FXY vs. ^DXY
FXY (Invesco CurrencyShares® Japanese Yen Trust) is Currency fund tracking the Japanese Yen, while ^DXY (US Dollar Currency Index) is an index. Over the past 10 years, FXY returned -4.40%/yr vs 0.57%/yr for ^DXY. At a correlation of -0.46, they often move in opposite directions.
Performance
FXY vs. ^DXY - Performance Comparison
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Returns By Period
In the year-to-date period, FXY achieves a -2.25% return, which is significantly lower than ^DXY's 1.13% return. Over the past 10 years, FXY has underperformed ^DXY with an annualized return of -4.40%, while ^DXY has yielded a comparatively higher 0.57% annualized return.
FXY
- 1D
- 0.03%
- 1M
- -1.44%
- YTD
- -2.25%
- 6M
- -3.29%
- 1Y
- -11.02%
- 3Y*
- -4.90%
- 5Y*
- -7.78%
- 10Y*
- -4.40%
^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%
FXY vs. ^DXY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXY Invesco CurrencyShares® Japanese Yen Trust | -2.25% | 0.09% | -10.93% | -7.44% | -12.75% | -10.90% | 4.61% | 0.37% | 2.31% | 3.17% |
^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 FXY and ^DXY is -0.72, 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 | -0.72 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.65 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.60 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.56 |
Correlation (All Time) Calculated using the full available price history since Feb 14, 2007 | -0.46 |
Over the past year, the inverse relationship between FXY and ^DXY has strengthened: their correlation has moved from -0.46 to -0.72, meaning they now move in opposite directions more often than their long-term average.
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Return for Risk
FXY vs. ^DXY — Risk / Return Rank
FXY
^DXY
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 ratioReturn per unit of total volatility | -1.44 | ||
| Sortino ratioReturn per unit of downside risk | -2.16 | ||
| Omega ratioGain probability vs. loss probability | 0.79 | 1.02 | -0.23 |
| Calmar ratioReturn relative to maximum drawdown | -1.03 | 0.16 | -1.19 |
| Martin ratioReturn relative to average drawdown | -1.54 | 0.36 | -1.90 |
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
| FXY | ^DXY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.33 | 0.11 | -1.44 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.76 | 0.28 | -1.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.47 | 0.09 | -0.56 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.18 | -0.08 | -0.11 |
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.
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Drawdown Indicators
| FXY | ^DXY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.03% | -45.13% | -10.90% |
Max Drawdown (1Y)Largest decline over 1 year | -10.74% | -4.00% | -6.74% |
Max Drawdown (3Y)Largest decline over 3 years | -15.12% | -12.49% | -2.63% |
Max Drawdown (5Y)Largest decline over 5 years | -33.72% | -15.68% | -18.04% |
Max Drawdown (10Y)Largest decline over 10 years | -40.84% | -15.68% | -25.16% |
Current DrawdownCurrent decline from peak | -55.92% | -23.51% | -32.41% |
Average DrawdownAverage peak-to-trough decline | -27.74% | -28.17% | +0.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.53% | 1.76% | +5.77% |
Volatility
FXY vs. ^DXY - Volatility Comparison
Invesco CurrencyShares® Japanese Yen Trust (FXY) has a higher volatility of 1.14% compared to US Dollar Currency Index (^DXY) at 0.94%. 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.
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Volatility by Period
| FXY | ^DXY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.14% | 0.94% | +0.20% |
Volatility (6M)Calculated over the trailing 6-month period | 5.75% | 3.91% | +1.84% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.34% | 5.70% | +2.64% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.24% | 6.97% | +3.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.33% | 6.49% | +2.84% |
Frequently Asked Questions
FXY and ^DXY have a correlation of -0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXY has higher volatility (1.14%) compared to ^DXY (0.94%). In terms of maximum drawdown, FXY dropped -56.03% vs ^DXY's -45.13%.
^DXY currently has the higher Sharpe Ratio (0.11 vs -1.33), 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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