FXY vs. ^TNX
FXY (Invesco CurrencyShares® Japanese Yen Trust) is Currency fund tracking the Japanese Yen, while ^TNX (Cboe 10-Year Treasury Note Yield Index) is an index. Over the past 10 years, FXY returned -4.71%/yr vs 11.14%/yr for ^TNX. At a correlation of -0.49, they often move in opposite directions.
Performance
FXY vs. ^TNX - Performance Comparison
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Returns By Period
In the year-to-date period, FXY achieves a -3.58% return, which is significantly lower than ^TNX's 10.14% return. Over the past 10 years, FXY has underperformed ^TNX with an annualized return of -4.71%, while ^TNX has yielded a comparatively higher 11.14% annualized return.
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%
^TNX
- 1D
- -0.52%
- 1M
- 2.18%
- 6M
- 9.93%
- YTD
- 10.14%
- 1Y
- 3.57%
- 3Y*
- 6.28%
- 5Y*
- 28.73%
- 10Y*
- 11.14%
FXY vs. ^TNX - 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% |
^TNX Cboe 10-Year Treasury Note Yield Index | 10.14% | -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 -0.43, 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 | -0.43 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.46 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.50 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.48 |
Correlation (All Time) Calculated using the full available price history since Feb 13, 2007 | -0.49 |
The correlation between FXY and ^TNX has been stable across timeframes, ranging from -0.50 to -0.43 - a consistent structural relationship.
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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 Cboe 10-Year Treasury Note Yield Index (^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.
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 | ^TNX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.39 | ||
| Sortino ratioReturn per unit of downside risk | -2.14 | ||
| Omega ratioGain probability vs. loss probability | 0.81 | 1.05 | -0.24 |
| Calmar ratioReturn relative to maximum drawdown | -0.91 | 0.30 | -1.21 |
| Martin ratioReturn relative to average drawdown | -1.47 | 0.54 | -2.00 |
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Drawdowns
FXY vs. ^TNX - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.62%, smaller than the maximum ^TNX drawdown of -96.85%. Use the drawdown chart below to compare losses from any high point for FXY and ^TNX.
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Drawdown Indicators
| FXY | ^TNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.62% | -96.85% | +40.23% |
Max Drawdown (1Y)Largest decline over 1 year | -10.21% | -11.94% | +1.73% |
Max Drawdown (3Y)Largest decline over 3 years | -15.91% | -27.41% | +11.50% |
Max Drawdown (5Y)Largest decline over 5 years | -34.61% | -27.41% | -7.20% |
Max Drawdown (10Y)Largest decline over 10 years | -41.64% | -84.57% | +42.93% |
Current DrawdownCurrent decline from peak | -56.51% | -71.05% | +14.54% |
Average DrawdownAverage peak-to-trough decline | -27.89% | -55.03% | +27.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.31% | 6.65% | -0.34% |
Volatility
FXY vs. ^TNX - Volatility Comparison
The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 1.53%, while Cboe 10-Year Treasury Note Yield Index (^TNX) has a volatility of 3.90%. 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.
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Volatility by Period
| FXY | ^TNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.53% | 3.90% | -2.37% |
Volatility (6M)Calculated over the trailing 6-month period | 5.50% | 10.98% | -5.48% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.08% | 14.99% | -6.91% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.24% | 31.76% | -21.52% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.18% | 47.66% | -38.48% |
Frequently Asked Questions
FXY and ^TNX have a correlation of -0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^TNX has higher volatility (3.90%) compared to FXY (1.53%). In terms of maximum drawdown, FXY dropped -56.62% vs ^TNX's -96.85%.
^TNX currently has the higher Sharpe Ratio (0.24 vs -1.15), 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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