

-19.07%

UUP:

-0.28%

Returns By Period

In the year-to-date period, CHFUSD=X achieves a -5.76% return, which is significantly lower than UUP's 12.83% return. Over the past 10 years, CHFUSD=X has underperformed UUP with an annualized return of 0.97%, while UUP has yielded a comparatively higher 3.60% annualized return.


CHFUSD=X

YTD

-5.76%

1M

-1.00%

6M

0.09%

1Y

-4.12%

5Y*

1.81%

10Y*

0.97%

UUP

YTD

12.83%

1M

2.16%

6M

5.29%

1Y

11.80%

5Y*

4.55%

10Y*

3.60%

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for USD/CHF (CHFUSD=X) and Invesco DB US Dollar Index Bullish Fund (UUP). 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 -0.23, compared to the broader market0.002.004.006.008.0010.00-0.231.66
The chart of Sortino ratio for CHFUSD=X, currently valued at -0.28, compared to the broader market0.0010.0020.0030.0040.00-0.282.51
The chart of Omega ratio for CHFUSD=X, currently valued at 0.97, compared to the broader market2.004.006.008.0010.000.971.34
The chart of Calmar ratio for CHFUSD=X, currently valued at -0.07, compared to the broader market0.0020.0040.0060.0080.00-0.072.14
The chart of Martin ratio for CHFUSD=X, currently valued at -0.52, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-0.525.61
CHFUSD=X
UUP

The current CHFUSD=X Sharpe Ratio is -0.23, which is lower than the UUP Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of CHFUSD=X and UUP, 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-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.23
1.66
CHFUSD=X
UUP

Drawdowns

CHFUSD=X vs. UUP - Drawdown Comparison

The maximum CHFUSD=X drawdown since its inception was -38.65%, which is greater than UUP's maximum drawdown of -22.19%. Use the drawdown chart below to compare losses from any high point for CHFUSD=X and UUP. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-19.07%
-0.28%
CHFUSD=X
UUP

Volatility

CHFUSD=X vs. UUP - Volatility Comparison

USD/CHF (CHFUSD=X) has a higher volatility of 1.96% compared to Invesco DB US Dollar Index Bullish Fund (UUP) at 1.83%. This indicates that CHFUSD=X's price experiences larger fluctuations and is considered to be riskier than UUP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%JulyAugustSeptemberOctoberNovemberDecember
1.96%
1.83%
CHFUSD=X
UUP
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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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