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 -4.97%/yr vs 9.57%/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 -3.19% return, which is significantly lower than EWJ's 15.50% return. Over the past 10 years, FXY has underperformed EWJ with an annualized return of -4.97%, while EWJ has yielded a comparatively higher 9.57% annualized return.
FXY
- 1D
- 0.02%
- 1M
- -1.56%
- YTD
- -3.19%
- 6M
- -3.45%
- 1Y
- -9.88%
- 3Y*
- -4.26%
- 5Y*
- -7.73%
- 10Y*
- -4.97%
EWJ
- 1D
- -4.35%
- 1M
- 1.79%
- YTD
- 15.50%
- 6M
- 14.93%
- 1Y
- 34.33%
- 3Y*
- 18.43%
- 5Y*
- 8.93%
- 10Y*
- 9.57%
FXY vs. EWJ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXY Invesco CurrencyShares® Japanese Yen Trust | -3.19% | 0.09% | -10.93% | -7.44% | -12.75% | -10.90% | 4.61% | 0.37% | 2.31% | 3.17% |
EWJ iShares MSCI Japan ETF | 15.50% | 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 0.38, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.38 |
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 | 0.11 |
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 0.38 (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 | -2.88 | ||
| Sortino ratioReturn per unit of downside risk | -4.13 | ||
| Omega ratioGain probability vs. loss probability | 0.81 | 1.31 | -0.50 |
| Calmar ratioReturn relative to maximum drawdown | -0.87 | 2.54 | -3.40 |
| Martin ratioReturn relative to average drawdown | -1.32 | 8.52 | -9.84 |
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Drawdowns
FXY vs. EWJ - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.35%, 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 | -56.35% | -60.93% | +4.58% |
Max Drawdown (1Y)Largest decline over 1 year | -11.45% | -13.59% | +2.14% |
Max Drawdown (3Y)Largest decline over 3 years | -15.73% | -14.68% | -1.05% |
Max Drawdown (5Y)Largest decline over 5 years | -34.19% | -33.14% | -1.05% |
Max Drawdown (10Y)Largest decline over 10 years | -41.27% | -33.14% | -8.13% |
Current DrawdownCurrent decline from peak | -56.34% | -4.35% | -51.99% |
Average DrawdownAverage peak-to-trough decline | -27.81% | -21.70% | -6.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.51% | 4.04% | +3.47% |
Volatility
FXY vs. EWJ - Volatility Comparison
The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 0.79%, while iShares MSCI Japan ETF (EWJ) has a volatility of 8.05%. 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 | 0.79% | 8.05% | -7.26% |
Volatility (6M)Calculated over the trailing 6-month period | 5.61% | 16.67% | -11.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.19% | 20.71% | -12.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.24% | 18.50% | -8.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.23% | 17.33% | -8.10% |
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 3.84%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EWJ iShares MSCI Japan ETF | 3.84% | 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 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EWJ has higher volatility (8.05%) compared to FXY (0.79%). In terms of maximum drawdown, FXY dropped -56.35% vs EWJ's -60.93%.
On 10-year performance, EWJ leads with 9.57% vs -4.97% for FXY. On fees, FXY is cheaper at 0.40% per year. On volatility, FXY has been the lower-risk option at 0.79%. 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 9.57% return vs -4.97%. 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 3.84%, 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 (1.67 vs -1.21), 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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