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FXF vs. GLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FXF and GLD is 0.03, 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.


Performance

FXF vs. GLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco CurrencyShares® Swiss Franc Trust (FXF) and SPDR Gold Trust (GLD). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FXF:

0.95

GLD:

2.39

Sortino Ratio

FXF:

1.70

GLD:

3.30

Omega Ratio

FXF:

1.19

GLD:

1.42

Calmar Ratio

FXF:

0.31

GLD:

5.33

Martin Ratio

FXF:

2.24

GLD:

14.20

Ulcer Index

FXF:

4.08%

GLD:

3.05%

Daily Std Dev

FXF:

9.32%

GLD:

17.51%

Max Drawdown

FXF:

-35.49%

GLD:

-45.56%

Current Drawdown

FXF:

-21.75%

GLD:

-2.77%

Returns By Period

In the year-to-date period, FXF achieves a 9.17% return, which is significantly lower than GLD's 26.73% return. Over the past 10 years, FXF has underperformed GLD with an annualized return of 0.08%, while GLD has yielded a comparatively higher 10.19% annualized return.


FXF

YTD

9.17%

1M

-0.77%

6M

5.22%

1Y

8.84%

5Y*

2.52%

10Y*

0.08%

GLD

YTD

26.73%

1M

4.96%

6M

23.75%

1Y

40.30%

5Y*

14.04%

10Y*

10.19%

*Annualized

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FXF vs. GLD - Expense Ratio Comparison

Both FXF and GLD have an expense ratio of 0.40%.


Risk-Adjusted Performance

FXF vs. GLD — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FXF
The Risk-Adjusted Performance Rank of FXF is 7272
Overall Rank
The Sharpe Ratio Rank of FXF is 8181
Sharpe Ratio Rank
The Sortino Ratio Rank of FXF is 8787
Sortino Ratio Rank
The Omega Ratio Rank of FXF is 8181
Omega Ratio Rank
The Calmar Ratio Rank of FXF is 4747
Calmar Ratio Rank
The Martin Ratio Rank of FXF is 6666
Martin Ratio Rank

GLD
The Risk-Adjusted Performance Rank of GLD is 9696
Overall Rank
The Sharpe Ratio Rank of GLD is 9696
Sharpe Ratio Rank
The Sortino Ratio Rank of GLD is 9696
Sortino Ratio Rank
The Omega Ratio Rank of GLD is 9595
Omega Ratio Rank
The Calmar Ratio Rank of GLD is 9898
Calmar Ratio Rank
The Martin Ratio Rank of GLD is 9696
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.

FXF vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Swiss Franc Trust (FXF) and SPDR Gold Trust (GLD). 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 FXF Sharpe Ratio is 0.95, which is lower than the GLD Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of FXF and GLD, 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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Dividends

FXF vs. GLD - Dividend Comparison

Neither FXF nor GLD has paid dividends to shareholders.


TTM20242023202220212020201920182017201620152014
FXF
Invesco CurrencyShares® Swiss Franc Trust
0.00%0.03%0.02%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.15%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FXF vs. GLD - Drawdown Comparison

The maximum FXF drawdown since its inception was -35.49%, smaller than the maximum GLD drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for FXF and GLD. For additional features, visit the drawdowns tool.


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Volatility

FXF vs. GLD - Volatility Comparison

The current volatility for Invesco CurrencyShares® Swiss Franc Trust (FXF) is 5.36%, while SPDR Gold Trust (GLD) has a volatility of 8.54%. This indicates that FXF experiences smaller price fluctuations and is considered to be less risky than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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