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

CHFUSD=X vs. UUP

Last updated May 11, 2025

Compare and contrast key facts about USD/CHF (CHFUSD=X) and Invesco DB US Dollar Index Bullish Fund (UUP).

UUP is a passively managed fund by Invesco that tracks the performance of the Deutsche Bank Long US Dollar Index (USDX) Futures Index. It was launched on Feb 20, 2007.

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CHFUSD=X or UUP.

Correlation

The correlation between CHFUSD=X and UUP is -0.19. 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. 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.

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Key characteristics

Sharpe Ratio

CHFUSD=X:

0.85

UUP:

0.10

Sortino Ratio

CHFUSD=X:

1.59

UUP:

0.14

Omega Ratio

CHFUSD=X:

1.19

UUP:

1.02

Calmar Ratio

CHFUSD=X:

0.38

UUP:

0.05

Martin Ratio

CHFUSD=X:

1.83

UUP:

0.16

Ulcer Index

CHFUSD=X:

4.45%

UUP:

3.25%

Daily Std Dev

CHFUSD=X:

8.55%

UUP:

7.39%

Max Drawdown

CHFUSD=X:

-38.65%

UUP:

-22.19%

Current Drawdown

CHFUSD=X:

-13.10%

UUP:

-7.34%

Returns By Period

In the year-to-date period, CHFUSD=X achieves a 9.07% return, which is significantly higher than UUP's -5.98% return. Over the past 10 years, CHFUSD=X has underperformed UUP with an annualized return of 0.93%, while UUP has yielded a comparatively higher 2.67% annualized return.

CHFUSD=X

YTD

9.07%

1M

-0.98%

6M

5.26%

1Y

8.97%

5Y*

2.96%

10Y*

0.93%

UUP

YTD

-5.98%

1M

-0.14%

6M

-2.07%

1Y

0.59%

5Y*

2.73%

10Y*

2.67%

*Annualized

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Risk-Adjusted Performance

CHFUSD=X vs. UUP — 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 8686
Overall Rank
The Sharpe Ratio Rank of CHFUSD=X is 8787
Sharpe Ratio Rank
The Sortino Ratio Rank of CHFUSD=X is 8989
Sortino Ratio Rank
The Omega Ratio Rank of CHFUSD=X is 8686
Omega Ratio Rank
The Calmar Ratio Rank of CHFUSD=X is 8787
Calmar Ratio Rank
The Martin Ratio Rank of CHFUSD=X is 8080
Martin Ratio Rank
UUP
The Risk-Adjusted Performance Rank of UUP is 2121
Overall Rank
The Sharpe Ratio Rank of UUP is 2525
Sharpe Ratio Rank
The Sortino Ratio Rank of UUP is 1919
Sortino Ratio Rank
The Omega Ratio Rank of UUP is 1919
Omega Ratio Rank
The Calmar Ratio Rank of UUP is 2323
Calmar Ratio Rank
The Martin Ratio Rank of UUP is 2222
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. 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.

The current CHFUSD=X Sharpe Ratio is 0.85, which is higher than the UUP Sharpe Ratio of 0.10. 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.

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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.

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Volatility

CHFUSD=X vs. UUP - Volatility Comparison

USD/CHF (CHFUSD=X) and Invesco DB US Dollar Index Bullish Fund (UUP) have volatilities of 3.44% and 3.43%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

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