FXE vs. UDN
FXE (Invesco CurrencyShares® Euro Currency Trust) and UDN (Invesco DB US Dollar Index Bearish Fund) are both Currency funds from Invesco - FXE tracks the Euro while UDN tracks the Deutsche Bank Short USD Currency Portfolio Index. Both are passively managed. Over the past 10 years, FXE returned 0.25%/yr vs -0.36%/yr for UDN. Their 0.95 correlation means they have historically moved very closely together. FXE charges 0.40%/yr vs 0.77%/yr for UDN.
Performance
FXE vs. UDN - Performance Comparison
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Returns By Period
In the year-to-date period, FXE achieves a -1.38% return, which is significantly lower than UDN's -0.66% return. Over the past 10 years, FXE has outperformed UDN with an annualized return of 0.25%, while UDN has yielded a comparatively lower -0.36% annualized return.
FXE
- 1D
- 0.02%
- 1M
- 0.97%
- 6M
- -2.36%
- YTD
- -1.38%
- 1Y
- 0.49%
- 3Y*
- 3.17%
- 5Y*
- 0.24%
- 10Y*
- 0.25%
- ALL TIME*
- 0.13%
UDN
- 1D
- 0.06%
- 1M
- 1.17%
- 6M
- -1.95%
- YTD
- -0.66%
- 1Y
- 0.62%
- 3Y*
- 2.88%
- 5Y*
- -0.30%
- 10Y*
- -0.36%
- ALL TIME*
- -0.73%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $5.51M | $8.25M | $15.67M | |
| $1.67M | $1.52M | $2.03M |
FXE vs. UDN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXE Invesco CurrencyShares® Euro Currency Trust | -1.38% | 14.52% | -4.18% | 4.87% | -6.57% | -7.83% | 7.94% | -2.90% | -5.30% | 13.05% |
UDN Invesco DB US Dollar Index Bearish Fund | -0.66% | 12.37% | -4.53% | 4.88% | -7.96% | -7.03% | 6.20% | -0.97% | -5.02% | 9.50% |
Correlation
The correlation between FXE and UDN is 0.96 - they have historically moved very closely together. At this level, their price movements offset little of one another.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.96 |
Correlation (3Y) Balances recent behavior with more history. | 0.94 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.95 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.95 |
Correlation (All Time) Calculated using the full available price history since Mar 1, 2007 | 0.95 |
The correlation between FXE and UDN has been stable across timeframes, ranging from 0.94 to 0.96 - a consistent structural relationship.
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Return for Risk
FXE vs. UDN — Risk / Return Rank
FXE
UDN
FXE vs. UDN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Euro Currency Trust (FXE) and Invesco DB US Dollar Index Bearish Fund (UDN). 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 | UDN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 0.00 | ||
| Sortino ratioReturn per unit of downside risk | +0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 1.06 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 0.35 | 0.36 | -0.01 |
| Martin ratioReturn relative to average drawdown | 0.69 | 0.69 | 0.00 |
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Drawdowns
FXE vs. UDN - Drawdown Comparison
The maximum FXE drawdown since its inception was -43.33%, roughly equal to the maximum UDN drawdown of -41.67%. Use the drawdown chart below to compare losses from any high point for FXE and UDN.
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Drawdown Indicators
| FXE | UDN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -43.33% | -41.67% | -1.66% |
Max Drawdown (1Y)Largest decline over 1 year | -5.40% | -5.13% | -0.27% |
Max Drawdown (3Y)Largest decline over 3 years | -8.12% | -8.59% | +0.47% |
Max Drawdown (5Y)Largest decline over 5 years | -20.08% | -20.44% | +0.36% |
Max Drawdown (10Y)Largest decline over 10 years | -26.46% | -25.72% | -0.74% |
Current DrawdownCurrent decline from peak | -28.27% | -27.74% | -0.53% |
Average DrawdownAverage peak-to-trough decline | -22.35% | -20.67% | -1.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.71% | 2.64% | +0.07% |
Volatility
FXE vs. UDN - Volatility Comparison
The current volatility for Invesco CurrencyShares® Euro Currency Trust (FXE) is 1.33%, while Invesco DB US Dollar Index Bearish Fund (UDN) has a volatility of 1.53%. This indicates that FXE experiences smaller price fluctuations and is considered to be less risky than UDN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXE | UDN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.33% | 1.53% | -0.20% |
Volatility (6M)Calculated over the trailing 6-month period | 4.07% | 4.09% | -0.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.93% | 5.89% | +0.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.66% | 7.42% | +0.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.25% | 6.84% | +0.41% |
FXE vs. UDN - Expense Ratio Comparison
FXE has a 0.40% expense ratio, which is lower than UDN's 0.77% expense ratio.
Dividends
FXE vs. UDN - Dividend Comparison
FXE's dividend yield for the trailing twelve months is around 0.74%, less than UDN's 2.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FXE Invesco CurrencyShares® Euro Currency Trust | 0.68% | 0.94% | 2.28% | 1.49% | 0.01% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
UDN Invesco DB US Dollar Index Bearish Fund | 2.96% | 2.94% | 5.33% | 5.21% | 0.69% | 0.00% | 0.00% | 1.38% | 1.26% | 0.11% |
Frequently Asked Questions
With a correlation of 0.96, FXE and UDN move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
UDN has higher volatility (1.53%) compared to FXE (1.33%). In terms of maximum drawdown, FXE dropped -43.33% vs UDN's -41.67%.
On 10-year performance, FXE leads with 0.25% vs -0.36% for UDN. On fees, FXE is cheaper at 0.40% per year. On volatility, FXE has been the lower-risk option at 1.33%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FXE has performed better with a 0.25% return vs -0.36%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXE is cheaper with a 0.40% expense ratio, compared with 0.77% for UDN.
UDN has the higher dividend yield at 2.96%, compared with 0.68% for FXE.
FXE tracks Euro, while UDN tracks Deutsche Bank Short USD Currency Portfolio Index. Their fees differ too: 0.40% for FXE and 0.77% for UDN.
FXE currently has the higher Sharpe Ratio (0.32 vs 0.31), 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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