FXY vs. ^TNX
FXY (Invesco CurrencyShares® Japanese Yen Trust) is Currency fund tracking the Japanese Yen, while ^TNX (Treasury Yield 10 Years) is an index. Over the past 10 years, FXY returned -4.40%/yr vs 10.02%/yr for ^TNX. At a correlation of -0.49, they often move in opposite directions.
Performance
FXY vs. ^TNX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, FXY achieves a -2.25% return, which is significantly lower than ^TNX's 7.54% return. Over the past 10 years, FXY has underperformed ^TNX with an annualized return of -4.40%, while ^TNX has yielded a comparatively higher 10.02% 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%
^TNX
- 1D
- -0.31%
- 1M
- 1.38%
- YTD
- 7.54%
- 6M
- 8.98%
- 1Y
- 2.57%
- 3Y*
- 6.63%
- 5Y*
- 23.47%
- 10Y*
- 10.02%
FXY vs. ^TNX - 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% |
^TNX Treasury Yield 10 Years | 7.54% | -8.97% | 18.29% | -0.34% | 156.55% | 64.89% | -52.21% | -28.56% | 11.68% | -1.68% |
Correlation
The correlation between FXY and ^TNX is -0.48, 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 | -0.48 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.47 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.51 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.49 |
Correlation (All Time) Calculated using the full available price history since Feb 14, 2007 | -0.49 |
The correlation between FXY and ^TNX has been stable across timeframes, ranging from -0.51 to -0.47 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
FXY vs. ^TNX — Risk / Return Rank
FXY
^TNX
FXY vs. ^TNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Japanese Yen Trust (FXY) and Treasury Yield 10 Years (^TNX). 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 | ^TNX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.50 | ||
| Sortino ratioReturn per unit of downside risk | -2.32 | ||
| Omega ratioGain probability vs. loss probability | 0.79 | 1.04 | -0.25 |
| Calmar ratioReturn relative to maximum drawdown | -1.03 | 0.21 | -1.24 |
| Martin ratioReturn relative to average drawdown | -1.54 | 0.37 | -1.91 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| FXY | ^TNX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.33 | 0.17 | -1.50 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.76 | 0.73 | -1.49 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.47 | 0.21 | -0.68 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.18 | -0.02 | -0.16 |
Drawdowns
FXY vs. ^TNX - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.03%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for FXY and ^TNX.
Loading charts...
Drawdown Indicators
| FXY | ^TNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.03% | -93.78% | +37.75% |
Max Drawdown (1Y)Largest decline over 1 year | -10.74% | -12.35% | +1.61% |
Max Drawdown (3Y)Largest decline over 3 years | -15.12% | -27.41% | +12.29% |
Max Drawdown (5Y)Largest decline over 5 years | -33.72% | -27.41% | -6.31% |
Max Drawdown (10Y)Largest decline over 10 years | -40.84% | -84.57% | +43.73% |
Current DrawdownCurrent decline from peak | -55.92% | -44.20% | -11.72% |
Average DrawdownAverage peak-to-trough decline | -27.74% | -51.34% | +23.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.53% | 6.97% | +0.56% |
Volatility
FXY vs. ^TNX - Volatility Comparison
The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 1.14%, while Treasury Yield 10 Years (^TNX) has a volatility of 5.04%. This indicates that FXY experiences smaller price fluctuations and is considered to be less risky than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| FXY | ^TNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.14% | 5.04% | -3.90% |
Volatility (6M)Calculated over the trailing 6-month period | 5.75% | 10.62% | -4.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.34% | 15.51% | -7.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.24% | 32.43% | -22.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.33% | 47.98% | -38.65% |
Frequently Asked Questions
FXY and ^TNX have a correlation of -0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^TNX has higher volatility (5.04%) compared to FXY (1.14%). In terms of maximum drawdown, FXY dropped -56.03% vs ^TNX's -93.78%.
^TNX currently has the higher Sharpe Ratio (0.17 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.
Find the right allocation for FXY and ^TNX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer