FXY vs. ^DXY

Last updated Apr 2, 2026

Compare and contrast key facts about Invesco CurrencyShares® Japanese Yen Trust (FXY) and US Dollar Currency Index (^DXY).

FXY is a passively managed fund by Invesco that tracks the performance of the Japanese Yen. It was launched on Feb 12, 2007.

Performance

FXY vs. ^DXY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco CurrencyShares® Japanese Yen Trust (FXY) and US Dollar Currency Index (^DXY). The values are adjusted to include any dividend payments, if applicable.

FXY vs. ^DXY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FXY Invesco CurrencyShares® Japanese Yen Trust	-1.48%	0.09%	-10.93%	-7.44%	-12.75%	-10.90%	4.61%	0.37%	2.31%	3.17%
^DXY US Dollar Currency Index	1.27%	-9.37%	7.06%	-2.11%	7.87%	6.71%	-6.69%	0.22%	4.40%	-9.87%

Returns By Period

In the year-to-date period, FXY achieves a -1.48% return, which is significantly lower than ^DXY's 1.27% return. Over the past 10 years, FXY has underperformed ^DXY with an annualized return of -3.97%, while ^DXY has yielded a comparatively higher 0.51% annualized return.

FXY

• 1D: -0.14%
• 1M: -1.03%
• YTD: -1.48%
• 6M: -7.55%
• 1Y: -6.20%
• 3Y*: -6.24%
• 5Y*: -7.47%
• 10Y*: -3.97%

^DXY

• 1D: -0.39%
• 1M: 1.21%
• YTD: 1.27%
• 6M: 1.91%
• 1Y: -4.50%
• 3Y*: -0.96%
• 5Y*: 1.37%
• 10Y*: 0.51%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

FXY vs. ^DXY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FXY

FXY Risk / Return Rank: 4
FXY Sharpe Ratio Rank: 3
FXY Sortino Ratio Rank: 2
FXY Omega Ratio Rank: 3
FXY Calmar Ratio Rank: 4
FXY Martin Ratio Rank: 5

^DXY

^DXY Risk / Return Rank: 1
^DXY Sharpe Ratio Rank: 1
^DXY Sortino Ratio Rank: 0
^DXY Omega Ratio Rank: 1
^DXY Calmar Ratio Rank: 0
^DXY Martin Ratio Rank: 5

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FXY vs. ^DXY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Japanese Yen Trust (FXY) 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.

	FXY	^DXY	Difference
Sharpe ratio Return per unit of total volatility	-0.61	-0.62	+0.02
Sortino ratio Return per unit of downside risk	-0.82	-0.80	-0.02
Omega ratio Gain probability vs. loss probability	0.91	0.90	0.00
Calmar ratio Return relative to maximum drawdown	-0.48	-0.59	+0.11
Martin ratio Return relative to average drawdown	-0.80	-1.01	+0.21
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FXY vs. ^DXY - Sharpe Ratio Comparison

The current FXY Sharpe Ratio is -0.61, which is comparable to the ^DXY Sharpe Ratio of -0.62. The chart below compares the historical Sharpe Ratios of FXY and ^DXY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	FXY	^DXY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.61	-0.62	+0.02
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.74	0.19	-0.93
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.42	0.08	-0.50
Sharpe Ratio (All Time) Calculated using the full available price history	-0.18	-0.08	-0.10

Correlation

The correlation between FXY and ^DXY is -0.46. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Drawdowns

FXY vs. ^DXY - Drawdown Comparison

The maximum FXY drawdown since its inception was -56.03%, which is greater than ^DXY's maximum drawdown of -45.13%. Use the drawdown chart below to compare losses from any high point for FXY and ^DXY.

Drawdown Indicators

	FXY	^DXY	Difference
Max Drawdown Largest peak-to-trough decline	-56.03%	-45.13%	-10.90%
Max Drawdown (1Y) Largest decline over 1 year	-12.45%	-7.31%	-5.14%
Max Drawdown (5Y) Largest decline over 5 years	-34.49%	-15.68%	-18.81%
Max Drawdown (10Y) Largest decline over 10 years	-40.84%	-15.68%	-25.16%
Current Drawdown Current decline from peak	-55.57%	-23.41%	-32.16%
Average Drawdown Average peak-to-trough decline	-27.49%	-28.18%	+0.69%
Ulcer Index Depth and duration of drawdowns from previous peaks	7.49%	3.20%	+4.29%

Volatility

FXY vs. ^DXY - Volatility Comparison

Invesco CurrencyShares® Japanese Yen Trust (FXY) has a higher volatility of 2.33% compared to US Dollar Currency Index (^DXY) at 2.19%. This indicates that FXY'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.

Volatility by Period

	FXY	^DXY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.33%	2.19%	+0.14%
Volatility (6M) Calculated over the trailing 6-month period	6.07%	3.98%	+2.09%
Volatility (1Y) Calculated over the trailing 1-year period	10.25%	7.05%	+3.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.20%	7.00%	+3.20%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.47%	6.53%	+2.94%