FXY vs. FFUT

Last updated Aug 6, 2026

FXY (Invesco CurrencyShares® Japanese Yen Trust) and FFUT (Fidelity Managed Futures ETF) are both exchange-traded funds - FXY is a Currency fund tracking the Japanese Yen, while FFUT is a Systematic Trend fund actively managed by Fidelity. FXY is passively managed, while FFUT is actively managed. Over the past year, FXY returned -6.74% vs 21.43% for FFUT. Their -0.18 correlation means they have often moved in opposite directions in the past. FXY charges 0.40%/yr vs 0.80%/yr for FFUT.

Performance

FXY vs. FFUT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco CurrencyShares® Japanese Yen Trust (FXY) and Fidelity Managed Futures ETF (FFUT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FXY achieves a -0.89% return, which is significantly lower than FFUT's 12.04% 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%

FFUT

• 1D: 0.62%
• 1M: 3.83%
• 6M: 8.50%
• YTD: 12.04%
• 1Y: 21.43%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 18.30%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
FFUT Fidelity Managed Futures ETF	$3.39M	$3.96M	$2.07M
FXY Invesco CurrencyShares® Japanese Yen Trust	$30.28M	$18.59M	$12.83M

FXY vs. FFUT - Yearly Performance Comparison

	2026 (YTD)	2025
FXY Invesco CurrencyShares® Japanese Yen Trust	-0.89%	-8.97%
FFUT Fidelity Managed Futures ETF	12.04%	8.58%

Correlation

The correlation between FXY and FFUT is -0.22, 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.	-0.22
Correlation (All Time) Calculated using the full available price history since Jun 5, 2025	-0.18

Return for Risk

FXY vs. FFUT — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

FXY

FXY Risk / Return Rank: 3
FXY Sharpe Ratio Rank: 2
FXY Sortino Ratio Rank: 2
FXY Omega Ratio Rank: 3
FXY Calmar Ratio Rank: 4
FXY Martin Ratio Rank: 4

FFUT

FFUT Risk / Return Rank: 77
FFUT Sharpe Ratio Rank: 70
FFUT Sortino Ratio Rank: 70
FFUT Omega Ratio Rank: 73
FFUT Calmar Ratio Rank: 87
FFUT Martin Ratio Rank: 84

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

FXY vs. FFUT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Japanese Yen Trust (FXY) and Fidelity Managed Futures ETF (FFUT). 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	FFUT	Difference
Sharpe ratio: Return per unit of total volatility	-0.84	1.84	-2.68
Sortino ratio: Return per unit of downside risk	-1.26	2.60	-3.86
Omega ratio: Gain probability vs. loss probability	0.86	1.35	-0.49
Calmar ratio: Return relative to maximum drawdown	-0.62	3.85	-4.48
Martin ratio: Return relative to average drawdown	-1.00	12.93	-13.93

FXY vs. FFUT - Sharpe Ratio Comparison

The current FXY Sharpe Ratio is -0.84, which is lower than the FFUT Sharpe Ratio of 1.84. The chart below compares the historical Sharpe Ratios of FXY and FFUT, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FXY vs. FFUT - Drawdown Comparison

The maximum FXY drawdown since its inception was -56.95%, which is greater than FFUT's maximum drawdown of -5.59%. Use the drawdown chart below to compare losses from any high point for FXY and FFUT.

Drawdown Indicators

	FXY	FFUT	Difference
Max Drawdown Largest peak-to-trough decline	-56.95%	-5.59%	-51.36%
Max Drawdown (1Y) Largest decline over 1 year	-10.86%	-5.59%	-5.27%
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 Drawdown Current decline from peak	-55.30%	-2.77%	-52.53%
Average Drawdown Average peak-to-trough decline	-27.98%	-1.13%	-26.85%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.72%	1.66%	+5.06%

Volatility

FXY vs. FFUT - Volatility Comparison

The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 3.19%, while Fidelity Managed Futures ETF (FFUT) has a volatility of 3.91%. This indicates that FXY experiences smaller price fluctuations and is considered to be less risky than FFUT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FXY	FFUT	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.19%	3.91%	-0.72%
Volatility (6M) Calculated over the trailing 6-month period	5.63%	9.32%	-3.69%
Volatility (1Y) Calculated over the trailing 1-year period	8.10%	11.71%	-3.61%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.31%	11.13%	-0.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.13%	11.13%	-2.00%

FXY vs. FFUT - Expense Ratio Comparison

FXY has a 0.40% expense ratio, which is lower than FFUT's 0.80% expense ratio.

Dividends

FXY vs. FFUT - Dividend Comparison

FXY has not paid dividends to shareholders, while FFUT's dividend yield for the trailing twelve months is around 1.87%.

Position	TTM	2025
FFUT Fidelity Managed Futures ETF	1.87%	2.09%
FXY Invesco CurrencyShares® Japanese Yen Trust	0.00%	0.00%

Frequently Asked Questions

Can I hold both FXY and FFUT in my portfolio?

FXY and FFUT have a correlation of -0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FXY or FFUT?

FFUT has higher volatility (3.91%) compared to FXY (3.19%). In terms of maximum drawdown, FXY dropped -56.95% vs FFUT's -5.59%.

Which ETF is better, FXY or FFUT?

On 1-year performance, FFUT leads with 21.43% vs -6.74% for FXY. On fees, FXY is cheaper at 0.40% per year. On volatility, FXY has been the lower-risk option at 3.19%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FXY or FFUT?

Over the 1-year period, FFUT has performed better with a 21.43% return vs -6.74%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FXY or FFUT?

FXY is cheaper with a 0.40% expense ratio, compared with 0.80% for FFUT.

Which ETF pays a higher dividend yield, FXY or FFUT?

FFUT has the higher dividend yield at 1.87%, compared with 0.00% for FXY.

What is the main difference between FXY and FFUT?

FXY is categorized as Currency, while FFUT is Systematic Trend. They also come from different issuers: Invesco and Fidelity. Their fees differ too: 0.40% for FXY and 0.80% for FFUT.

Which has better risk-adjusted returns?

FFUT currently has the higher Sharpe Ratio (1.84 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.