FXY vs. TLT
FXY (Invesco CurrencyShares® Japanese Yen Trust) and TLT (iShares 20+ Year Treasury Bond ETF) are both exchange-traded funds - FXY is a Currency fund tracking the Japanese Yen, while TLT is a Government Bonds fund tracking the ICE U.S. Treasury 20+ Year Bond Index. Both are passively managed. Over the past 10 years, FXY returned -4.71%/yr vs -2.15%/yr for TLT. At a 0.44 correlation, their price movements are largely independent. FXY charges 0.40%/yr vs 0.15%/yr for TLT.
Performance
FXY vs. TLT - 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 TLT's -1.35% return. Over the past 10 years, FXY has underperformed TLT with an annualized return of -4.71%, while TLT has yielded a comparatively higher -2.15% 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%
TLT
- 1D
- 0.13%
- 1M
- -1.61%
- 6M
- -2.09%
- YTD
- -1.35%
- 1Y
- 2.69%
- 3Y*
- -2.02%
- 5Y*
- -7.65%
- 10Y*
- -2.15%
FXY vs. TLT - 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% |
TLT iShares 20+ Year Treasury Bond ETF | -1.35% | 4.25% | -8.05% | 2.77% | -31.23% | -4.60% | 18.15% | 14.12% | -1.61% | 9.18% |
Correlation
The correlation between FXY and TLT is 0.37, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.37 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.40 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.42 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.44 |
Correlation (All Time) Calculated using the full available price history since Feb 13, 2007 | 0.44 |
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Return for Risk
FXY vs. TLT — Risk / Return Rank
FXY
TLT
FXY vs. TLT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Japanese Yen Trust (FXY) and iShares 20+ Year Treasury Bond ETF (TLT). 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 | TLT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.44 | ||
| Sortino ratioReturn per unit of downside risk | -2.19 | ||
| Omega ratioGain probability vs. loss probability | 0.81 | 1.05 | -0.24 |
| Calmar ratioReturn relative to maximum drawdown | -0.91 | 0.36 | -1.26 |
| Martin ratioReturn relative to average drawdown | -1.47 | 0.82 | -2.29 |
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Drawdowns
FXY vs. TLT - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.62%, which is greater than TLT's maximum drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for FXY and TLT.
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Drawdown Indicators
| FXY | TLT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.62% | -48.35% | -8.27% |
Max Drawdown (1Y)Largest decline over 1 year | -10.21% | -7.58% | -2.63% |
Max Drawdown (3Y)Largest decline over 3 years | -15.91% | -18.88% | +2.97% |
Max Drawdown (5Y)Largest decline over 5 years | -34.61% | -43.70% | +9.09% |
Max Drawdown (10Y)Largest decline over 10 years | -41.64% | -48.35% | +6.71% |
Current DrawdownCurrent decline from peak | -56.51% | -41.08% | -15.43% |
Average DrawdownAverage peak-to-trough decline | -27.89% | -13.93% | -13.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.31% | 3.27% | +3.04% |
Volatility
FXY vs. TLT - Volatility Comparison
The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 1.53%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 2.58%. This indicates that FXY experiences smaller price fluctuations and is considered to be less risky than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXY | TLT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.53% | 2.58% | -1.05% |
Volatility (6M)Calculated over the trailing 6-month period | 5.50% | 6.80% | -1.30% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.08% | 9.38% | -1.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.24% | 15.79% | -5.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.18% | 14.84% | -5.66% |
FXY vs. TLT - Expense Ratio Comparison
FXY has a 0.40% expense ratio, which is higher than TLT's 0.15% expense ratio.
Dividends
FXY vs. TLT - Dividend Comparison
FXY has not paid dividends to shareholders, while TLT's dividend yield for the trailing twelve months is around 4.64%.
| 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% |
TLT iShares 20+ Year Treasury Bond ETF | 4.64% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
Frequently Asked Questions
FXY and TLT have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TLT has higher volatility (2.58%) compared to FXY (1.53%). In terms of maximum drawdown, FXY dropped -56.62% vs TLT's -48.35%.
On 10-year performance, TLT leads with -2.15% vs -4.71% for FXY. On fees, TLT is cheaper at 0.15% 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, TLT has performed better with a -2.15% return vs -4.71%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
TLT is cheaper with a 0.15% expense ratio, compared with 0.40% for FXY.
TLT has the higher dividend yield at 4.64%, compared with 0.00% for FXY.
FXY is categorized as Currency, while TLT is Government Bonds. FXY tracks Japanese Yen, while TLT tracks ICE U.S. Treasury 20+ Year Bond Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.40% for FXY and 0.15% for TLT.
TLT currently has the higher Sharpe Ratio (0.29 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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