FXY vs. UDN
FXY (Invesco CurrencyShares® Japanese Yen Trust) and UDN (Invesco DB US Dollar Index Bearish Fund) are both Currency funds from Invesco - FXY tracks the Japanese Yen while UDN tracks the Deutsche Bank Short USD Currency Portfolio Index. Both are passively managed. Over the past 10 years, FXY returned -4.49%/yr vs -0.48%/yr for UDN. At a 0.45 correlation, their price movements are largely independent. FXY charges 0.40%/yr vs 0.77%/yr for UDN.
Performance
FXY vs. UDN - 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 UDN's -0.60% return. Over the past 10 years, FXY has underperformed UDN with an annualized return of -4.49%, while UDN has yielded a comparatively higher -0.48% 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%
UDN
- 1D
- -0.33%
- 1M
- -0.98%
- YTD
- -0.60%
- 6M
- 0.02%
- 1Y
- 1.27%
- 3Y*
- 3.62%
- 5Y*
- -0.78%
- 10Y*
- -0.48%
FXY vs. UDN - 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% |
UDN Invesco DB US Dollar Index Bearish Fund | -0.60% | 12.37% | -4.53% | 4.88% | -7.96% | -7.03% | 6.20% | -0.97% | -5.02% | 9.50% |
Correlation
The correlation between FXY and UDN is 0.73, 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 | 0.73 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.65 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.59 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.56 |
Correlation (All Time) Calculated using the full available price history since Mar 2, 2007 | 0.45 |
Over the past year, FXY and UDN have become more correlated (0.73) than their long-term average of 0.45, meaning their price movements have been converging.
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Return for Risk
FXY vs. UDN — Risk / Return Rank
FXY
UDN
FXY vs. UDN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares® Japanese Yen Trust (FXY) and Invesco DB US Dollar Index Bearish Fund (UDN). 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 | UDN | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -1.25 | 0.21 | -1.46 |
Sortino ratioReturn per unit of downside risk | -1.85 | 0.35 | -2.20 |
Omega ratioGain probability vs. loss probability | 0.80 | 1.04 | -0.24 |
Calmar ratioReturn relative to maximum drawdown | -0.94 | 0.28 | -1.22 |
Martin ratioReturn relative to average drawdown | -1.39 | 0.60 | -1.99 |
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 | UDN | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.25 | 0.21 | -1.46 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.76 | -0.11 | -0.66 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.48 | -0.07 | -0.41 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.18 | -0.09 | -0.09 |
Drawdowns
FXY vs. UDN - Drawdown Comparison
The maximum FXY drawdown since its inception was -56.03%, which is greater than UDN's maximum drawdown of -41.67%. Use the drawdown chart below to compare losses from any high point for FXY and UDN.
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Drawdown Indicators
| FXY | UDN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.03% | -41.67% | -14.36% |
Max Drawdown (1Y)Largest decline over 1 year | -11.16% | -4.54% | -6.62% |
Max Drawdown (3Y)Largest decline over 3 years | -15.12% | -8.59% | -6.53% |
Max Drawdown (5Y)Largest decline over 5 years | -33.72% | -22.50% | -11.22% |
Max Drawdown (10Y)Largest decline over 10 years | -40.84% | -25.72% | -15.12% |
Current DrawdownCurrent decline from peak | -55.93% | -27.70% | -28.23% |
Average DrawdownAverage peak-to-trough decline | -27.74% | -20.61% | -7.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.50% | 2.11% | +5.39% |
Volatility
FXY vs. UDN - Volatility Comparison
The current volatility for Invesco CurrencyShares® Japanese Yen Trust (FXY) is 1.19%, while Invesco DB US Dollar Index Bearish Fund (UDN) has a volatility of 1.27%. This indicates that FXY experiences smaller price fluctuations and is considered to be less risky than UDN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXY | UDN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.19% | 1.27% | -0.08% |
Volatility (6M)Calculated over the trailing 6-month period | 5.75% | 4.25% | +1.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.38% | 6.09% | +2.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.24% | 7.41% | +2.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.33% | 6.92% | +2.41% |
FXY vs. UDN - Expense Ratio Comparison
FXY has a 0.40% expense ratio, which is lower than UDN's 0.77% expense ratio.
Dividends
FXY vs. UDN - Dividend Comparison
FXY has not paid dividends to shareholders, while UDN's dividend yield for the trailing twelve months is around 2.95%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
UDN Invesco DB US Dollar Index Bearish Fund | 2.95% | 2.94% | 5.33% | 5.21% | 0.69% | 0.00% | 0.00% | 1.38% | 1.26% | 0.11% |
Frequently Asked Questions
FXY and UDN have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
UDN has higher volatility (1.27%) compared to FXY (1.19%). In terms of maximum drawdown, FXY dropped -56.03% vs UDN's -41.67%.
On 10-year performance, UDN leads with -0.48% vs -4.49% for FXY. On fees, FXY is cheaper at 0.40% per year. 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, UDN has performed better with a -0.48% return vs -4.49%. 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 0.77% for UDN.
UDN has the higher dividend yield at 2.95%, compared with 0.00% for FXY.
FXY tracks Japanese Yen, while UDN tracks Deutsche Bank Short USD Currency Portfolio Index. Their fees differ too: 0.40% for FXY and 0.77% for UDN.
UDN currently has the higher Sharpe Ratio (0.21 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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