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

Performance

CHFUSD=X vs. VT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/CHF (CHFUSD=X) and Vanguard Total World Stock ETF (VT). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.32%
8.61%
CHFUSD=X
VT

Returns By Period

In the year-to-date period, CHFUSD=X achieves a -5.85% return, which is significantly lower than VT's 18.69% return. Over the past 10 years, CHFUSD=X has underperformed VT with an annualized return of 0.72%, while VT has yielded a comparatively higher 9.29% annualized return.


CHFUSD=X

YTD

-5.85%

1M

-3.09%

6M

2.32%

1Y

-1.09%

5Y (annualized)

2.08%

10Y (annualized)

0.72%

VT

YTD

18.69%

1M

1.66%

6M

8.61%

1Y

25.50%

5Y (annualized)

11.28%

10Y (annualized)

9.29%

Key characteristics


CHFUSD=XVT
Sharpe Ratio-0.432.19
Sortino Ratio-0.562.99
Omega Ratio0.931.39
Calmar Ratio-0.133.14
Martin Ratio-0.7514.01
Ulcer Index3.76%1.82%
Daily Std Dev6.62%11.63%
Max Drawdown-38.65%-50.27%
Current Drawdown-19.15%-0.95%

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Correlation

-0.50.00.51.00.2

The correlation between CHFUSD=X and VT is 0.16, 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. VT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/CHF (CHFUSD=X) and Vanguard Total World Stock ETF (VT). 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-1.00-0.500.000.501.001.50-0.431.75
The chart of Sortino ratio for CHFUSD=X, currently valued at -0.56, compared to the broader market0.0050.00100.00150.00200.00250.00-0.562.44
The chart of Omega ratio for CHFUSD=X, currently valued at 0.93, compared to the broader market10.0020.0030.0040.0050.0060.000.931.35
The chart of Calmar ratio for CHFUSD=X, currently valued at -0.13, compared to the broader market0.00100.00200.00300.00400.00500.00-0.132.36
The chart of Martin ratio for CHFUSD=X, currently valued at -0.75, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.759.91
CHFUSD=X
VT

The current CHFUSD=X Sharpe Ratio is -0.43, which is lower than the VT Sharpe Ratio of 2.19. The chart below compares the historical Sharpe Ratios of CHFUSD=X and VT, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.43
1.75
CHFUSD=X
VT

Drawdowns

CHFUSD=X vs. VT - Drawdown Comparison

The maximum CHFUSD=X drawdown since its inception was -38.65%, smaller than the maximum VT drawdown of -50.27%. Use the drawdown chart below to compare losses from any high point for CHFUSD=X and VT. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-19.15%
-0.95%
CHFUSD=X
VT

Volatility

CHFUSD=X vs. VT - Volatility Comparison

The current volatility for USD/CHF (CHFUSD=X) is 2.29%, while Vanguard Total World Stock ETF (VT) has a volatility of 3.16%. This indicates that CHFUSD=X experiences smaller price fluctuations and is considered to be less risky than VT 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%
3.16%
CHFUSD=X
VT