FXF vs. CHFUSD=X
FXF (Invesco CurrencyShares® Swiss Franc Trust) is Currency fund tracking the Swiss Franc, while CHFUSD=X (USD/CHF) is a currency. Over the past 10 years, FXF returned 0.98%/yr vs 1.84%/yr for CHFUSD=X. Their correlation of 0.95 suggests significant overlap in exposure.
Performance
FXF vs. CHFUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, FXF achieves a -2.44% return, which is significantly lower than CHFUSD=X's -2.14% return. Over the past 10 years, FXF has underperformed CHFUSD=X with an annualized return of 0.98%, while CHFUSD=X has yielded a comparatively higher 1.84% annualized return.
FXF
- 1D
- -0.13%
- 1M
- -3.13%
- YTD
- -2.44%
- 6M
- -2.94%
- 1Y
- -0.35%
- 3Y*
- 3.15%
- 5Y*
- 2.00%
- 10Y*
- 0.98%
CHFUSD=X
- 1D
- -0.17%
- 1M
- -3.44%
- YTD
- -2.14%
- 6M
- -2.76%
- 1Y
- 0.59%
- 3Y*
- 3.46%
- 5Y*
- 2.54%
- 10Y*
- 1.84%
FXF vs. CHFUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXF Invesco CurrencyShares® Swiss Franc Trust | -2.44% | 14.04% | -7.46% | 9.63% | -2.29% | -4.08% | 8.18% | 0.32% | -2.01% | 3.31% |
CHFUSD=X USD/CHF | -2.14% | 14.56% | -7.30% | 9.83% | -1.34% | -2.97% | 9.43% | 1.71% | -1.05% | 4.56% |
Correlation
The correlation between FXF and CHFUSD=X is 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.89 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.90 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.93 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.94 |
Correlation (All Time) Calculated using the full available price history since Sep 19, 2007 | 0.95 |
The correlation between FXF and CHFUSD=X has been stable across timeframes, ranging from 0.89 to 0.95 - a consistent structural relationship.
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Return for Risk
FXF vs. CHFUSD=X — Risk / Return Rank
FXF
CHFUSD=X
FXF vs. CHFUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Swiss Franc Trust (FXF) and USD/CHF (CHFUSD=X). 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 | CHFUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.12 | ||
| Sortino ratioReturn per unit of downside risk | -0.17 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.02 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | -0.06 | 0.08 | -0.14 |
| Martin ratioReturn relative to average drawdown | -0.14 | 0.20 | -0.35 |
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Drawdowns
FXF vs. CHFUSD=X - Drawdown Comparison
The maximum FXF drawdown since its inception was -35.58%, which is greater than CHFUSD=X's maximum drawdown of -29.99%. Use the drawdown chart below to compare losses from any high point for FXF and CHFUSD=X.
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Drawdown Indicators
| FXF | CHFUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.58% | -29.99% | -5.59% |
Max Drawdown (1Y)Largest decline over 1 year | -6.12% | -6.00% | -0.12% |
Max Drawdown (3Y)Largest decline over 3 years | -8.52% | -8.69% | +0.17% |
Max Drawdown (5Y)Largest decline over 5 years | -11.99% | -10.75% | -1.24% |
Max Drawdown (10Y)Largest decline over 10 years | -15.04% | -13.35% | -1.69% |
Current DrawdownCurrent decline from peak | -20.36% | -10.94% | -9.42% |
Average DrawdownAverage peak-to-trough decline | -20.83% | -18.66% | -2.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.41% | 2.53% | -0.12% |
Volatility
FXF vs. CHFUSD=X - Volatility Comparison
Invesco CurrencyShares® Swiss Franc Trust (FXF) has a higher volatility of 1.97% compared to USD/CHF (CHFUSD=X) at 1.77%. This indicates that FXF's price experiences larger fluctuations and is considered to be riskier than CHFUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXF | CHFUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.97% | 1.77% | +0.20% |
Volatility (6M)Calculated over the trailing 6-month period | 5.65% | 5.03% | +0.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.48% | 7.00% | +0.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.32% | 7.91% | +0.41% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.57% | 7.35% | +0.22% |
Frequently Asked Questions
FXF and CHFUSD=X have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXF has higher volatility (1.97%) compared to CHFUSD=X (1.77%). In terms of maximum drawdown, FXF dropped -35.58% vs CHFUSD=X's -29.99%.
CHFUSD=X currently has the higher Sharpe Ratio (0.07 vs -0.05), 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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