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

Key characteristics


GBP=XCHFUSD=X
YTD Return-0.04%-4.69%
1Y Return-4.00%2.10%
3Y Return (Ann)1.27%1.32%
5Y Return (Ann)0.14%2.14%
10Y Return (Ann)1.75%0.79%
Sharpe Ratio-0.24-0.56
Sortino Ratio-0.32-0.74
Omega Ratio0.960.91
Calmar Ratio-0.07-0.17
Martin Ratio-0.34-0.89
Ulcer Index3.97%4.10%
Daily Std Dev5.87%6.66%
Max Drawdown-34.89%-38.65%
Current Drawdown-15.78%-18.15%

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.

Performance

GBP=X vs. CHFUSD=X - Performance Comparison

In the year-to-date period, GBP=X achieves a -0.04% return, which is significantly higher than CHFUSD=X's -4.69% return. Over the past 10 years, GBP=X has outperformed CHFUSD=X with an annualized return of 1.75%, while CHFUSD=X has yielded a comparatively lower 0.79% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
-0.32%
2.66%
GBP=X
CHFUSD=X

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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.


GBP=X
Sharpe ratio
The chart of Sharpe ratio for GBP=X, currently valued at -0.04, compared to the broader market-1.00-0.500.000.501.001.50-0.04
Sortino ratio
The chart of Sortino ratio for GBP=X, currently valued at -0.00, compared to the broader market0.0050.00100.00150.00200.00250.00-0.00
Omega ratio
The chart of Omega ratio for GBP=X, currently valued at 1.00, compared to the broader market10.0020.0030.0040.0050.0060.001.00
Calmar ratio
The chart of Calmar ratio for GBP=X, currently valued at -0.08, compared to the broader market0.00100.00200.00300.00400.00500.00-0.08
Martin ratio
The chart of Martin ratio for GBP=X, currently valued at -0.41, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.41
CHFUSD=X
Sharpe ratio
The chart of Sharpe ratio for CHFUSD=X, currently valued at -0.06, compared to the broader market-1.00-0.500.000.501.001.50-0.06
Sortino ratio
The chart of Sortino ratio for CHFUSD=X, currently valued at -0.04, compared to the broader market0.0050.00100.00150.00200.00250.00-0.04
Omega ratio
The chart of Omega ratio for CHFUSD=X, currently valued at 0.99, compared to the broader market10.0020.0030.0040.0050.0060.000.99
Calmar ratio
The chart of Calmar ratio for CHFUSD=X, currently valued at -0.02, compared to the broader market0.00100.00200.00300.00400.00500.00-0.02
Martin ratio
The chart of Martin ratio for CHFUSD=X, currently valued at -0.15, compared to the broader market0.001,000.002,000.003,000.004,000.00-0.15

GBP=X vs. CHFUSD=X - Sharpe Ratio Comparison

The current GBP=X Sharpe Ratio is -0.24, which is higher than the CHFUSD=X Sharpe Ratio of -0.56. 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-1.00-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
-0.04
-0.06
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
-3.09%
-18.15%
GBP=X
CHFUSD=X

Volatility

GBP=X vs. CHFUSD=X - Volatility Comparison

USD/GBP (GBP=X) has a higher volatility of 3.65% compared to USD/CHF (CHFUSD=X) at 2.02%. 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
3.65%
2.02%
GBP=X
CHFUSD=X