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 -4.95%/yr vs 8.96%/yr for EWJ. Their -0.08 correlation means they have often moved in opposite directions in the past. 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 -1.72% return, which is significantly lower than EWJ's 15.05% return. Over the past 10 years, FXY has underperformed EWJ with an annualized return of -4.95%, while EWJ has yielded a comparatively higher 8.96% annualized return.
FXY
- 1D
- 0.14%
- 1M
- 1.25%
- 6M
- -2.96%
- YTD
- -1.72%
- 1Y
- -7.64%
- 3Y*
- -3.84%
- 5Y*
- -7.64%
- 10Y*
- -4.95%
- ALL TIME*
- -1.82%
EWJ
- 1D
- -0.96%
- 1M
- -0.81%
- 6M
- 8.37%
- YTD
- 15.05%
- 1Y
- 30.10%
- 3Y*
- 17.16%
- 5Y*
- 9.17%
- 10Y*
- 8.96%
- ALL TIME*
- 2.61%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $420.68M | $453.45M | $519.58M | |
| $25.81M | $16.82M | $12.69M |
FXY vs. EWJ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXY Invesco CurrencyShares® Japanese Yen Trust | -1.72% | 0.09% | -10.93% | -7.44% | -12.75% | -10.90% | 4.61% | 0.37% | 2.31% | 3.17% |
EWJ iShares MSCI Japan ETF | 15.05% | 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 0.35, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.35 |
Correlation (3Y) Balances recent behavior with more history. | 0.24 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.26 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.11 |
Correlation (All Time) Calculated using the full available price history since Feb 13, 2007 | -0.08 |
The correlation between FXY and EWJ shifts across timeframes, from -0.08 (all time) to 0.35 (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.
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 | EWJ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.16 | ||
| Sortino ratioReturn per unit of downside risk | -3.14 | ||
| Omega ratioGain probability vs. loss probability | 0.89 | 1.28 | -0.39 |
| Calmar ratioReturn relative to maximum drawdown | -0.52 | 2.28 | -2.80 |
| Martin ratioReturn relative to average drawdown | -0.84 | 7.33 | -8.17 |
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Drawdowns
FXY vs. EWJ - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.95%, 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 | -56.95% | -60.93% | +3.98% |
Max Drawdown (1Y)Largest decline over 1 year | -10.86% | -13.59% | +2.73% |
Max Drawdown (3Y)Largest decline over 3 years | -14.91% | -14.68% | -0.23% |
Max Drawdown (5Y)Largest decline over 5 years | -34.99% | -33.14% | -1.85% |
Max Drawdown (10Y)Largest decline over 10 years | -42.08% | -33.14% | -8.94% |
Current DrawdownCurrent decline from peak | -55.68% | -4.72% | -50.96% |
Average DrawdownAverage peak-to-trough decline | -27.96% | -21.64% | -6.32% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.67% | 4.23% | +2.44% |
Volatility
FXY vs. EWJ - Volatility Comparison
The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 3.00%, while iShares MSCI Japan ETF (EWJ) has a volatility of 7.64%. 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 | 3.00% | 7.64% | -4.64% |
Volatility (6M)Calculated over the trailing 6-month period | 5.52% | 17.70% | -12.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.30% | 20.96% | -12.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.29% | 18.69% | -8.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.13% | 17.45% | -8.32% |
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 3.86%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EWJ iShares MSCI Japan ETF | 3.86% | 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 0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EWJ has higher volatility (7.64%) compared to FXY (3.00%). In terms of maximum drawdown, FXY dropped -56.95% vs EWJ's -60.93%.
On 10-year performance, EWJ leads with 8.96% vs -4.95% for FXY. On fees, FXY is cheaper at 0.40% per year. On volatility, FXY has been the lower-risk option at 3.00%. 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 8.96% return vs -4.95%. 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 3.86%, 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 (1.48 vs -0.68), 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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