FXY vs. GSG
FXY (Invesco CurrencyShares® Japanese Yen Trust) and GSG (iShares S&P GSCI Commodity-Indexed Trust) are both exchange-traded funds - FXY is a Currency fund tracking the Japanese Yen, while GSG is a Commodities fund tracking the S&P GSCI Total Return Index. Both are passively managed. Over the past 10 years, FXY returned -4.71%/yr vs 7.57%/yr for GSG. At a correlation of -0.07, they often move in opposite directions. FXY charges 0.40%/yr vs 0.75%/yr for GSG.
Performance
FXY vs. GSG - Performance Comparison
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Returns By Period
In the year-to-date period, FXY achieves a -3.58% return, which is significantly lower than GSG's 34.43% return. Over the past 10 years, FXY has underperformed GSG with an annualized return of -4.71%, while GSG has yielded a comparatively higher 7.57% annualized return.
FXY
- 1D
- 0.19%
- 1M
- -1.21%
- 6M
- -2.06%
- YTD
- -3.58%
- 1Y
- -9.23%
- 3Y*
- -5.44%
- 5Y*
- -7.97%
- 10Y*
- -4.71%
GSG
- 1D
- 1.57%
- 1M
- 1.37%
- 6M
- 28.74%
- YTD
- 34.43%
- 1Y
- 38.08%
- 3Y*
- 15.01%
- 5Y*
- 14.34%
- 10Y*
- 7.57%
FXY vs. GSG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXY Invesco CurrencyShares® Japanese Yen Trust | -3.58% | 0.09% | -10.93% | -7.44% | -12.75% | -10.90% | 4.61% | 0.37% | 2.31% | 3.17% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 34.43% | 5.93% | 8.52% | -5.51% | 24.08% | 38.77% | -23.94% | 15.62% | -13.88% | 3.89% |
Correlation
The correlation between FXY and GSG is -0.21, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.21 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.07 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.02 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.05 |
Correlation (All Time) Calculated using the full available price history since Feb 13, 2007 | -0.07 |
The correlation between FXY and GSG shifts across timeframes, from -0.21 (1 year) to -0.02 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
FXY vs. GSG — Risk / Return Rank
FXY
GSG
FXY vs. GSG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Japanese Yen Trust (FXY) and iShares S&P GSCI Commodity-Indexed Trust (GSG). 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 | GSG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.78 | ||
| Sortino ratioReturn per unit of downside risk | -3.94 | ||
| Omega ratioGain probability vs. loss probability | 0.81 | 1.29 | -0.48 |
| Calmar ratioReturn relative to maximum drawdown | -0.91 | 2.03 | -2.94 |
| Martin ratioReturn relative to average drawdown | -1.47 | 6.88 | -8.35 |
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Drawdowns
FXY vs. GSG - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.62%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for FXY and GSG.
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Drawdown Indicators
| FXY | GSG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.62% | -89.62% | +33.00% |
Max Drawdown (1Y)Largest decline over 1 year | -10.21% | -18.81% | +8.60% |
Max Drawdown (3Y)Largest decline over 3 years | -15.91% | -18.81% | +2.90% |
Max Drawdown (5Y)Largest decline over 5 years | -34.61% | -29.12% | -5.49% |
Max Drawdown (10Y)Largest decline over 10 years | -41.64% | -57.64% | +16.00% |
Current DrawdownCurrent decline from peak | -56.51% | -59.41% | +2.90% |
Average DrawdownAverage peak-to-trough decline | -27.89% | -63.69% | +35.80% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.31% | 5.55% | +0.76% |
Volatility
FXY vs. GSG - Volatility Comparison
The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 1.53%, while iShares S&P GSCI Commodity-Indexed Trust (GSG) has a volatility of 7.37%. This indicates that FXY experiences smaller price fluctuations and is considered to be less risky than GSG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXY | GSG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.53% | 7.37% | -5.84% |
Volatility (6M)Calculated over the trailing 6-month period | 5.50% | 21.54% | -16.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.08% | 23.48% | -15.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.24% | 22.80% | -12.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.18% | 22.00% | -12.82% |
FXY vs. GSG - Expense Ratio Comparison
FXY has a 0.40% expense ratio, which is lower than GSG's 0.75% expense ratio.
Dividends
FXY vs. GSG - Dividend Comparison
Neither FXY nor GSG has paid dividends to shareholders.
Frequently Asked Questions
FXY and GSG have a correlation of -0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GSG has higher volatility (7.37%) compared to FXY (1.53%). In terms of maximum drawdown, FXY dropped -56.62% vs GSG's -89.62%.
On 10-year performance, GSG leads with 7.57% vs -4.71% for FXY. On fees, FXY is cheaper at 0.40% per year. On volatility, FXY has been the lower-risk option at 1.53%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, GSG has performed better with a 7.57% return vs -4.71%. 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 0.75% for GSG.
FXY and GSG have nearly identical dividend yields, around 0.00%.
FXY is categorized as Currency, while GSG is Commodities. FXY tracks Japanese Yen, while GSG tracks S&P GSCI Total Return Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.40% for FXY and 0.75% for GSG.
GSG currently has the higher Sharpe Ratio (1.63 vs -1.15), 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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