FXY vs. SPHD
FXY (Invesco CurrencyShares® Japanese Yen Trust) and SPHD (Invesco S&P 500® High Dividend Low Volatility ETF) are both exchange-traded funds - FXY is a Currency fund tracking the Japanese Yen, while SPHD is a Dividend fund tracking the S&P 500 Low Volatility High Dividend Index. Both are passively managed. Over the past 10 years, FXY returned -4.99%/yr vs 7.55%/yr for SPHD. At a correlation of -0.08, they often move in opposite directions. FXY charges 0.40%/yr vs 0.30%/yr for SPHD.
Performance
FXY vs. SPHD - Performance Comparison
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Returns By Period
In the year-to-date period, FXY achieves a -3.36% return, which is significantly lower than SPHD's 8.15% return. Over the past 10 years, FXY has underperformed SPHD with an annualized return of -4.99%, while SPHD has yielded a comparatively higher 7.55% annualized return.
FXY
- 1D
- -0.18%
- 1M
- -1.73%
- YTD
- -3.36%
- 6M
- -3.87%
- 1Y
- -10.86%
- 3Y*
- -4.31%
- 5Y*
- -7.78%
- 10Y*
- -4.99%
SPHD
- 1D
- -0.04%
- 1M
- 0.78%
- YTD
- 8.15%
- 6M
- 7.75%
- 1Y
- 11.57%
- 3Y*
- 12.69%
- 5Y*
- 6.90%
- 10Y*
- 7.55%
FXY vs. SPHD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXY Invesco CurrencyShares® Japanese Yen Trust | -3.36% | 0.09% | -10.93% | -7.44% | -12.75% | -10.90% | 4.61% | 0.37% | 2.31% | 3.17% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 8.15% | 3.41% | 18.08% | 1.32% | 0.58% | 24.98% | -9.98% | 20.26% | -6.17% | 11.90% |
Correlation
The correlation between FXY and SPHD is 0.34, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.34 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.20 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.13 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since Oct 26, 2012 | -0.08 |
The correlation between FXY and SPHD shifts across timeframes, from -0.08 (all time) to 0.34 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FXY vs. SPHD — Risk / Return Rank
FXY
SPHD
FXY vs. SPHD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Japanese Yen Trust (FXY) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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 | SPHD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.36 | ||
| Sortino ratioReturn per unit of downside risk | -3.54 | ||
| Omega ratioGain probability vs. loss probability | 0.79 | 1.17 | -0.39 |
| Calmar ratioReturn relative to maximum drawdown | -0.94 | 1.59 | -2.53 |
| Martin ratioReturn relative to average drawdown | -1.44 | 3.89 | -5.33 |
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Drawdowns
FXY vs. SPHD - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.41%, which is greater than SPHD's maximum drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for FXY and SPHD.
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Drawdown Indicators
| FXY | SPHD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.41% | -41.39% | -15.02% |
Max Drawdown (1Y)Largest decline over 1 year | -11.59% | -7.33% | -4.26% |
Max Drawdown (3Y)Largest decline over 3 years | -15.86% | -13.29% | -2.57% |
Max Drawdown (5Y)Largest decline over 5 years | -34.30% | -19.50% | -14.80% |
Max Drawdown (10Y)Largest decline over 10 years | -41.36% | -41.39% | +0.03% |
Current DrawdownCurrent decline from peak | -56.41% | -1.95% | -54.46% |
Average DrawdownAverage peak-to-trough decline | -27.81% | -4.69% | -23.12% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.54% | 2.99% | +4.55% |
Volatility
FXY vs. SPHD - Volatility Comparison
The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 0.79%, while Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) has a volatility of 4.23%. This indicates that FXY experiences smaller price fluctuations and is considered to be less risky than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXY | SPHD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.79% | 4.23% | -3.44% |
Volatility (6M)Calculated over the trailing 6-month period | 5.45% | 8.10% | -2.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.19% | 11.45% | -3.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.24% | 14.16% | -3.92% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.23% | 17.64% | -8.41% |
FXY vs. SPHD - Expense Ratio Comparison
FXY has a 0.40% expense ratio, which is higher than SPHD's 0.30% expense ratio.
Dividends
FXY vs. SPHD - Dividend Comparison
FXY has not paid dividends to shareholders, while SPHD's dividend yield for the trailing twelve months is around 4.60%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 4.60% | 4.02% | 3.41% | 4.48% | 3.89% | 3.45% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% |
Frequently Asked Questions
FXY and SPHD have a correlation of 0.34, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPHD has higher volatility (4.23%) compared to FXY (0.79%). In terms of maximum drawdown, FXY dropped -56.41% vs SPHD's -41.39%.
On 10-year performance, SPHD leads with 7.55% vs -4.99% for FXY. On fees, SPHD is cheaper at 0.30% 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, SPHD has performed better with a 7.55% return vs -4.99%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPHD is cheaper with a 0.30% expense ratio, compared with 0.40% for FXY.
SPHD has the higher dividend yield at 4.60%, compared with 0.00% for FXY.
FXY is categorized as Currency, while SPHD is Dividend. FXY tracks Japanese Yen, while SPHD tracks S&P 500 Low Volatility High Dividend Index. Their fees differ too: 0.40% for FXY and 0.30% for SPHD.
SPHD currently has the higher Sharpe Ratio (1.02 vs -1.34), 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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