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 0.17%/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 -0.84% 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 0.17%, while ^DXY has yielded a comparatively higher 0.57% annualized return.
FXE
- 1D
- 0.19%
- 1M
- -0.62%
- YTD
- -0.84%
- 6M
- 0.08%
- 1Y
- 2.50%
- 3Y*
- 4.31%
- 5Y*
- -0.19%
- 10Y*
- 0.17%
^DXY
- 1D
- -0.10%
- 1M
- 1.00%
- YTD
- 1.13%
- 6M
- 0.45%
- 1Y
- 0.65%
- 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 | -0.84% | 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 -0.94, 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 | -0.94 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.93 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.94 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.93 |
Correlation (All Time) Calculated using the full available price history since Dec 13, 2005 | -0.92 |
The correlation between FXE and ^DXY has been stable across timeframes, ranging from -0.94 to -0.92 - 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.
| FXE | ^DXY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.29 | ||
| Sortino ratioReturn per unit of downside risk | +0.44 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 1.02 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 0.50 | 0.16 | +0.34 |
| Martin ratioReturn relative to average drawdown | 1.19 | 0.36 | +0.83 |
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
| FXE | ^DXY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.40 | 0.11 | +0.29 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.03 | 0.28 | -0.30 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.02 | 0.09 | -0.06 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.02 | -0.08 | +0.10 |
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 | -5.02% | -4.00% | -1.02% |
Max Drawdown (3Y)Largest decline over 3 years | -8.12% | -12.49% | +4.37% |
Max Drawdown (5Y)Largest decline over 5 years | -22.32% | -15.68% | -6.64% |
Max Drawdown (10Y)Largest decline over 10 years | -26.46% | -15.68% | -10.78% |
Current DrawdownCurrent decline from peak | -27.88% | -23.51% | -4.37% |
Average DrawdownAverage peak-to-trough decline | -22.31% | -28.17% | +5.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.10% | 1.76% | +0.34% |
Volatility
FXE vs. ^DXY - Volatility Comparison
Invesco CurrencyShares® Euro Currency Trust (FXE) has a higher volatility of 1.24% 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 | 1.24% | 0.94% | +0.30% |
Volatility (6M)Calculated over the trailing 6-month period | 4.24% | 3.91% | +0.33% |
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 | 7.32% | 6.49% | +0.83% |
Frequently Asked Questions
FXE and ^DXY have a correlation of -0.94, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXE has higher volatility (1.24%) compared to ^DXY (0.94%). In terms of maximum drawdown, FXE dropped -43.33% vs ^DXY's -45.13%.
FXE currently has the higher Sharpe Ratio (0.40 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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