FXY vs. SPHQ
FXY (Invesco CurrencyShares® Japanese Yen Trust) and SPHQ (Invesco S&P 500 Quality ETF) are both exchange-traded funds - FXY is a Currency fund tracking the Japanese Yen, while SPHQ is a S&P 500 fund tracking the S&P 500 Quality Index. Both are passively managed. Over the past 10 years, FXY returned -4.49%/yr vs 15.01%/yr for SPHQ. At a correlation of -0.22, they often move in opposite directions. FXY charges 0.40%/yr vs 0.15%/yr for SPHQ.
Performance
FXY vs. SPHQ - 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 SPHQ's 15.48% return. Over the past 10 years, FXY has underperformed SPHQ with an annualized return of -4.49%, while SPHQ has yielded a comparatively higher 15.01% 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%
SPHQ
- 1D
- 0.28%
- 1M
- 7.17%
- YTD
- 15.48%
- 6M
- 16.06%
- 1Y
- 23.22%
- 3Y*
- 22.41%
- 5Y*
- 14.54%
- 10Y*
- 15.01%
FXY vs. SPHQ - 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% |
SPHQ Invesco S&P 500 Quality ETF | 15.48% | 13.25% | 25.44% | 24.83% | -15.76% | 28.03% | 17.36% | 33.64% | -7.10% | 19.10% |
Correlation
The correlation between FXY and SPHQ is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.02 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.10 |
Correlation (All Time) Calculated using the full available price history since Feb 14, 2007 | -0.22 |
The correlation between FXY and SPHQ shifts across timeframes, from -0.22 (all time) to 0.24 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FXY vs. SPHQ — Risk / Return Rank
FXY
SPHQ
FXY vs. SPHQ - 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 Quality ETF (SPHQ). 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 | SPHQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.10 | ||
| Sortino ratioReturn per unit of downside risk | -4.53 | ||
| Omega ratioGain probability vs. loss probability | 0.80 | 1.32 | -0.51 |
| Calmar ratioReturn relative to maximum drawdown | -0.94 | 2.62 | -3.56 |
| Martin ratioReturn relative to average drawdown | -1.39 | 11.17 | -12.56 |
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 | SPHQ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.25 | 1.85 | -3.10 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.76 | 0.89 | -1.65 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.48 | 0.84 | -1.33 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.18 | 0.53 | -0.72 |
Drawdowns
FXY vs. SPHQ - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.03%, roughly equal to the maximum SPHQ drawdown of -57.83%. Use the drawdown chart below to compare losses from any high point for FXY and SPHQ.
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Drawdown Indicators
| FXY | SPHQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.03% | -57.83% | +1.80% |
Max Drawdown (1Y)Largest decline over 1 year | -11.16% | -8.90% | -2.26% |
Max Drawdown (3Y)Largest decline over 3 years | -15.12% | -16.57% | +1.45% |
Max Drawdown (5Y)Largest decline over 5 years | -33.72% | -25.04% | -8.68% |
Max Drawdown (10Y)Largest decline over 10 years | -40.84% | -31.60% | -9.24% |
Current DrawdownCurrent decline from peak | -55.93% | 0.00% | -55.93% |
Average DrawdownAverage peak-to-trough decline | -27.74% | -10.70% | -17.04% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.50% | 2.08% | +5.42% |
Volatility
FXY vs. SPHQ - Volatility Comparison
The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 1.19%, while Invesco S&P 500 Quality ETF (SPHQ) has a volatility of 3.49%. This indicates that FXY experiences smaller price fluctuations and is considered to be less risky than SPHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXY | SPHQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.19% | 3.49% | -2.30% |
Volatility (6M)Calculated over the trailing 6-month period | 5.75% | 10.18% | -4.43% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.38% | 12.62% | -4.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.24% | 16.45% | -6.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.33% | 17.86% | -8.53% |
FXY vs. SPHQ - Expense Ratio Comparison
FXY has a 0.40% expense ratio, which is higher than SPHQ's 0.15% expense ratio.
Dividends
FXY vs. SPHQ - Dividend Comparison
FXY has not paid dividends to shareholders, while SPHQ's dividend yield for the trailing twelve months is around 1.04%.
| 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% |
SPHQ Invesco S&P 500 Quality ETF | 1.04% | 1.09% | 1.15% | 1.42% | 1.85% | 1.19% | 1.55% | 1.51% | 1.85% | 1.57% | 1.67% | 2.29% |
Frequently Asked Questions
FXY and SPHQ have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPHQ has higher volatility (3.49%) compared to FXY (1.19%). In terms of maximum drawdown, FXY dropped -56.03% vs SPHQ's -57.83%.
On 10-year performance, SPHQ leads with 15.01% vs -4.49% for FXY. On fees, SPHQ is cheaper at 0.15% per year. On volatility, FXY has been the lower-risk option at 1.19%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SPHQ has performed better with a 15.01% return vs -4.49%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPHQ is cheaper with a 0.15% expense ratio, compared with 0.40% for FXY.
SPHQ has the higher dividend yield at 1.04%, compared with 0.00% for FXY.
FXY is categorized as Currency, while SPHQ is S&P 500. FXY tracks Japanese Yen, while SPHQ tracks S&P 500 Quality Index. Their fees differ too: 0.40% for FXY and 0.15% for SPHQ.
SPHQ currently has the higher Sharpe Ratio (1.85 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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