FXF vs. UDN
FXF (Invesco CurrencyShares® Swiss Franc Trust) and UDN (Invesco DB US Dollar Index Bearish Fund) are both Currency funds from Invesco - FXF tracks the Swiss Franc while UDN tracks the Deutsche Bank Short USD Currency Portfolio Index. Both are passively managed. Over the past 10 years, FXF returned 0.94%/yr vs -0.47%/yr for UDN. A 0.78 correlation means they provide meaningful diversification when combined. FXF charges 0.40%/yr vs 0.77%/yr for UDN.
Performance
FXF vs. UDN - Performance Comparison
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Returns By Period
In the year-to-date period, FXF achieves a -2.83% return, which is significantly lower than UDN's -2.58% return. Over the past 10 years, FXF has outperformed UDN with an annualized return of 0.94%, while UDN has yielded a comparatively lower -0.47% annualized return.
FXF
- 1D
- -0.40%
- 1M
- -3.52%
- YTD
- -2.83%
- 6M
- -3.28%
- 1Y
- -1.53%
- 3Y*
- 3.01%
- 5Y*
- 1.88%
- 10Y*
- 0.94%
UDN
- 1D
- -0.22%
- 1M
- -2.26%
- YTD
- -2.58%
- 6M
- -2.84%
- 1Y
- -2.17%
- 3Y*
- 2.56%
- 5Y*
- -0.77%
- 10Y*
- -0.47%
FXF vs. UDN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXF Invesco CurrencyShares® Swiss Franc Trust | -2.83% | 14.04% | -7.46% | 9.63% | -2.29% | -4.08% | 8.18% | 0.32% | -2.01% | 3.31% |
UDN Invesco DB US Dollar Index Bearish Fund | -2.58% | 12.37% | -4.53% | 4.88% | -7.96% | -7.03% | 6.20% | -0.97% | -5.02% | 9.50% |
Correlation
The correlation between FXF and UDN is 0.87, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.87 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.79 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.78 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.78 |
Correlation (All Time) Calculated using the full available price history since Mar 1, 2007 | 0.78 |
The correlation between FXF and UDN has been stable across timeframes, ranging from 0.78 to 0.87 - a consistent structural relationship.
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Return for Risk
FXF vs. UDN — Risk / Return Rank
FXF
UDN
FXF vs. UDN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Swiss Franc Trust (FXF) 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.
| FXF | UDN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.16 | ||
| Sortino ratioReturn per unit of downside risk | +0.23 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 0.95 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | -0.24 | -0.43 | +0.19 |
| Martin ratioReturn relative to average drawdown | -0.62 | -0.95 | +0.32 |
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Drawdowns
FXF vs. UDN - Drawdown Comparison
The maximum FXF drawdown since its inception was -35.58%, smaller than the maximum UDN drawdown of -41.67%. Use the drawdown chart below to compare losses from any high point for FXF and UDN.
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Drawdown Indicators
| FXF | UDN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.58% | -41.67% | +6.09% |
Max Drawdown (1Y)Largest decline over 1 year | -6.50% | -5.13% | -1.37% |
Max Drawdown (3Y)Largest decline over 3 years | -8.52% | -8.59% | +0.07% |
Max Drawdown (5Y)Largest decline over 5 years | -11.99% | -20.82% | +8.83% |
Max Drawdown (10Y)Largest decline over 10 years | -15.04% | -25.72% | +10.68% |
Current DrawdownCurrent decline from peak | -20.68% | -29.13% | +8.45% |
Average DrawdownAverage peak-to-trough decline | -20.83% | -20.63% | -0.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.45% | 2.30% | +0.15% |
Volatility
FXF vs. UDN - Volatility Comparison
Invesco CurrencyShares® Swiss Franc Trust (FXF) has a higher volatility of 1.96% compared to Invesco DB US Dollar Index Bearish Fund (UDN) at 1.37%. This indicates that FXF'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
| FXF | UDN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.96% | 1.37% | +0.59% |
Volatility (6M)Calculated over the trailing 6-month period | 5.66% | 4.34% | +1.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.44% | 6.04% | +1.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.32% | 7.41% | +0.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.57% | 6.86% | +0.71% |
FXF vs. UDN - Expense Ratio Comparison
FXF has a 0.40% expense ratio, which is lower than UDN's 0.77% expense ratio.
Dividends
FXF vs. UDN - Dividend Comparison
FXF has not paid dividends to shareholders, while UDN's dividend yield for the trailing twelve months is around 3.01%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FXF Invesco CurrencyShares® Swiss Franc Trust | 0.00% | 0.00% | 0.03% | 0.02% | 0.00% | 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
FXF and UDN have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXF has higher volatility (1.96%) compared to UDN (1.37%). In terms of maximum drawdown, FXF dropped -35.58% vs UDN's -41.67%.
On 10-year performance, FXF leads with 0.94% vs -0.47% for UDN. On fees, FXF 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, FXF has performed better with a 0.94% return vs -0.47%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXF 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 0.00% for FXF.
FXF tracks Swiss Franc, while UDN tracks Deutsche Bank Short USD Currency Portfolio Index. Their fees differ too: 0.40% for FXF and 0.77% for UDN.
FXF currently has the higher Sharpe Ratio (-0.21 vs -0.36), 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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