FXB vs. ^DXY
FXB (Invesco CurrencyShares® British Pound Sterling Trust) is Currency fund tracking the British Pound, while ^DXY (US Dollar Currency Index) is an index. Over the past 10 years, FXB returned 0.00%/yr vs 0.56%/yr for ^DXY. At a correlation of -0.68, they often move in opposite directions.
Performance
FXB vs. ^DXY - Performance Comparison
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Returns By Period
In the year-to-date period, FXB achieves a 0.38% return, which is significantly lower than ^DXY's 1.14% return.
FXB
- 1D
- -0.35%
- 1M
- -0.76%
- YTD
- 0.38%
- 6M
- 1.56%
- 1Y
- 1.45%
- 3Y*
- 5.39%
- 5Y*
- 0.78%
- 10Y*
- 0.00%
^DXY
- 1D
- 0.22%
- 1M
- 1.08%
- YTD
- 1.14%
- 6M
- 0.59%
- 1Y
- 0.21%
- 3Y*
- -1.49%
- 5Y*
- 1.98%
- 10Y*
- 0.56%
FXB vs. ^DXY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXB Invesco CurrencyShares® British Pound Sterling Trust | 0.38% | 10.37% | 1.35% | 8.58% | -10.45% | -1.54% | 2.87% | 3.87% | -5.75% | 9.10% |
^DXY US Dollar Currency Index | 1.14% | -9.37% | 7.06% | -2.11% | 7.87% | 6.71% | -6.69% | 0.22% | 4.40% | -9.87% |
Correlation
The correlation between FXB and ^DXY is -0.84, 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 | -0.84 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.82 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.82 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.74 |
Correlation (All Time) Calculated using the full available price history since Jun 27, 2006 | -0.68 |
The correlation between FXB and ^DXY shifts across timeframes, from -0.84 (1 year) to -0.68 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
FXB vs. ^DXY — Risk / Return Rank
FXB
^DXY
FXB vs. ^DXY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® British Pound Sterling Trust (FXB) and US Dollar Currency Index (^DXY). 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.
| FXB | ^DXY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.19 | ||
| Sortino ratioReturn per unit of downside risk | +0.27 | ||
| Omega ratioGain probability vs. loss probability | 1.04 | 1.01 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 0.32 | 0.05 | +0.27 |
| Martin ratioReturn relative to average drawdown | 0.67 | 0.12 | +0.55 |
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
| FXB | ^DXY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.22 | 0.04 | +0.19 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.09 | 0.28 | -0.19 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.00 | 0.08 | -0.08 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.08 | -0.08 | 0.00 |
Drawdowns
FXB vs. ^DXY - Drawdown Comparison
The maximum FXB drawdown since its inception was -48.99%, which is greater than ^DXY's maximum drawdown of -45.13%. Use the drawdown chart below to compare losses from any high point for FXB and ^DXY.
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Drawdown Indicators
| FXB | ^DXY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -48.99% | -45.13% | -3.86% |
Max Drawdown (1Y)Largest decline over 1 year | -4.53% | -4.00% | -0.53% |
Max Drawdown (3Y)Largest decline over 3 years | -8.44% | -12.49% | +4.05% |
Max Drawdown (5Y)Largest decline over 5 years | -24.83% | -15.68% | -9.15% |
Max Drawdown (10Y)Largest decline over 10 years | -29.30% | -15.68% | -13.62% |
Current DrawdownCurrent decline from peak | -29.55% | -23.51% | -6.04% |
Average DrawdownAverage peak-to-trough decline | -27.54% | -28.17% | +0.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.16% | 1.76% | +0.40% |
Volatility
FXB vs. ^DXY - Volatility Comparison
Invesco CurrencyShares® British Pound Sterling Trust (FXB) has a higher volatility of 1.78% compared to US Dollar Currency Index (^DXY) at 1.03%. This indicates that FXB's price experiences larger fluctuations and is considered to be riskier than ^DXY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXB | ^DXY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.78% | 1.03% | +0.75% |
Volatility (6M)Calculated over the trailing 6-month period | 4.84% | 3.90% | +0.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.54% | 5.72% | +0.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.48% | 6.97% | +1.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.30% | 6.49% | +2.81% |
Frequently Asked Questions
FXB and ^DXY have a correlation of -0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXB has higher volatility (1.78%) compared to ^DXY (1.03%). In terms of maximum drawdown, FXB dropped -48.99% vs ^DXY's -45.13%.
FXB currently has the higher Sharpe Ratio (0.22 vs 0.04), 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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