EWJ vs. FXY
EWJ (iShares MSCI Japan ETF) and FXY (Invesco CurrencyShares® Japanese Yen Trust) are both exchange-traded funds - EWJ is a Japan Equities fund tracking the MSCI Japan Index, while FXY is a Currency fund tracking the Japanese Yen. Both are passively managed. Over the past 10 years, EWJ returned 9.15%/yr vs -4.71%/yr for FXY. At a correlation of -0.08, they often move in opposite directions. EWJ charges 0.49%/yr vs 0.40%/yr for FXY.
Performance
EWJ vs. FXY - Performance Comparison
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Returns By Period
In the year-to-date period, EWJ achieves a 16.43% return, which is significantly higher than FXY's -3.65% return. Over the past 10 years, EWJ has outperformed FXY with an annualized return of 9.15%, while FXY has yielded a comparatively lower -4.71% annualized return.
EWJ
- 1D
- -0.42%
- 1M
- -0.60%
- 6M
- 10.55%
- YTD
- 16.43%
- 1Y
- 36.04%
- 3Y*
- 17.79%
- 5Y*
- 9.39%
- 10Y*
- 9.15%
FXY
- 1D
- -0.07%
- 1M
- -1.24%
- 6M
- -2.50%
- YTD
- -3.65%
- 1Y
- -8.60%
- 3Y*
- -5.46%
- 5Y*
- -7.95%
- 10Y*
- -4.71%
EWJ vs. FXY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EWJ iShares MSCI Japan ETF | 16.43% | 25.84% | 7.03% | 20.29% | -17.72% | 1.16% | 15.40% | 19.34% | -14.10% | 24.27% |
FXY Invesco CurrencyShares® Japanese Yen Trust | -3.65% | 0.09% | -10.93% | -7.44% | -12.75% | -10.90% | 4.61% | 0.37% | 2.31% | 3.17% |
Correlation
The correlation between EWJ and FXY is 0.37, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.37 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.25 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.26 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.11 |
Correlation (All Time) Calculated using the full available price history since Feb 13, 2007 | -0.08 |
The correlation between EWJ and FXY shifts across timeframes, from -0.08 (all time) to 0.37 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
EWJ vs. FXY — Risk / Return Rank
EWJ
FXY
EWJ vs. FXY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Japan ETF (EWJ) and Invesco CurrencyShares® Japanese Yen Trust (FXY). 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.
| EWJ | FXY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.82 | ||
| Sortino ratioReturn per unit of downside risk | +4.02 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 0.83 | +0.50 |
| Calmar ratioReturn relative to maximum drawdown | 2.66 | -0.85 | +3.51 |
| Martin ratioReturn relative to average drawdown | 8.90 | -1.36 | +10.26 |
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Drawdowns
EWJ vs. FXY - Drawdown Comparison
The maximum EWJ drawdown since its inception was -60.93%, which is greater than FXY's maximum drawdown of -56.62%. Use the drawdown chart below to compare losses from any high point for EWJ and FXY.
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Drawdown Indicators
| EWJ | FXY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.93% | -56.62% | -4.31% |
Max Drawdown (1Y)Largest decline over 1 year | -13.59% | -10.21% | -3.38% |
Max Drawdown (3Y)Largest decline over 3 years | -14.68% | -15.91% | +1.23% |
Max Drawdown (5Y)Largest decline over 5 years | -33.14% | -34.61% | +1.47% |
Max Drawdown (10Y)Largest decline over 10 years | -33.14% | -41.64% | +8.50% |
Current DrawdownCurrent decline from peak | -3.58% | -56.55% | +52.97% |
Average DrawdownAverage peak-to-trough decline | -21.67% | -27.89% | +6.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.06% | 6.34% | -2.28% |
Volatility
EWJ vs. FXY - Volatility Comparison
iShares MSCI Japan ETF (EWJ) has a higher volatility of 7.11% compared to Invesco CurrencyShares® Japanese Yen Trust (FXY) at 1.51%. This indicates that EWJ's price experiences larger fluctuations and is considered to be riskier than FXY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EWJ | FXY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.11% | 1.51% | +5.60% |
Volatility (6M)Calculated over the trailing 6-month period | 16.95% | 5.50% | +11.45% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.80% | 8.07% | +12.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.54% | 10.23% | +8.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.35% | 9.17% | +8.18% |
EWJ vs. FXY - Expense Ratio Comparison
EWJ has a 0.49% expense ratio, which is higher than FXY's 0.40% expense ratio.
Dividends
EWJ vs. FXY - Dividend Comparison
EWJ's dividend yield for the trailing twelve months is around 3.81%, while FXY has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EWJ iShares MSCI Japan ETF | 3.81% | 4.52% | 2.34% | 2.03% | 1.23% | 2.08% | 1.04% | 2.03% | 1.71% | 1.25% | 1.95% | 1.27% |
FXY Invesco CurrencyShares® Japanese Yen Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
EWJ and FXY have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EWJ has higher volatility (7.11%) compared to FXY (1.51%). In terms of maximum drawdown, EWJ dropped -60.93% vs FXY's -56.62%.
On 10-year performance, EWJ leads with 9.15% vs -4.71% for FXY. On fees, FXY is cheaper at 0.40% per year. On volatility, FXY has been the lower-risk option at 1.51%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, EWJ has performed better with a 9.15% return vs -4.71%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXY is cheaper with a 0.40% expense ratio, compared with 0.49% for EWJ.
EWJ has the higher dividend yield at 3.81%, compared with 0.00% for FXY.
EWJ is categorized as Japan Equities, while FXY is Currency. EWJ tracks MSCI Japan Index, while FXY tracks Japanese Yen. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.49% for EWJ and 0.40% for FXY.
EWJ currently has the higher Sharpe Ratio (1.74 vs -1.07), 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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