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

Key characteristics


FXFUUP
YTD Return-5.98%7.42%
1Y Return-0.01%9.78%
3Y Return (Ann)0.26%8.21%
5Y Return (Ann)0.94%4.19%
10Y Return (Ann)-0.93%4.18%
Sharpe Ratio-0.031.66
Daily Std Dev6.96%6.11%
Max Drawdown-35.49%-22.19%
Current Drawdown-27.17%0.00%

Correlation

-0.50.00.51.0-0.8

The correlation between FXF and UUP is -0.78. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

FXF vs. UUP - Performance Comparison

In the year-to-date period, FXF achieves a -5.98% return, which is significantly lower than UUP's 7.42% return. Over the past 10 years, FXF has underperformed UUP with an annualized return of -0.93%, while UUP has yielded a comparatively higher 4.18% 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%22.00%24.00%26.00%28.00%30.00%32.00%34.00%2024FebruaryMarchAprilMayJune
25.88%
30.50%
FXF
UUP

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Invesco CurrencyShares® Swiss Franc Trust

Invesco DB US Dollar Index Bullish Fund

FXF vs. UUP - Expense Ratio Comparison

FXF has a 0.40% expense ratio, which is lower than UUP's 0.75% expense ratio.


UUP
Invesco DB US Dollar Index Bullish Fund
Expense ratio chart for UUP: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
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%

Risk-Adjusted Performance

FXF vs. UUP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Swiss Franc Trust (FXF) and Invesco DB US Dollar Index Bullish Fund (UUP). 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
UUP
Sharpe ratio
The chart of Sharpe ratio for UUP, currently valued at 1.66, compared to the broader market0.002.004.006.001.66
Sortino ratio
The chart of Sortino ratio for UUP, currently valued at 2.40, compared to the broader market0.005.0010.002.40
Omega ratio
The chart of Omega ratio for UUP, currently valued at 1.31, compared to the broader market0.501.001.502.002.503.003.501.31
Calmar ratio
The chart of Calmar ratio for UUP, currently valued at 1.09, compared to the broader market0.005.0010.0015.0020.001.09
Martin ratio
The chart of Martin ratio for UUP, currently valued at 6.68, compared to the broader market0.0020.0040.0060.0080.00100.006.68

FXF vs. UUP - Sharpe Ratio Comparison

The current FXF Sharpe Ratio is -0.03, which is lower than the UUP Sharpe Ratio of 1.66. The chart below compares the 12-month rolling Sharpe Ratio of FXF and UUP.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002024FebruaryMarchAprilMayJune
-0.03
1.66
FXF
UUP

Dividends

FXF vs. UUP - Dividend Comparison

FXF's dividend yield for the trailing twelve months is around 0.05%, less than UUP's 6.00% yield.


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%
UUP
Invesco DB US Dollar Index Bullish Fund
6.00%6.44%0.89%0.00%0.00%2.03%1.08%0.10%0.00%0.00%0.00%

Drawdowns

FXF vs. UUP - Drawdown Comparison

The maximum FXF drawdown since its inception was -35.49%, which is greater than UUP's maximum drawdown of -22.19%. Use the drawdown chart below to compare losses from any high point for FXF and UUP. 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
FXF
UUP

Volatility

FXF vs. UUP - Volatility Comparison

Invesco CurrencyShares® Swiss Franc Trust (FXF) has a higher volatility of 2.24% compared to Invesco DB US Dollar Index Bullish Fund (UUP) at 1.61%. This indicates that FXF's price experiences larger fluctuations and is considered to be riskier than UUP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%2024FebruaryMarchAprilMayJune
2.24%
1.61%
FXF
UUP