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GBP=X vs. CHFUSD=X
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between GBP=X and CHFUSD=X is 0.07, 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

GBP=X vs. CHFUSD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/GBP (GBP=X) and USD/CHF (CHFUSD=X). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

GBP=X:

-0.64

CHFUSD=X:

0.85

Sortino Ratio

GBP=X:

-0.67

CHFUSD=X:

1.59

Omega Ratio

GBP=X:

0.92

CHFUSD=X:

1.19

Calmar Ratio

GBP=X:

-0.18

CHFUSD=X:

0.38

Martin Ratio

GBP=X:

-0.90

CHFUSD=X:

1.83

Ulcer Index

GBP=X:

4.00%

CHFUSD=X:

4.45%

Daily Std Dev

GBP=X:

6.58%

CHFUSD=X:

8.55%

Max Drawdown

GBP=X:

-34.89%

CHFUSD=X:

-38.65%

Current Drawdown

GBP=X:

-18.94%

CHFUSD=X:

-13.10%

Returns By Period

In the year-to-date period, GBP=X achieves a -5.18% return, which is significantly lower than CHFUSD=X's 9.07% return. Over the past 10 years, GBP=X has outperformed CHFUSD=X with an annualized return of 1.44%, while CHFUSD=X has yielded a comparatively lower 0.93% annualized return.


GBP=X

YTD

-5.18%

1M

-3.09%

6M

-1.91%

1Y

-5.36%

5Y*

-1.11%

10Y*

1.44%

CHFUSD=X

YTD

9.07%

1M

-0.98%

6M

5.26%

1Y

8.97%

5Y*

2.96%

10Y*

0.93%

*Annualized

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Risk-Adjusted Performance

GBP=X vs. CHFUSD=X — Risk-Adjusted Performance Rank

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

GBP=X
The Risk-Adjusted Performance Rank of GBP=X is 2121
Overall Rank
The Sharpe Ratio Rank of GBP=X is 1313
Sharpe Ratio Rank
The Sortino Ratio Rank of GBP=X is 1919
Sortino Ratio Rank
The Omega Ratio Rank of GBP=X is 2424
Omega Ratio Rank
The Calmar Ratio Rank of GBP=X is 2222
Calmar Ratio Rank
The Martin Ratio Rank of GBP=X is 2626
Martin Ratio Rank

CHFUSD=X
The Risk-Adjusted Performance Rank of CHFUSD=X is 8686
Overall Rank
The Sharpe Ratio Rank of CHFUSD=X is 8787
Sharpe Ratio Rank
The Sortino Ratio Rank of CHFUSD=X is 8989
Sortino Ratio Rank
The Omega Ratio Rank of CHFUSD=X is 8686
Omega Ratio Rank
The Calmar Ratio Rank of CHFUSD=X is 8787
Calmar Ratio Rank
The Martin Ratio Rank of CHFUSD=X is 8080
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.

GBP=X vs. CHFUSD=X - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/GBP (GBP=X) and USD/CHF (CHFUSD=X). 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 GBP=X Sharpe Ratio is -0.64, which is lower than the CHFUSD=X Sharpe Ratio of 0.85. The chart below compares the historical Sharpe Ratios of GBP=X and CHFUSD=X, 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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Drawdowns

GBP=X vs. CHFUSD=X - Drawdown Comparison

The maximum GBP=X drawdown since its inception was -34.89%, smaller than the maximum CHFUSD=X drawdown of -38.65%. Use the drawdown chart below to compare losses from any high point for GBP=X and CHFUSD=X. For additional features, visit the drawdowns tool.


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Volatility

GBP=X vs. CHFUSD=X - Volatility Comparison

The current volatility for USD/GBP (GBP=X) is 2.26%, while USD/CHF (CHFUSD=X) has a volatility of 3.44%. This indicates that GBP=X experiences smaller price fluctuations and is considered to be less risky than CHFUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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