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

Key characteristics


FXFSPY
YTD Return-5.98%15.29%
1Y Return-0.01%26.49%
3Y Return (Ann)0.26%10.42%
5Y Return (Ann)0.94%14.94%
10Y Return (Ann)-0.93%12.85%
Sharpe Ratio-0.032.40
Daily Std Dev6.96%11.21%
Max Drawdown-35.49%-55.19%
Current Drawdown-27.17%-0.41%

Correlation

-0.50.00.51.00.0

The correlation between FXF and SPY is 0.04, 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. SPY - Performance Comparison

In the year-to-date period, FXF achieves a -5.98% return, which is significantly lower than SPY's 15.29% return. Over the past 10 years, FXF has underperformed SPY with an annualized return of -0.93%, while SPY has yielded a comparatively higher 12.85% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%100.00%200.00%300.00%400.00%500.00%2024FebruaryMarchAprilMayJune
27.30%
514.60%
FXF
SPY

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Invesco CurrencyShares® Swiss Franc Trust

SPDR S&P 500 ETF

FXF vs. SPY - Expense Ratio Comparison

FXF has a 0.40% expense ratio, which is higher than SPY's 0.09% expense ratio.


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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

FXF vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Swiss Franc Trust (FXF) and SPDR S&P 500 ETF (SPY). 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 0.00, compared to the broader market0.005.0010.000.00
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
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.40, compared to the broader market0.002.004.006.002.40
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.38, compared to the broader market0.005.0010.003.38
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.003.501.43
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 2.31, compared to the broader market0.005.0010.0015.0020.002.31
Martin ratio
The chart of Martin ratio for SPY, currently valued at 9.33, compared to the broader market0.0020.0040.0060.0080.00100.009.33

FXF vs. SPY - Sharpe Ratio Comparison

The current FXF Sharpe Ratio is -0.03, which is lower than the SPY Sharpe Ratio of 2.40. The chart below compares the 12-month rolling Sharpe Ratio of FXF and SPY.


Rolling 12-month Sharpe Ratio0.001.002.003.002024FebruaryMarchAprilMayJune
-0.03
2.40
FXF
SPY

Dividends

FXF vs. SPY - Dividend Comparison

FXF's dividend yield for the trailing twelve months is around 0.05%, less than SPY's 1.26% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%
SPY
SPDR S&P 500 ETF
1.26%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

FXF vs. SPY - Drawdown Comparison

The maximum FXF drawdown since its inception was -35.49%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FXF and SPY. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%2024FebruaryMarchAprilMayJune
-27.17%
-0.41%
FXF
SPY

Volatility

FXF vs. SPY - Volatility Comparison

The current volatility for Invesco CurrencyShares® Swiss Franc Trust (FXF) is 2.24%, while SPDR S&P 500 ETF (SPY) has a volatility of 2.41%. This indicates that FXF experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
2.24%
2.41%
FXF
SPY