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

Key characteristics


FXFTLT
YTD Return-5.97%-3.38%
1Y Return0.22%-4.60%
3Y Return (Ann)0.27%-10.79%
5Y Return (Ann)0.92%-4.29%
10Y Return (Ann)-0.94%0.65%
Sharpe Ratio-0.03-0.34
Daily Std Dev6.96%16.88%
Max Drawdown-35.49%-48.35%
Current Drawdown-27.17%-39.80%

Correlation

-0.50.00.51.00.2

The correlation between FXF and TLT is 0.16, 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. TLT - Performance Comparison

In the year-to-date period, FXF achieves a -5.97% return, which is significantly lower than TLT's -3.38% return. Over the past 10 years, FXF has underperformed TLT with an annualized return of -0.94%, while TLT has yielded a comparatively higher 0.65% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


20.00%40.00%60.00%80.00%100.00%2024FebruaryMarchAprilMayJune
27.30%
95.35%
FXF
TLT

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Invesco CurrencyShares® Swiss Franc Trust

iShares 20+ Year Treasury Bond ETF

FXF vs. TLT - Expense Ratio Comparison

FXF has a 0.40% expense ratio, which is higher than TLT's 0.15% 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 TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

FXF vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Swiss Franc Trust (FXF) and iShares 20+ Year Treasury Bond ETF (TLT). 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 market0.0020.0040.0060.0080.00100.00120.00-0.05
TLT
Sharpe ratio
The chart of Sharpe ratio for TLT, currently valued at -0.34, compared to the broader market0.002.004.006.00-0.34
Sortino ratio
The chart of Sortino ratio for TLT, currently valued at -0.37, compared to the broader market0.005.0010.00-0.37
Omega ratio
The chart of Omega ratio for TLT, currently valued at 0.96, compared to the broader market0.501.001.502.002.503.003.500.96
Calmar ratio
The chart of Calmar ratio for TLT, currently valued at -0.12, compared to the broader market0.005.0010.0015.0020.00-0.12
Martin ratio
The chart of Martin ratio for TLT, currently valued at -0.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.62

FXF vs. TLT - Sharpe Ratio Comparison

The current FXF Sharpe Ratio is -0.03, which is higher than the TLT Sharpe Ratio of -0.34. The chart below compares the 12-month rolling Sharpe Ratio of FXF and TLT.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.002024FebruaryMarchAprilMayJune
-0.03
-0.34
FXF
TLT

Dividends

FXF vs. TLT - Dividend Comparison

FXF's dividend yield for the trailing twelve months is around 0.05%, less than TLT's 3.77% 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%
TLT
iShares 20+ Year Treasury Bond ETF
3.77%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

FXF vs. TLT - Drawdown Comparison

The maximum FXF drawdown since its inception was -35.49%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for FXF and TLT. For additional features, visit the drawdowns tool.


-45.00%-40.00%-35.00%-30.00%-25.00%2024FebruaryMarchAprilMayJune
-27.17%
-39.80%
FXF
TLT

Volatility

FXF vs. TLT - Volatility Comparison

The current volatility for Invesco CurrencyShares® Swiss Franc Trust (FXF) is 2.24%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 4.60%. This indicates that FXF experiences smaller price fluctuations and is considered to be less risky than TLT 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%2024FebruaryMarchAprilMayJune
2.24%
4.60%
FXF
TLT