FXY vs. FXE
FXY (Invesco CurrencyShares® Japanese Yen Trust) and FXE (Invesco CurrencyShares® Euro Currency Trust) are both Currency funds from Invesco - FXY tracks the Japanese Yen while FXE tracks the Euro. Both are passively managed. Over the past 10 years, FXY returned -4.49%/yr vs 0.15%/yr for FXE. At a 0.34 correlation, their price movements are largely independent. Both charge a 0.40% expense ratio.
Performance
FXY vs. FXE - 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 FXE's -1.03% return. Over the past 10 years, FXY has underperformed FXE with an annualized return of -4.49%, while FXE has yielded a comparatively higher 0.15% 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%
FXE
- 1D
- -0.29%
- 1M
- -0.82%
- YTD
- -1.03%
- 6M
- -0.26%
- 1Y
- 2.68%
- 3Y*
- 4.26%
- 5Y*
- -0.23%
- 10Y*
- 0.15%
FXY vs. FXE - 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% |
FXE Invesco CurrencyShares® Euro Currency Trust | -1.03% | 14.52% | -4.18% | 4.87% | -6.57% | -7.83% | 7.94% | -2.90% | -5.30% | 13.05% |
Correlation
The correlation between FXY and FXE is 0.64, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.64 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.52 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.47 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.45 |
Correlation (All Time) Calculated using the full available price history since Feb 14, 2007 | 0.34 |
Over the past year, FXY and FXE have become more correlated (0.64) than their long-term average of 0.34, meaning their price movements have been converging.
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Return for Risk
FXY vs. FXE — Risk / Return Rank
FXY
FXE
FXY vs. FXE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Japanese Yen Trust (FXY) and Invesco CurrencyShares® Euro Currency Trust (FXE). 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 | FXE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.69 | ||
| Sortino ratioReturn per unit of downside risk | -2.53 | ||
| Omega ratioGain probability vs. loss probability | 0.80 | 1.08 | -0.28 |
| Calmar ratioReturn relative to maximum drawdown | -0.94 | 0.54 | -1.47 |
| Martin ratioReturn relative to average drawdown | -1.39 | 1.28 | -2.67 |
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 | FXE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.25 | 0.43 | -1.69 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.76 | -0.03 | -0.73 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.48 | 0.02 | -0.50 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.18 | 0.02 | -0.20 |
Drawdowns
FXY vs. FXE - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.03%, which is greater than FXE's maximum drawdown of -43.33%. Use the drawdown chart below to compare losses from any high point for FXY and FXE.
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Drawdown Indicators
| FXY | FXE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.03% | -43.33% | -12.70% |
Max Drawdown (1Y)Largest decline over 1 year | -11.16% | -5.02% | -6.14% |
Max Drawdown (3Y)Largest decline over 3 years | -15.12% | -8.12% | -7.00% |
Max Drawdown (5Y)Largest decline over 5 years | -33.72% | -22.32% | -11.40% |
Max Drawdown (10Y)Largest decline over 10 years | -40.84% | -26.46% | -14.38% |
Current DrawdownCurrent decline from peak | -55.93% | -28.01% | -27.92% |
Average DrawdownAverage peak-to-trough decline | -27.74% | -22.31% | -5.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.50% | 2.09% | +5.41% |
Volatility
FXY vs. FXE - Volatility Comparison
Invesco CurrencyShares® Japanese Yen Trust (FXY) and Invesco CurrencyShares® Euro Currency Trust (FXE) have volatilities of 1.19% and 1.21%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXY | FXE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.19% | 1.21% | -0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 5.75% | 4.24% | +1.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.38% | 6.24% | +2.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.24% | 7.66% | +2.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.33% | 7.32% | +2.01% |
FXY vs. FXE - Expense Ratio Comparison
Both FXY and FXE have an expense ratio of 0.40%.
Dividends
FXY vs. FXE - Dividend Comparison
FXY has not paid dividends to shareholders, while FXE's dividend yield for the trailing twelve months is around 0.73%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
FXE Invesco CurrencyShares® Euro Currency Trust | 0.73% | 0.94% | 2.28% | 1.49% | 0.01% |
FXY Invesco CurrencyShares® Japanese Yen Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
FXY and FXE have a correlation of 0.64, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXE has higher volatility (1.21%) compared to FXY (1.19%). In terms of maximum drawdown, FXY dropped -56.03% vs FXE's -43.33%.
On 10-year performance, FXE leads with 0.15% vs -4.49% for FXY. Both ETFs have the same 0.40% expense ratio. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FXE has performed better with a 0.15% return vs -4.49%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXY and FXE have the same expense ratio: 0.40% per year.
FXE has the higher dividend yield at 0.73%, compared with 0.00% for FXY.
FXY tracks Japanese Yen, while FXE tracks Euro.
FXE currently has the higher Sharpe Ratio (0.43 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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