EFAX vs. UUP
EFAX (SPDR MSCI EAFE Fossil Fuel Free ETF) and UUP (Invesco DB US Dollar Index Bullish Fund) are both exchange-traded funds - EFAX is a Foreign Large Cap Equities fund tracking the MSCI EAFE ex Fossil Fuels Index, while UUP is a Currency fund tracking the Deutsche Bank Long US Dollar Index (USDX) Futures Index. Both are passively managed. Over the past 5 years, EFAX returned 7.92%/yr vs 5.89%/yr for UUP. At a correlation of -0.44, they often move in opposite directions. EFAX charges 0.20%/yr vs 0.75%/yr for UUP.
Performance
EFAX vs. UUP - Performance Comparison
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Returns By Period
In the year-to-date period, EFAX achieves a 7.84% return, which is significantly higher than UUP's 5.44% return.
EFAX
- 1D
- -1.25%
- 1M
- -0.20%
- 6M
- 4.18%
- YTD
- 7.84%
- 1Y
- 18.11%
- 3Y*
- 15.11%
- 5Y*
- 7.92%
- 10Y*
- —
UUP
- 1D
- 0.39%
- 1M
- 1.97%
- 6M
- 4.47%
- YTD
- 5.44%
- 1Y
- 8.28%
- 3Y*
- 5.86%
- 5Y*
- 5.89%
- 10Y*
- 3.17%
EFAX vs. UUP - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | 7.84% | 31.30% | 4.78% | 18.02% | -16.72% | 10.50% | 9.57% | 23.52% | -14.78% | 23.93% |
UUP Invesco DB US Dollar Index Bullish Fund | 5.44% | -4.99% | 13.50% | 3.63% | 9.46% | 5.73% | -6.66% | 4.09% | 7.05% | -9.10% |
Correlation
The correlation between EFAX and UUP is -0.58, 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 | -0.58 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.54 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.58 |
Correlation (All Time) Calculated using the full available price history since Oct 25, 2016 | -0.44 |
The correlation between EFAX and UUP shifts across timeframes, from -0.58 (1 year) to -0.44 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
EFAX vs. UUP — Risk / Return Rank
EFAX
UUP
EFAX vs. UUP - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and Invesco DB US Dollar Index Bullish Fund (UUP). 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.
| EFAX | UUP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.27 | ||
| Sortino ratioReturn per unit of downside risk | -0.34 | ||
| Omega ratioGain probability vs. loss probability | 1.21 | 1.25 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 1.47 | 2.28 | -0.81 |
| Martin ratioReturn relative to average drawdown | 5.40 | 6.26 | -0.86 |
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Drawdowns
EFAX vs. UUP - Drawdown Comparison
The maximum EFAX drawdown since its inception was -32.53%, which is greater than UUP's maximum drawdown of -22.19%. Use the drawdown chart below to compare losses from any high point for EFAX and UUP.
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Drawdown Indicators
| EFAX | UUP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.53% | -22.19% | -10.34% |
Max Drawdown (1Y)Largest decline over 1 year | -12.38% | -3.65% | -8.73% |
Max Drawdown (3Y)Largest decline over 3 years | -13.52% | -10.05% | -3.47% |
Max Drawdown (5Y)Largest decline over 5 years | -31.67% | -10.37% | -21.30% |
Max Drawdown (10Y)Largest decline over 10 years | — | -14.24% | — |
Current DrawdownCurrent decline from peak | -2.46% | -1.26% | -1.20% |
Average DrawdownAverage peak-to-trough decline | -6.90% | -8.88% | +1.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.36% | 1.33% | +2.03% |
Volatility
EFAX vs. UUP - Volatility Comparison
SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) has a higher volatility of 5.41% compared to Invesco DB US Dollar Index Bullish Fund (UUP) at 1.45%. This indicates that EFAX's price experiences larger fluctuations and is considered to be riskier than UUP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EFAX | UUP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.41% | 1.45% | +3.96% |
Volatility (6M)Calculated over the trailing 6-month period | 14.21% | 4.34% | +9.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.38% | 6.03% | +10.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.80% | 7.22% | +9.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.12% | 6.90% | +10.22% |
EFAX vs. UUP - Expense Ratio Comparison
EFAX has a 0.20% expense ratio, which is lower than UUP's 0.75% expense ratio.
Dividends
EFAX vs. UUP - Dividend Comparison
EFAX's dividend yield for the trailing twelve months is around 3.18%, less than UUP's 3.25% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | 3.18% | 3.31% | 2.74% | 2.71% | 2.81% | 2.58% | 1.69% | 2.71% | 3.05% | 2.89% | 0.26% |
UUP Invesco DB US Dollar Index Bullish Fund | 3.25% | 3.43% | 4.48% | 6.44% | 0.89% | 0.00% | 0.00% | 2.03% | 1.08% | 0.10% | 0.00% |
Frequently Asked Questions
EFAX and UUP have a correlation of -0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EFAX has higher volatility (5.41%) compared to UUP (1.45%). In terms of maximum drawdown, EFAX dropped -32.53% vs UUP's -22.19%.
On 5-year performance, EFAX leads with 7.92% vs 5.89% for UUP. On fees, EFAX is cheaper at 0.20% per year. On volatility, UUP has been the lower-risk option at 1.45%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, EFAX has performed better with a 7.92% return vs 5.89%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EFAX is cheaper with a 0.20% expense ratio, compared with 0.75% for UUP.
UUP has the higher dividend yield at 3.25%, compared with 3.18% for EFAX.
EFAX is categorized as Foreign Large Cap Equities, while UUP is Currency. EFAX tracks MSCI EAFE ex Fossil Fuels Index, while UUP tracks Deutsche Bank Long US Dollar Index (USDX) Futures Index. They also come from different issuers: State Street and Invesco. Their fees differ too: 0.20% for EFAX and 0.75% for UUP.
UUP currently has the higher Sharpe Ratio (1.38 vs 1.11), 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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