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 0.87%/yr vs 2.82%/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 1.01% return, which is significantly higher than CHFUSD=X's 0.49% return. Over the past 10 years, GBP=X has underperformed CHFUSD=X with an annualized return of 0.87%, while CHFUSD=X has yielded a comparatively higher 2.82% annualized return.
GBP=X
- 1D
- 0.63%
- 1M
- 1.90%
- YTD
- 1.01%
- 6M
- -0.07%
- 1Y
- 1.75%
- 3Y*
- -2.35%
- 5Y*
- 1.20%
- 10Y*
- 0.87%
CHFUSD=X
- 1D
- -0.29%
- 1M
- -0.40%
- YTD
- 0.49%
- 6M
- 0.94%
- 1Y
- 4.87%
- 3Y*
- 2.00%
- 5Y*
- 3.68%
- 10Y*
- 2.82%
GBP=X vs. CHFUSD=X - Yearly Performance Comparison
Correlation
The correlation between GBP=X and CHFUSD=X is 0.19, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.30 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.41 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.54 |
Correlation (All Time) Calculated using the full available price history since Aug 30, 2007 | 0.45 |
Over the past year, the correlation between GBP=X and CHFUSD=X has dropped to 0.19 - 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.
| GBP=X | CHFUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.55 | ||
| Sortino ratioReturn per unit of downside risk | -0.83 | ||
| Omega ratioGain probability vs. loss probability | 1.04 | 1.14 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | 0.24 | 1.21 | -0.98 |
| Martin ratioReturn relative to average drawdown | 0.53 | 2.42 | -1.89 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GBP=X | CHFUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.23 | 0.78 | -0.55 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.13 | 0.47 | -0.34 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.09 | 0.32 | -0.23 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.22 | 0.38 | -0.16 |
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% | -3.22% | -2.76% |
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 | -19.91% | -2.84% | -17.07% |
Average DrawdownAverage peak-to-trough decline | -11.18% | -9.61% | -1.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.73% | 1.69% | +1.04% |
Volatility
GBP=X vs. CHFUSD=X - Volatility Comparison
USD/GBP (GBP=X) has a higher volatility of 1.73% compared to USD/CHF (CHFUSD=X) at 1.34%. 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 | 1.73% | 1.34% | +0.39% |
Volatility (6M)Calculated over the trailing 6-month period | 5.01% | 3.63% | +1.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.23% | 5.03% | +1.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.23% | 6.99% | +1.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.26% | 8.31% | +0.95% |
Frequently Asked Questions
GBP=X and CHFUSD=X have a correlation of 0.19, 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 (1.73%) compared to CHFUSD=X (1.34%). In terms of maximum drawdown, GBP=X dropped -22.85% vs CHFUSD=X's -24.45%.
CHFUSD=X currently has the higher Sharpe Ratio (0.78 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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