UUP vs. CHFUSD=X
UUP (Invesco DB US Dollar Index Bullish Fund) is Currency fund tracking the Deutsche Bank Long US Dollar Index (USDX) Futures Index, while CHFUSD=X (USD/CHF) is a currency. Over the past 10 years, UUP returned 3.13%/yr vs 1.93%/yr for CHFUSD=X. At a correlation of -0.76, they often move in opposite directions.
Performance
UUP vs. CHFUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, UUP achieves a 5.03% return, which is significantly higher than CHFUSD=X's -2.16% return. Over the past 10 years, UUP has outperformed CHFUSD=X with an annualized return of 3.13%, while CHFUSD=X has yielded a comparatively lower 1.93% annualized return.
UUP
- 1D
- 0.11%
- 1M
- 1.57%
- 6M
- 3.88%
- YTD
- 5.03%
- 1Y
- 7.86%
- 3Y*
- 5.13%
- 5Y*
- 5.86%
- 10Y*
- 3.13%
CHFUSD=X
- 1D
- -0.15%
- 1M
- -1.59%
- 6M
- -1.37%
- YTD
- -2.16%
- 1Y
- -1.67%
- 3Y*
- 1.98%
- 5Y*
- 2.54%
- 10Y*
- 1.93%
UUP vs. CHFUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
UUP Invesco DB US Dollar Index Bullish Fund | 5.03% | -4.99% | 13.50% | 3.63% | 9.46% | 5.73% | -6.66% | 4.09% | 7.05% | -9.10% |
CHFUSD=X USD/CHF | -2.16% | 14.56% | -7.30% | 9.83% | -1.34% | -2.97% | 9.43% | 1.71% | -1.05% | 4.56% |
Correlation
The correlation between UUP and CHFUSD=X is -0.80, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.80 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.73 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.74 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.75 |
Correlation (All Time) Calculated using the full available price history since Oct 11, 2007 | -0.76 |
The correlation between UUP and CHFUSD=X has been stable across timeframes, ranging from -0.80 to -0.73 - a consistent structural relationship.
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Return for Risk
UUP vs. CHFUSD=X — Risk / Return Rank
UUP
CHFUSD=X
UUP vs. CHFUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bullish Fund (UUP) 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.
| UUP | CHFUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.56 | ||
| Sortino ratioReturn per unit of downside risk | +2.21 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 0.97 | +0.27 |
| Calmar ratioReturn relative to maximum drawdown | 2.25 | -0.21 | +2.47 |
| Martin ratioReturn relative to average drawdown | 6.19 | -0.50 | +6.69 |
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Drawdowns
UUP vs. CHFUSD=X - Drawdown Comparison
The maximum UUP drawdown since its inception was -22.19%, smaller than the maximum CHFUSD=X drawdown of -29.99%. Use the drawdown chart below to compare losses from any high point for UUP and CHFUSD=X.
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Drawdown Indicators
| UUP | CHFUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.19% | -29.99% | +7.80% |
Max Drawdown (1Y)Largest decline over 1 year | -3.65% | -6.28% | +2.63% |
Max Drawdown (3Y)Largest decline over 3 years | -10.05% | -8.69% | -1.36% |
Max Drawdown (5Y)Largest decline over 5 years | -10.37% | -10.75% | +0.38% |
Max Drawdown (10Y)Largest decline over 10 years | -14.24% | -13.35% | -0.89% |
Current DrawdownCurrent decline from peak | -1.64% | -10.95% | +9.31% |
Average DrawdownAverage peak-to-trough decline | -8.88% | -18.69% | +9.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.33% | 2.81% | -1.48% |
Volatility
UUP vs. CHFUSD=X - Volatility Comparison
Invesco DB US Dollar Index Bullish Fund (UUP) has a higher volatility of 1.42% compared to USD/CHF (CHFUSD=X) at 1.30%. This indicates that UUP'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
| UUP | CHFUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.42% | 1.30% | +0.12% |
Volatility (6M)Calculated over the trailing 6-month period | 4.33% | 4.57% | -0.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.01% | 6.87% | -0.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.22% | 7.89% | -0.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.90% | 7.34% | -0.44% |
Frequently Asked Questions
UUP and CHFUSD=X have a correlation of -0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
UUP has higher volatility (1.42%) compared to CHFUSD=X (1.30%). In terms of maximum drawdown, UUP dropped -22.19% vs CHFUSD=X's -29.99%.
UUP currently has the higher Sharpe Ratio (1.37 vs -0.20), 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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