FXF vs. BWZ
FXF (Invesco CurrencyShares® Swiss Franc Trust) and BWZ (SPDR Bloomberg Barclays Short Term International Treasury Bond ETF) are both exchange-traded funds - FXF is a Currency fund tracking the Swiss Franc, while BWZ is a International Government Bonds fund tracking the Bloomberg Global Treasury (1-3 Y) Customized. Both are passively managed. Over the past 10 years, FXF returned 0.94%/yr vs -0.60%/yr for BWZ. A 0.67 correlation means they provide meaningful diversification when combined. FXF charges 0.40%/yr vs 0.35%/yr for BWZ.
Performance
FXF vs. BWZ - Performance Comparison
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Returns By Period
In the year-to-date period, FXF achieves a -2.83% return, which is significantly lower than BWZ's -1.96% return. Over the past 10 years, FXF has outperformed BWZ with an annualized return of 0.94%, while BWZ has yielded a comparatively lower -0.60% annualized return.
FXF
- 1D
- -0.40%
- 1M
- -3.52%
- YTD
- -2.83%
- 6M
- -3.28%
- 1Y
- -1.53%
- 3Y*
- 3.01%
- 5Y*
- 1.88%
- 10Y*
- 0.94%
BWZ
- 1D
- 0.03%
- 1M
- -1.42%
- YTD
- -1.96%
- 6M
- -2.17%
- 1Y
- -2.50%
- 3Y*
- 2.04%
- 5Y*
- -1.94%
- 10Y*
- -0.60%
FXF vs. BWZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXF Invesco CurrencyShares® Swiss Franc Trust | -2.83% | 14.04% | -7.46% | 9.63% | -2.29% | -4.08% | 8.18% | 0.32% | -2.01% | 3.31% |
BWZ SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | -1.96% | 10.47% | -5.31% | 2.97% | -10.56% | -6.85% | 6.47% | 0.99% | -3.36% | 10.18% |
Correlation
The correlation between FXF and BWZ is 0.70, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.70 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.68 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.69 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.70 |
Correlation (All Time) Calculated using the full available price history since Jan 30, 2009 | 0.67 |
The correlation between FXF and BWZ has been stable across timeframes, ranging from 0.67 to 0.70 - a consistent structural relationship.
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Return for Risk
FXF vs. BWZ — Risk / Return Rank
FXF
BWZ
FXF vs. BWZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Swiss Franc Trust (FXF) and SPDR Bloomberg Barclays Short Term International Treasury Bond ETF (BWZ). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FXF | BWZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.16 | ||
| Sortino ratioReturn per unit of downside risk | +0.23 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 0.95 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | -0.24 | -0.49 | +0.25 |
| Martin ratioReturn relative to average drawdown | -0.62 | -1.03 | +0.40 |
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Drawdowns
FXF vs. BWZ - Drawdown Comparison
The maximum FXF drawdown since its inception was -35.58%, roughly equal to the maximum BWZ drawdown of -34.23%. Use the drawdown chart below to compare losses from any high point for FXF and BWZ.
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Drawdown Indicators
| FXF | BWZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.58% | -34.23% | -1.35% |
Max Drawdown (1Y)Largest decline over 1 year | -6.50% | -5.15% | -1.35% |
Max Drawdown (3Y)Largest decline over 3 years | -8.52% | -8.60% | +0.08% |
Max Drawdown (5Y)Largest decline over 5 years | -11.99% | -22.15% | +10.16% |
Max Drawdown (10Y)Largest decline over 10 years | -15.04% | -24.90% | +9.86% |
Current DrawdownCurrent decline from peak | -20.68% | -23.44% | +2.76% |
Average DrawdownAverage peak-to-trough decline | -20.83% | -16.12% | -4.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.45% | 2.44% | +0.01% |
Volatility
FXF vs. BWZ - Volatility Comparison
Invesco CurrencyShares® Swiss Franc Trust (FXF) has a higher volatility of 1.96% compared to SPDR Bloomberg Barclays Short Term International Treasury Bond ETF (BWZ) at 1.78%. This indicates that FXF's price experiences larger fluctuations and is considered to be riskier than BWZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXF | BWZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.96% | 1.78% | +0.18% |
Volatility (6M)Calculated over the trailing 6-month period | 5.66% | 5.10% | +0.56% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.44% | 6.85% | +0.59% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.32% | 7.60% | +0.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.57% | 6.94% | +0.63% |
FXF vs. BWZ - Expense Ratio Comparison
FXF has a 0.40% expense ratio, which is higher than BWZ's 0.35% expense ratio.
Dividends
FXF vs. BWZ - Dividend Comparison
FXF has not paid dividends to shareholders, while BWZ's dividend yield for the trailing twelve months is around 2.12%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BWZ SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | 2.12% | 2.05% | 2.47% | 1.63% | 0.44% | 0.60% | 0.13% | 0.43% | 1.10% | 0.40% | 0.13% | 0.06% |
FXF Invesco CurrencyShares® Swiss Franc Trust | 0.00% | 0.00% | 0.03% | 0.02% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
FXF and BWZ have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXF has higher volatility (1.96%) compared to BWZ (1.78%). In terms of maximum drawdown, FXF dropped -35.58% vs BWZ's -34.23%.
On 10-year performance, FXF leads with 0.94% vs -0.60% for BWZ. On fees, BWZ is cheaper at 0.35% per year. On volatility, BWZ has been the lower-risk option at 1.78%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FXF has performed better with a 0.94% return vs -0.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
BWZ is cheaper with a 0.35% expense ratio, compared with 0.40% for FXF.
BWZ has the higher dividend yield at 2.12%, compared with 0.00% for FXF.
FXF is categorized as Currency, while BWZ is International Government Bonds. FXF tracks Swiss Franc, while BWZ tracks Bloomberg Global Treasury (1-3 Y) Customized. They also come from different issuers: Invesco and State Street. Their fees differ too: 0.40% for FXF and 0.35% for BWZ.
FXF currently has the higher Sharpe Ratio (-0.21 vs -0.37), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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