FXE vs. ^DXY
FXE (Invesco CurrencyShares® Euro Currency Trust) is Currency fund tracking the Euro, while ^DXY (US Dollar Currency Index) is an index. Over the past 10 years, FXE returned 0.27%/yr vs 0.57%/yr for ^DXY. At a correlation of -0.92, they often move in opposite directions.
Performance
FXE vs. ^DXY - Performance Comparison
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Returns By Period
In the year-to-date period, FXE achieves a -2.89% return, which is significantly lower than ^DXY's 1.13% return. Over the past 10 years, FXE has underperformed ^DXY with an annualized return of 0.27%, while ^DXY has yielded a comparatively higher 0.57% annualized return.
FXE
- 1D
- 0.16%
- 1M
- -2.19%
- YTD
- -2.89%
- 6M
- -3.08%
- 1Y
- -1.80%
- 3Y*
- 2.93%
- 5Y*
- -0.21%
- 10Y*
- 0.27%
^DXY
- 1D
- -0.10%
- 1M
- 0.34%
- YTD
- 1.13%
- 6M
- 1.52%
- 1Y
- 1.79%
- 3Y*
- -1.49%
- 5Y*
- 1.98%
- 10Y*
- 0.57%
FXE vs. ^DXY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXE Invesco CurrencyShares® Euro Currency Trust | -2.89% | 14.52% | -4.18% | 4.87% | -6.57% | -7.83% | 7.94% | -2.90% | -5.30% | 13.05% |
^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% |
Correlation
The correlation between FXE and ^DXY is -0.91, 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 | -0.91 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.93 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.93 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.93 |
Correlation (All Time) Calculated using the full available price history since Dec 12, 2005 | -0.92 |
The correlation between FXE and ^DXY has been stable across timeframes, ranging from -0.93 to -0.91 - a consistent structural relationship.
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Return for Risk
FXE vs. ^DXY — Risk / Return Rank
FXE
^DXY
FXE vs. ^DXY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Euro Currency Trust (FXE) 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.
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.
| FXE | ^DXY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.40 | ||
| Sortino ratioReturn per unit of downside risk | -0.57 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.02 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | -0.33 | 0.16 | -0.49 |
| Martin ratioReturn relative to average drawdown | -0.77 | 0.36 | -1.13 |
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Drawdowns
FXE vs. ^DXY - Drawdown Comparison
The maximum FXE drawdown since its inception was -43.33%, roughly equal to the maximum ^DXY drawdown of -45.13%. Use the drawdown chart below to compare losses from any high point for FXE and ^DXY.
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Drawdown Indicators
| FXE | ^DXY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -43.33% | -45.13% | +1.80% |
Max Drawdown (1Y)Largest decline over 1 year | -5.40% | -4.00% | -1.40% |
Max Drawdown (3Y)Largest decline over 3 years | -8.12% | -12.49% | +4.37% |
Max Drawdown (5Y)Largest decline over 5 years | -20.61% | -15.68% | -4.93% |
Max Drawdown (10Y)Largest decline over 10 years | -26.46% | -15.68% | -10.78% |
Current DrawdownCurrent decline from peak | -29.37% | -23.51% | -5.86% |
Average DrawdownAverage peak-to-trough decline | -22.32% | -28.16% | +5.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.33% | 1.76% | +0.57% |
Volatility
FXE vs. ^DXY - Volatility Comparison
Invesco CurrencyShares® Euro Currency Trust (FXE) has a higher volatility of 1.55% compared to US Dollar Currency Index (^DXY) at 0.94%. This indicates that FXE'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
| FXE | ^DXY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.55% | 0.94% | +0.61% |
Volatility (6M)Calculated over the trailing 6-month period | 4.40% | 3.91% | +0.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.21% | 5.70% | +0.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.66% | 6.97% | +0.69% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.26% | 6.49% | +0.77% |
Frequently Asked Questions
FXE and ^DXY have a correlation of -0.91, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXE has higher volatility (1.55%) compared to ^DXY (0.94%). In terms of maximum drawdown, FXE dropped -43.33% vs ^DXY's -45.13%.
^DXY currently has the higher Sharpe Ratio (0.11 vs -0.29), 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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