FXY vs. ^TNX
Compare and contrast key facts about Invesco CurrencyShares® Japanese Yen Trust (FXY) and Treasury Yield 10 Years (^TNX).
FXY is a passively managed fund by Invesco that tracks the performance of the Japanese Yen. It was launched on Feb 12, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FXY or ^TNX.
Key characteristics
| FXY | ^TNX | |
|---|---|---|
| YTD Return | -9.83% | 14.28% |
| 1Y Return | -4.00% | -2.58% |
| 3Y Return (Ann) | -10.39% | 39.81% |
| 5Y Return (Ann) | -7.46% | 19.29% |
| 10Y Return (Ann) | -3.39% | 6.58% |
| Sharpe Ratio | -0.28 | -0.02 |
| Sortino Ratio | -0.35 | 0.14 |
| Omega Ratio | 0.96 | 1.01 |
| Calmar Ratio | -0.06 | -0.01 |
| Martin Ratio | -0.44 | -0.05 |
| Ulcer Index | 7.04% | 11.32% |
| Daily Std Dev | 11.11% | 23.12% |
| Max Drawdown | -56.03% | -93.78% |
| Current Drawdown | -54.39% | -44.93% |
Correlation
The correlation between FXY and ^TNX is -0.49. 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.
Performance
FXY vs. ^TNX - Performance Comparison
In the year-to-date period, FXY achieves a -9.83% return, which is significantly lower than ^TNX's 14.28% return. Over the past 10 years, FXY has underperformed ^TNX with an annualized return of -3.39%, while ^TNX has yielded a comparatively higher 6.58% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
FXY vs. ^TNX - Risk-Adjusted Performance 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.
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. For additional features, visit the drawdowns tool.
Volatility
FXY vs. ^TNX - Volatility Comparison
The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 3.41%, while Treasury Yield 10 Years (^TNX) has a volatility of 6.38%. 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.