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

Key characteristics


FXFGLD
YTD Return-5.97%12.35%
1Y Return0.22%20.53%
3Y Return (Ann)0.27%9.01%
5Y Return (Ann)0.92%9.90%
10Y Return (Ann)-0.94%5.43%
Sharpe Ratio-0.031.48
Daily Std Dev6.96%13.28%
Max Drawdown-35.49%-45.56%
Current Drawdown-27.17%-4.36%

Correlation

-0.50.00.51.00.4

The correlation between FXF and GLD is 0.43, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

FXF vs. GLD - Performance Comparison

In the year-to-date period, FXF achieves a -5.97% return, which is significantly lower than GLD's 12.35% return. Over the past 10 years, FXF has underperformed GLD with an annualized return of -0.94%, while GLD has yielded a comparatively higher 5.43% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


50.00%100.00%150.00%200.00%250.00%300.00%2024FebruaryMarchAprilMayJune
27.30%
268.53%
FXF
GLD

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Invesco CurrencyShares® Swiss Franc Trust

SPDR Gold Trust

FXF vs. GLD - Expense Ratio Comparison

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


FXF
Invesco CurrencyShares® Swiss Franc Trust
Expense ratio chart for FXF: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

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.


FXF
Sharpe ratio
The chart of Sharpe ratio for FXF, currently valued at -0.03, compared to the broader market0.002.004.006.00-0.03
Sortino ratio
The chart of Sortino ratio for FXF, currently valued at 0.01, compared to the broader market0.005.0010.000.01
Omega ratio
The chart of Omega ratio for FXF, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.003.501.00
Calmar ratio
The chart of Calmar ratio for FXF, currently valued at -0.01, compared to the broader market0.005.0010.0015.0020.00-0.01
Martin ratio
The chart of Martin ratio for FXF, currently valued at -0.05, compared to the broader market0.0020.0040.0060.0080.00100.00-0.05
GLD
Sharpe ratio
The chart of Sharpe ratio for GLD, currently valued at 1.48, compared to the broader market0.002.004.006.001.48
Sortino ratio
The chart of Sortino ratio for GLD, currently valued at 2.12, compared to the broader market0.005.0010.002.12
Omega ratio
The chart of Omega ratio for GLD, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.003.501.27
Calmar ratio
The chart of Calmar ratio for GLD, currently valued at 1.52, compared to the broader market0.005.0010.0015.0020.001.52
Martin ratio
The chart of Martin ratio for GLD, currently valued at 7.20, compared to the broader market0.0020.0040.0060.0080.00100.007.20

FXF vs. GLD - Sharpe Ratio Comparison

The current FXF Sharpe Ratio is -0.03, which is lower than the GLD Sharpe Ratio of 1.48. The chart below compares the 12-month rolling Sharpe Ratio of FXF and GLD.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002024FebruaryMarchAprilMayJune
-0.03
1.48
FXF
GLD

Dividends

FXF vs. GLD - Dividend Comparison

FXF's dividend yield for the trailing twelve months is around 0.05%, while GLD has not paid dividends to shareholders.


TTM2023202220212020201920182017201620152014
FXF
Invesco CurrencyShares® Swiss Franc Trust
0.05%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%

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.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%2024FebruaryMarchAprilMayJune
-27.17%
-4.36%
FXF
GLD

Volatility

FXF vs. GLD - Volatility Comparison

The current volatility for Invesco CurrencyShares® Swiss Franc Trust (FXF) is 2.24%, while SPDR Gold Trust (GLD) has a volatility of 5.92%. 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.


1.00%2.00%3.00%4.00%5.00%6.00%2024FebruaryMarchAprilMayJune
2.24%
5.92%
FXF
GLD