FXY vs. ACLO
FXY (Invesco CurrencyShares® Japanese Yen Trust) and ACLO (TCW AAA CLO ETF) are both exchange-traded funds - FXY is a Currency fund tracking the Japanese Yen, while ACLO is a CLO fund actively managed by TCW. FXY is passively managed, while ACLO is actively managed. Over the past year, FXY returned -6.74% vs 5.11% for ACLO. Their -0.18 correlation means they have often moved in opposite directions in the past. FXY charges 0.40%/yr vs 0.20%/yr for ACLO.
Performance
FXY vs. ACLO - Performance Comparison
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Returns By Period
In the year-to-date period, FXY achieves a -0.89% return, which is significantly lower than ACLO's 3.03% return.
FXY
- 1D
- 0.00%
- 1M
- 2.76%
- 6M
- -0.75%
- YTD
- -0.89%
- 1Y
- -6.74%
- 3Y*
- -3.89%
- 5Y*
- -7.39%
- 10Y*
- -4.78%
- ALL TIME*
- -1.78%
ACLO
- 1D
- 0.01%
- 1M
- 0.40%
- 6M
- 2.39%
- YTD
- 3.03%
- 1Y
- 5.11%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 5.39%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
ACLO TCW AAA CLO ETF | $1.06M | $964.88K | $1.35M |
| $30.28M | $18.59M | $12.83M |
FXY vs. ACLO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
FXY Invesco CurrencyShares® Japanese Yen Trust | -0.89% | 0.09% | -2.02% |
ACLO TCW AAA CLO ETF | 3.03% | 5.32% | 0.81% |
Correlation
The correlation between FXY and ACLO is -0.23, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.23 |
Correlation (All Time) Calculated using the full available price history since Nov 18, 2024 | -0.18 |
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Return for Risk
FXY vs. ACLO — Risk / Return Rank
FXY
ACLO
FXY vs. ACLO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Japanese Yen Trust (FXY) and TCW AAA CLO ETF (ACLO). 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 | ACLO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -8.06 | ||
| Sortino ratioReturn per unit of downside risk | -16.15 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 3.38 | -2.52 |
| Calmar ratioReturn relative to maximum drawdown | -0.62 | 19.15 | -19.77 |
| Martin ratioReturn relative to average drawdown | -1.00 | 162.03 | -163.04 |
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Drawdowns
FXY vs. ACLO - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.95%, which is greater than ACLO's maximum drawdown of -1.01%. Use the drawdown chart below to compare losses from any high point for FXY and ACLO.
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Drawdown Indicators
| FXY | ACLO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.95% | -1.01% | -55.94% |
Max Drawdown (1Y)Largest decline over 1 year | -10.86% | -0.27% | -10.59% |
Max Drawdown (3Y)Largest decline over 3 years | -14.91% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -34.99% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -42.08% | — | — |
Current DrawdownCurrent decline from peak | -55.30% | 0.00% | -55.30% |
Average DrawdownAverage peak-to-trough decline | -27.98% | -0.04% | -27.94% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.72% | 0.03% | +6.69% |
Volatility
FXY vs. ACLO - Volatility Comparison
Invesco CurrencyShares® Japanese Yen Trust (FXY) has a higher volatility of 3.19% compared to TCW AAA CLO ETF (ACLO) at 0.18%. This indicates that FXY's price experiences larger fluctuations and is considered to be riskier than ACLO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXY | ACLO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.19% | 0.18% | +3.01% |
Volatility (6M)Calculated over the trailing 6-month period | 5.63% | 0.56% | +5.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.10% | 0.71% | +7.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.31% | 1.04% | +9.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.13% | 1.04% | +8.09% |
FXY vs. ACLO - Expense Ratio Comparison
FXY has a 0.40% expense ratio, which is higher than ACLO's 0.20% expense ratio.
Dividends
FXY vs. ACLO - Dividend Comparison
FXY has not paid dividends to shareholders, while ACLO's dividend yield for the trailing twelve months is around 4.89%.
| Position | TTM | 2025 | 2024 |
|---|---|---|---|
ACLO TCW AAA CLO ETF | 4.89% | 4.87% | 0.59% |
FXY Invesco CurrencyShares® Japanese Yen Trust | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
FXY and ACLO have a correlation of -0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXY has higher volatility (3.19%) compared to ACLO (0.18%). In terms of maximum drawdown, FXY dropped -56.95% vs ACLO's -1.01%.
On 1-year performance, ACLO leads with 5.11% vs -6.74% for FXY. On fees, ACLO is cheaper at 0.20% per year. On volatility, ACLO has been the lower-risk option at 0.18%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, ACLO has performed better with a 5.11% return vs -6.74%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ACLO is cheaper with a 0.20% expense ratio, compared with 0.40% for FXY.
ACLO has the higher dividend yield at 4.89%, compared with 0.00% for FXY.
FXY is categorized as Currency, while ACLO is CLO. They also come from different issuers: Invesco and TCW. Their fees differ too: 0.40% for FXY and 0.20% for ACLO.
ACLO currently has the higher Sharpe Ratio (7.22 vs -0.84), 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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