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

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%8.00%JuneJulyAugustSeptemberOctoberNovember
-0.81%
2.32%
GBP=X
CHFUSD=X

Returns By Period

In the year-to-date period, GBP=X achieves a 1.17% return, which is significantly higher than CHFUSD=X's -5.85% return. Over the past 10 years, GBP=X has outperformed CHFUSD=X with an annualized return of 1.85%, while CHFUSD=X has yielded a comparatively lower 0.72% annualized return.


GBP=X

YTD

1.17%

1M

2.61%

6M

0.86%

1Y

-0.75%

5Y (annualized)

0.42%

10Y (annualized)

1.85%

CHFUSD=X

YTD

-5.85%

1M

-3.09%

6M

2.32%

1Y

-1.09%

5Y (annualized)

2.08%

10Y (annualized)

0.72%

Key characteristics


GBP=XCHFUSD=X
Sharpe Ratio0.12-0.43
Sortino Ratio0.23-0.56
Omega Ratio1.030.93
Calmar Ratio0.03-0.13
Martin Ratio0.17-0.75
Ulcer Index3.99%3.76%
Daily Std Dev5.69%6.62%
Max Drawdown-34.89%-38.65%
Current Drawdown-14.76%-19.15%

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Correlation

-0.50.00.51.00.2

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.

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 -0.07, compared to the broader market-1.00-0.500.000.501.001.50-0.07-0.23
The chart of Sortino ratio for GBP=X, currently valued at -0.04, compared to the broader market0.0050.00100.00150.00200.00250.00-0.04-0.28
The chart of Omega ratio for GBP=X, currently valued at 0.99, compared to the broader market10.0020.0030.0040.0050.0060.000.990.96
The chart of Calmar ratio for GBP=X, currently valued at -0.13, compared to the broader market0.00100.00200.00300.00400.00500.00-0.13-0.07
The chart of Martin ratio for GBP=X, currently valued at -0.66, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.66-0.55
GBP=X
CHFUSD=X

The current GBP=X Sharpe Ratio is 0.12, which is higher than the CHFUSD=X Sharpe Ratio of -0.43. 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-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
-0.07
-0.23
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%JuneJulyAugustSeptemberOctoberNovember
-3.43%
-19.15%
GBP=X
CHFUSD=X

Volatility

GBP=X vs. CHFUSD=X - Volatility Comparison

USD/GBP (GBP=X) has a higher volatility of 3.69% compared to USD/CHF (CHFUSD=X) at 2.29%. 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%JuneJulyAugustSeptemberOctoberNovember
3.69%
2.29%
GBP=X
CHFUSD=X