FXY vs. BNO
FXY (Invesco CurrencyShares® Japanese Yen Trust) and BNO (United States Brent Oil Fund LP) are both exchange-traded funds - FXY is a Currency fund tracking the Japanese Yen, while BNO is a Oil & Gas fund tracking the Front Month Brent Crude Oil. Both are passively managed. Over the past 10 years, FXY returned -4.49%/yr vs 13.60%/yr for BNO. At a correlation of -0.08, they often move in opposite directions. FXY charges 0.40%/yr vs 0.90%/yr for BNO.
Performance
FXY vs. BNO - Performance Comparison
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Returns By Period
In the year-to-date period, FXY achieves a -2.28% return, which is significantly lower than BNO's 90.47% return. Over the past 10 years, FXY has underperformed BNO with an annualized return of -4.49%, while BNO has yielded a comparatively higher 13.60% annualized return.
FXY
- 1D
- -0.17%
- 1M
- -1.89%
- YTD
- -2.28%
- 6M
- -3.30%
- 1Y
- -10.40%
- 3Y*
- -4.81%
- 5Y*
- -7.79%
- 10Y*
- -4.49%
BNO
- 1D
- 1.99%
- 1M
- -10.29%
- YTD
- 90.47%
- 6M
- 86.00%
- 1Y
- 91.89%
- 3Y*
- 27.93%
- 5Y*
- 24.16%
- 10Y*
- 13.60%
FXY vs. BNO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXY Invesco CurrencyShares® Japanese Yen Trust | -2.28% | 0.09% | -10.93% | -7.44% | -12.75% | -10.90% | 4.61% | 0.37% | 2.31% | 3.17% |
BNO United States Brent Oil Fund LP | 90.47% | -5.44% | 9.67% | -3.43% | 35.25% | 62.34% | -38.23% | 36.01% | -15.30% | 15.43% |
Correlation
The correlation between FXY and BNO is -0.28, 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 | -0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.13 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.07 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.09 |
Correlation (All Time) Calculated using the full available price history since Jun 3, 2010 | -0.08 |
The correlation between FXY and BNO shifts across timeframes, from -0.28 (1 year) to -0.07 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
FXY vs. BNO — Risk / Return Rank
FXY
BNO
FXY vs. BNO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Japanese Yen Trust (FXY) and United States Brent Oil Fund LP (BNO). 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 | BNO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -1.25 | 2.23 | -3.48 |
Sortino ratioReturn per unit of downside risk | -1.85 | 2.73 | -4.58 |
Omega ratioGain probability vs. loss probability | 0.80 | 1.38 | -0.57 |
Calmar ratioReturn relative to maximum drawdown | -0.94 | 5.17 | -6.10 |
Martin ratioReturn relative to average drawdown | -1.39 | 9.76 | -11.15 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FXY | BNO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.25 | 2.23 | -3.48 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.76 | 0.69 | -1.45 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.48 | 0.37 | -0.85 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.18 | 0.14 | -0.32 |
Drawdowns
FXY vs. BNO - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.03%, smaller than the maximum BNO drawdown of -87.06%. Use the drawdown chart below to compare losses from any high point for FXY and BNO.
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Drawdown Indicators
| FXY | BNO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.03% | -87.06% | +31.03% |
Max Drawdown (1Y)Largest decline over 1 year | -11.16% | -17.87% | +6.71% |
Max Drawdown (3Y)Largest decline over 3 years | -15.12% | -23.75% | +8.63% |
Max Drawdown (5Y)Largest decline over 5 years | -33.72% | -33.70% | -0.02% |
Max Drawdown (10Y)Largest decline over 10 years | -40.84% | -75.18% | +34.34% |
Current DrawdownCurrent decline from peak | -55.93% | -10.29% | -45.64% |
Average DrawdownAverage peak-to-trough decline | -27.74% | -40.17% | +12.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.50% | 9.45% | -1.95% |
Volatility
FXY vs. BNO - Volatility Comparison
The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 1.19%, while United States Brent Oil Fund LP (BNO) has a volatility of 14.22%. This indicates that FXY experiences smaller price fluctuations and is considered to be less risky than BNO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXY | BNO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.19% | 14.22% | -13.03% |
Volatility (6M)Calculated over the trailing 6-month period | 5.75% | 36.10% | -30.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.38% | 41.46% | -33.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.24% | 35.38% | -25.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.33% | 36.68% | -27.35% |
FXY vs. BNO - Expense Ratio Comparison
FXY has a 0.40% expense ratio, which is lower than BNO's 0.90% expense ratio.
Dividends
FXY vs. BNO - Dividend Comparison
Neither FXY nor BNO has paid dividends to shareholders.
Frequently Asked Questions
FXY and BNO have a correlation of -0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BNO has higher volatility (14.22%) compared to FXY (1.19%). In terms of maximum drawdown, FXY dropped -56.03% vs BNO's -87.06%.
On 10-year performance, BNO leads with 13.60% vs -4.49% for FXY. On fees, FXY is cheaper at 0.40% per year. On volatility, FXY has been the lower-risk option at 1.19%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, BNO has performed better with a 13.60% return vs -4.49%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXY is cheaper with a 0.40% expense ratio, compared with 0.90% for BNO.
FXY and BNO have nearly identical dividend yields, around 0.00%.
FXY is categorized as Currency, while BNO is Oil & Gas. FXY tracks Japanese Yen, while BNO tracks Front Month Brent Crude Oil. They also come from different issuers: Invesco and Concierge Technologies. Their fees differ too: 0.40% for FXY and 0.90% for BNO.
BNO currently has the higher Sharpe Ratio (2.23 vs -1.25), 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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