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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 0.21, 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.


-0.50.00.51.00.2

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.

-2.00%0.00%2.00%4.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
0.45%
-0.87%
GBP=X
CHFUSD=X

Key characteristics

Sharpe Ratio

GBP=X:

-0.01

CHFUSD=X:

-0.29

Sortino Ratio

GBP=X:

0.02

CHFUSD=X:

-0.37

Omega Ratio

GBP=X:

1.00

CHFUSD=X:

0.96

Calmar Ratio

GBP=X:

-0.00

CHFUSD=X:

-0.09

Martin Ratio

GBP=X:

-0.02

CHFUSD=X:

-0.66

Ulcer Index

GBP=X:

4.06%

CHFUSD=X:

2.88%

Daily Std Dev

GBP=X:

5.59%

CHFUSD=X:

6.66%

Max Drawdown

GBP=X:

-34.89%

CHFUSD=X:

-38.65%

Current Drawdown

GBP=X:

-14.94%

CHFUSD=X:

-19.61%

Returns By Period

In the year-to-date period, GBP=X achieves a 0.95% return, which is significantly higher than CHFUSD=X's -6.39% return. Over the past 10 years, GBP=X has outperformed CHFUSD=X with an annualized return of 1.81%, while CHFUSD=X has yielded a comparatively lower 0.86% annualized return.


GBP=X

YTD

0.95%

1M

0.05%

6M

0.76%

1Y

0.32%

5Y*

0.50%

10Y*

1.81%

CHFUSD=X

YTD

-6.39%

1M

-1.79%

6M

-1.65%

1Y

-4.24%

5Y*

1.69%

10Y*

0.86%

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Risk-Adjusted Performance

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.


Sharpe ratio
The chart of Sharpe ratio for GBP=X, currently valued at 0.05, compared to the broader market0.002.004.006.008.0010.000.05-0.04
The chart of Sortino ratio for GBP=X, currently valued at 0.13, compared to the broader market0.0010.0020.0030.0040.000.13-0.01
The chart of Omega ratio for GBP=X, currently valued at 1.02, compared to the broader market2.004.006.008.0010.001.021.00
The chart of Calmar ratio for GBP=X, currently valued at 0.09, compared to the broader market0.0020.0040.0060.0080.000.09-0.01
The chart of Martin ratio for GBP=X, currently valued at 0.44, compared to the broader market0.00100.00200.00300.00400.00500.00600.000.44-0.09
GBP=X
CHFUSD=X

The current GBP=X Sharpe Ratio is -0.01, which is higher than the CHFUSD=X Sharpe Ratio of -0.29. 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.


Rolling 12-month Sharpe Ratio-0.40-0.200.000.200.400.600.801.00JulyAugustSeptemberOctoberNovemberDecember
0.05
-0.04
GBP=X
CHFUSD=X

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.


-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-3.09%
-19.61%
GBP=X
CHFUSD=X

Volatility

GBP=X vs. CHFUSD=X - Volatility Comparison

USD/GBP (GBP=X) has a higher volatility of 2.50% compared to USD/CHF (CHFUSD=X) at 1.82%. This indicates that GBP=X's price experiences larger fluctuations and is considered to be riskier than CHFUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%JulyAugustSeptemberOctoberNovemberDecember
2.50%
1.82%
GBP=X
CHFUSD=X
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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