GBP=X vs. CHFUSD=X
GBP=X (USD/GBP) and CHFUSD=X (USD/CHF) are both currencies. Over the past 10 years, GBP=X returned -0.26%/yr vs 1.76%/yr for CHFUSD=X. At a 0.45 correlation, their price movements are largely independent.
Performance
GBP=X vs. CHFUSD=X - Performance Comparison
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Different Trading Currencies
GBP=X is traded in GBP, while CHFUSD=X is traded in USD. To make them comparable, the CHFUSD=X values have been converted to GBP using the latest available exchange rates.
Returns By Period
In the year-to-date period, GBP=X achieves a -0.41% return, which is significantly higher than CHFUSD=X's -1.92% return. Over the past 10 years, GBP=X has underperformed CHFUSD=X with an annualized return of -0.26%, while CHFUSD=X has yielded a comparatively higher 1.76% annualized return.
GBP=X
- 1D
- -1.04%
- 1M
- -0.88%
- 6M
- -0.61%
- YTD
- -0.41%
- 1Y
- -1.06%
- 3Y*
- -1.09%
- 5Y*
- 0.35%
- 10Y*
- -0.26%
CHFUSD=X
- 1D
- -0.50%
- 1M
- -2.15%
- 6M
- -1.20%
- YTD
- -1.92%
- 1Y
- -1.32%
- 3Y*
- 1.21%
- 5Y*
- 3.07%
- 10Y*
- 1.76%
GBP=X vs. CHFUSD=X - Yearly Performance Comparison
Correlation
The correlation between GBP=X and CHFUSD=X is 0.18, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.18 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.31 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.40 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.52 |
Correlation (All Time) Calculated using the full available price history since Oct 16, 2007 | 0.45 |
Over the past year, the correlation between GBP=X and CHFUSD=X has dropped to 0.18 - well below their long-term average of 0.45, suggesting their price drivers have been diverging.
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Return for Risk
GBP=X vs. CHFUSD=X — Risk / Return Rank
GBP=X
CHFUSD=X
GBP=X vs. CHFUSD=X - Risk-Adjusted Trends 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| GBP=X | CHFUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.09 | ||
| Sortino ratioReturn per unit of downside risk | +0.14 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 0.97 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | -0.14 | -0.21 | +0.06 |
| Martin ratioReturn relative to average drawdown | -0.31 | -0.52 | +0.21 |
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Drawdowns
GBP=X vs. CHFUSD=X - Drawdown Comparison
The maximum GBP=X drawdown since its inception was -22.85%, smaller than the maximum CHFUSD=X drawdown of -24.45%. Use the drawdown chart below to compare losses from any high point for GBP=X and CHFUSD=X.
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Drawdown Indicators
| GBP=X | CHFUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.85% | -24.45% | +1.60% |
Max Drawdown (1Y)Largest decline over 1 year | -5.98% | -5.17% | -0.81% |
Max Drawdown (3Y)Largest decline over 3 years | -12.79% | -8.50% | -4.29% |
Max Drawdown (5Y)Largest decline over 5 years | -22.85% | -9.07% | -13.78% |
Max Drawdown (10Y)Largest decline over 10 years | -22.85% | -14.04% | -8.81% |
Current DrawdownCurrent decline from peak | -21.03% | -5.17% | -15.86% |
Average DrawdownAverage peak-to-trough decline | -11.31% | -9.62% | -1.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.85% | 2.18% | +0.67% |
Volatility
GBP=X vs. CHFUSD=X - Volatility Comparison
USD/GBP (GBP=X) has a higher volatility of 1.50% compared to USD/CHF (CHFUSD=X) at 1.02%. 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.
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Volatility by Period
| GBP=X | CHFUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.50% | 1.02% | +0.48% |
Volatility (6M)Calculated over the trailing 6-month period | 4.72% | 3.12% | +1.60% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.21% | 4.71% | +1.50% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.21% | 6.94% | +1.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.57% | 7.64% | +0.93% |
Frequently Asked Questions
GBP=X and CHFUSD=X have a correlation of 0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GBP=X has higher volatility (1.50%) compared to CHFUSD=X (1.02%). In terms of maximum drawdown, GBP=X dropped -22.85% vs CHFUSD=X's -24.45%.
GBP=X currently has the higher Sharpe Ratio (-0.14 vs -0.23), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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