^DXY vs. SPY
^DXY (US Dollar Currency Index) is an index, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, ^DXY returned 0.57%/yr vs 15.42%/yr for SPY. At a correlation of -0.04, they often move in opposite directions.
Performance
^DXY vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, ^DXY achieves a 1.13% return, which is significantly lower than SPY's 9.07% return. Over the past 10 years, ^DXY has underperformed SPY with an annualized return of 0.57%, while SPY has yielded a comparatively higher 15.42% annualized return.
^DXY
- 1D
- -0.10%
- 1M
- 0.92%
- YTD
- 1.13%
- 6M
- 1.05%
- 1Y
- 1.54%
- 3Y*
- -1.49%
- 5Y*
- 1.98%
- 10Y*
- 0.57%
SPY
- 1D
- 0.54%
- 1M
- -0.86%
- YTD
- 9.07%
- 6M
- 9.42%
- 1Y
- 25.67%
- 3Y*
- 20.86%
- 5Y*
- 13.36%
- 10Y*
- 15.42%
^DXY vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^DXY US Dollar Currency Index | 1.13% | -9.37% | 7.06% | -2.11% | 7.87% | 6.71% | -6.69% | 0.22% | 4.40% | -9.87% |
SPY State Street SPDR S&P 500 ETF | 9.07% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Correlation
The correlation between ^DXY and SPY is -0.33, 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 | -0.33 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.21 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.26 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.16 |
Correlation (All Time) Calculated using the full available price history since Jan 29, 1993 | -0.04 |
Over the past year, the inverse relationship between ^DXY and SPY has strengthened: their correlation has moved from -0.04 to -0.33, meaning they now move in opposite directions more often than their long-term average.
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Return for Risk
^DXY vs. SPY — Risk / Return Rank
^DXY
SPY
^DXY vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for US Dollar Currency Index (^DXY) and State Street SPDR S&P 500 ETF (SPY). 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.
| ^DXY | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.87 | ||
| Sortino ratioReturn per unit of downside risk | -2.49 | ||
| Omega ratioGain probability vs. loss probability | 1.02 | 1.36 | -0.34 |
| Calmar ratioReturn relative to maximum drawdown | 0.16 | 2.74 | -2.58 |
| Martin ratioReturn relative to average drawdown | 0.36 | 12.39 | -12.03 |
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Drawdowns
^DXY vs. SPY - Drawdown Comparison
The maximum ^DXY drawdown since its inception was -45.13%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^DXY and SPY.
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Drawdown Indicators
| ^DXY | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.13% | -55.19% | +10.06% |
Max Drawdown (1Y)Largest decline over 1 year | -4.00% | -8.88% | +4.88% |
Max Drawdown (3Y)Largest decline over 3 years | -12.49% | -18.76% | +6.27% |
Max Drawdown (5Y)Largest decline over 5 years | -15.68% | -24.50% | +8.82% |
Max Drawdown (10Y)Largest decline over 10 years | -15.68% | -33.72% | +18.04% |
Current DrawdownCurrent decline from peak | -23.51% | -2.35% | -21.16% |
Average DrawdownAverage peak-to-trough decline | -28.16% | -9.04% | -19.12% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.76% | 1.97% | -0.21% |
Volatility
^DXY vs. SPY - Volatility Comparison
The current volatility for US Dollar Currency Index (^DXY) is 0.94%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.34%. This indicates that ^DXY experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^DXY | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.94% | 4.34% | -3.40% |
Volatility (6M)Calculated over the trailing 6-month period | 3.91% | 9.58% | -5.67% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.70% | 12.29% | -6.59% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.97% | 17.12% | -10.15% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.49% | 17.96% | -11.47% |
Frequently Asked Questions
^DXY and SPY have a correlation of -0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (4.34%) compared to ^DXY (0.94%). In terms of maximum drawdown, ^DXY dropped -45.13% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.98 vs 0.11), 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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