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. 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
FXY
- 1D
- 0.19%
- 1M
- -1.21%
- 6M
- -2.06%
- YTD
- -3.58%
- 1Y
- -9.23%
- 3Y*
- -5.44%
- 5Y*
- -7.97%
- 10Y*
- -4.71%
^DXY
- 1D
- —
- 1M
- —
- 6M
- —
- YTD
- —
- 1Y
- —
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
FXY vs. ^DXY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXY Invesco CurrencyShares® Japanese Yen Trust | -3.58% | 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 -0.70, 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 | -0.70 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.64 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.60 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.57 |
Correlation (All Time) Calculated using the full available price history since Feb 13, 2007 | -0.46 |
Over the past year, the inverse relationship between FXY and ^DXY has strengthened: their correlation has moved from -0.46 to -0.70, 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.
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.
| FXY | ^DXY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | — | |
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | 0.81 | — | — |
| Calmar ratioReturn relative to maximum drawdown | -0.91 | — | — |
| Martin ratioReturn relative to average drawdown | -1.47 | — | — |
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Drawdowns
FXY vs. ^DXY - Drawdown Comparison
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Drawdown Indicators
| FXY | ^DXY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.62% | — | — |
Max Drawdown (1Y)Largest decline over 1 year | -10.21% | — | — |
Max Drawdown (3Y)Largest decline over 3 years | -15.91% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -34.61% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -41.64% | — | — |
Current DrawdownCurrent decline from peak | -56.51% | — | — |
Average DrawdownAverage peak-to-trough decline | -27.89% | — | — |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.31% | — | — |
Volatility
FXY vs. ^DXY - Volatility Comparison
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Volatility by Period
| FXY | ^DXY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.53% | — | — |
Volatility (6M)Calculated over the trailing 6-month period | 5.50% | — | — |
Volatility (1Y)Calculated over the trailing 1-year period | 8.08% | — | — |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.24% | — | — |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.18% | — | — |
Frequently Asked Questions
FXY and ^DXY have a correlation of -0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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