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 0.23%/yr vs -0.45%/yr for UDN. With a 0.95 correlation, they move nearly in lockstep. 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 -2.81% return, which is significantly lower than UDN's -2.36% return. Over the past 10 years, FXE has outperformed UDN with an annualized return of 0.23%, while UDN has yielded a comparatively lower -0.45% annualized return.
FXE
- 1D
- -0.38%
- 1M
- -1.87%
- YTD
- -2.81%
- 6M
- -3.08%
- 1Y
- -1.02%
- 3Y*
- 3.01%
- 5Y*
- -0.19%
- 10Y*
- 0.23%
UDN
- 1D
- -0.34%
- 1M
- -2.04%
- YTD
- -2.36%
- 6M
- -2.68%
- 1Y
- -1.37%
- 3Y*
- 2.64%
- 5Y*
- -0.72%
- 10Y*
- -0.45%
FXE vs. UDN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXE Invesco CurrencyShares® Euro Currency Trust | -2.81% | 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 | -2.36% | 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 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.96 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.94 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.95 |
Correlation (10Y) Calculated over the trailing 10-year period | 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 | +0.06 | ||
| Sortino ratioReturn per unit of downside risk | +0.09 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 0.97 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | -0.20 | -0.28 | +0.08 |
| Martin ratioReturn relative to average drawdown | -0.45 | -0.60 | +0.15 |
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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 | -5.17% | -4.91% | -0.26% |
Max Drawdown (3Y)Largest decline over 3 years | -8.12% | -8.59% | +0.47% |
Max Drawdown (5Y)Largest decline over 5 years | -20.61% | -20.82% | +0.21% |
Max Drawdown (10Y)Largest decline over 10 years | -26.46% | -25.72% | -0.74% |
Current DrawdownCurrent decline from peak | -29.31% | -28.97% | -0.34% |
Average DrawdownAverage peak-to-trough decline | -22.32% | -20.63% | -1.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.28% | 2.28% | 0.00% |
Volatility
FXE vs. UDN - Volatility Comparison
Invesco CurrencyShares® Euro Currency Trust (FXE) has a higher volatility of 1.55% compared to Invesco DB US Dollar Index Bearish Fund (UDN) at 1.37%. This indicates that FXE's price experiences larger fluctuations and is considered to be riskier 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 | 1.55% | 1.37% | +0.18% |
Volatility (6M)Calculated over the trailing 6-month period | 4.41% | 4.34% | +0.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.24% | 6.05% | +0.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.66% | 7.41% | +0.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.27% | 6.86% | +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 3.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FXE Invesco CurrencyShares® Euro Currency Trust | 0.74% | 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 | 3.01% | 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.
FXE has higher volatility (1.55%) compared to UDN (1.37%). In terms of maximum drawdown, FXE dropped -43.33% vs UDN's -41.67%.
On 10-year performance, FXE leads with 0.23% vs -0.45% for UDN. On fees, FXE is cheaper at 0.40% per year. On volatility, UDN has been the lower-risk option at 1.37%. 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 0.23% return vs -0.45%. 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 3.01%, compared with 0.74% 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 (-0.17 vs -0.23), 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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