FXY vs. EWJ
FXY (Invesco CurrencyShares® Japanese Yen Trust) and EWJ (iShares MSCI Japan ETF) are both exchange-traded funds - FXY is a Currency fund tracking the Japanese Yen, while EWJ is a Japan Equities fund tracking the MSCI Japan Index. Both are passively managed. Over the past 10 years, FXY returned -4.47%/yr vs 9.33%/yr for EWJ. At a correlation of -0.08, they often move in opposite directions. FXY charges 0.40%/yr vs 0.49%/yr for EWJ.
Performance
FXY vs. EWJ - Performance Comparison
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Returns By Period
In the year-to-date period, FXY achieves a -2.11% return, which is significantly lower than EWJ's 15.90% return. Over the past 10 years, FXY has underperformed EWJ with an annualized return of -4.47%, while EWJ has yielded a comparatively higher 9.33% annualized return.
FXY
- 1D
- -0.14%
- 1M
- -1.73%
- YTD
- -2.11%
- 6M
- -2.69%
- 1Y
- -11.07%
- 3Y*
- -4.76%
- 5Y*
- -7.63%
- 10Y*
- -4.47%
EWJ
- 1D
- 0.70%
- 1M
- 5.98%
- YTD
- 15.90%
- 6M
- 17.72%
- 1Y
- 30.42%
- 3Y*
- 18.14%
- 5Y*
- 8.95%
- 10Y*
- 9.33%
FXY vs. EWJ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXY Invesco CurrencyShares® Japanese Yen Trust | -2.11% | 0.09% | -10.93% | -7.44% | -12.75% | -10.90% | 4.61% | 0.37% | 2.31% | 3.17% |
EWJ iShares MSCI Japan ETF | 15.90% | 25.84% | 7.03% | 20.29% | -17.72% | 1.16% | 15.40% | 19.34% | -14.10% | 24.27% |
Correlation
The correlation between FXY and EWJ is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.41 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.25 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.26 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.10 |
Correlation (All Time) Calculated using the full available price history since Feb 14, 2007 | -0.08 |
The correlation between FXY and EWJ shifts across timeframes, from -0.08 (all time) to 0.41 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FXY vs. EWJ — Risk / Return Rank
FXY
EWJ
FXY vs. EWJ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Japanese Yen Trust (FXY) and iShares MSCI Japan ETF (EWJ). 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 | EWJ | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -1.33 | 1.56 | -2.89 |
Sortino ratioReturn per unit of downside risk | -1.96 | 2.29 | -4.24 |
Omega ratioGain probability vs. loss probability | 0.79 | 1.29 | -0.50 |
Calmar ratioReturn relative to maximum drawdown | -0.91 | 2.36 | -3.27 |
Martin ratioReturn relative to average drawdown | -1.35 | 7.94 | -9.29 |
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 | EWJ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.33 | 1.56 | -2.89 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.75 | 0.49 | -1.24 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.48 | 0.54 | -1.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.18 | 0.11 | -0.30 |
Drawdowns
FXY vs. EWJ - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.03%, smaller than the maximum EWJ drawdown of -60.93%. Use the drawdown chart below to compare losses from any high point for FXY and EWJ.
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Drawdown Indicators
| FXY | EWJ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.03% | -60.93% | +4.90% |
Max Drawdown (1Y)Largest decline over 1 year | -11.16% | -13.59% | +2.43% |
Max Drawdown (3Y)Largest decline over 3 years | -15.12% | -14.68% | -0.44% |
Max Drawdown (5Y)Largest decline over 5 years | -33.72% | -33.14% | -0.58% |
Max Drawdown (10Y)Largest decline over 10 years | -40.84% | -33.14% | -7.70% |
Current DrawdownCurrent decline from peak | -55.85% | -0.42% | -55.43% |
Average DrawdownAverage peak-to-trough decline | -27.73% | -21.74% | -5.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.64% | 4.03% | +3.61% |
Volatility
FXY vs. EWJ - Volatility Comparison
The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 1.19%, while iShares MSCI Japan ETF (EWJ) has a volatility of 4.36%. This indicates that FXY experiences smaller price fluctuations and is considered to be less risky than EWJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXY | EWJ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.19% | 4.36% | -3.17% |
Volatility (6M)Calculated over the trailing 6-month period | 5.77% | 15.03% | -9.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.43% | 19.56% | -11.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.25% | 18.23% | -7.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.33% | 17.28% | -7.95% |
FXY vs. EWJ - Expense Ratio Comparison
FXY has a 0.40% expense ratio, which is lower than EWJ's 0.49% expense ratio.
Dividends
FXY vs. EWJ - Dividend Comparison
FXY has not paid dividends to shareholders, while EWJ's dividend yield for the trailing twelve months is around 3.90%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EWJ iShares MSCI Japan ETF | 3.90% | 4.52% | 2.34% | 2.03% | 1.23% | 2.08% | 1.04% | 2.03% | 1.71% | 1.25% | 1.95% | 1.27% |
FXY Invesco CurrencyShares® Japanese Yen Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
FXY and EWJ have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EWJ has higher volatility (4.36%) compared to FXY (1.19%). In terms of maximum drawdown, FXY dropped -56.03% vs EWJ's -60.93%.
On 10-year performance, EWJ leads with 9.33% vs -4.47% 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, EWJ has performed better with a 9.33% return vs -4.47%. 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 0.49% for EWJ.
EWJ has the higher dividend yield at 3.90%, compared with 0.00% for FXY.
FXY is categorized as Currency, while EWJ is Japan Equities. FXY tracks Japanese Yen, while EWJ tracks MSCI Japan Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.40% for FXY and 0.49% for EWJ.
EWJ currently has the higher Sharpe Ratio (1.56 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.
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