IGOV vs. UDN
IGOV (iShares International Treasury Bond ETF) and UDN (Invesco DB US Dollar Index Bearish Fund) are both exchange-traded funds - IGOV is a International Government Bonds fund tracking the FTSE World Government Bond Index - Developed Markets Capped Select Index, while UDN is a Currency fund tracking the Deutsche Bank Short USD Currency Portfolio Index. Both are passively managed. Over the past 10 years, IGOV returned -1.49%/yr vs -0.29%/yr for UDN. A 0.79 correlation means they provide meaningful diversification when combined. IGOV charges 0.35%/yr vs 0.77%/yr for UDN.
Performance
IGOV vs. UDN - Performance Comparison
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Returns By Period
In the year-to-date period, IGOV achieves a -1.95% return, which is significantly lower than UDN's -1.59% return. Over the past 10 years, IGOV has underperformed UDN with an annualized return of -1.49%, while UDN has yielded a comparatively higher -0.29% annualized return.
IGOV
- 1D
- -0.37%
- 1M
- -2.09%
- 6M
- -1.61%
- YTD
- -1.95%
- 1Y
- -1.79%
- 3Y*
- 0.93%
- 5Y*
- -4.45%
- 10Y*
- -1.49%
UDN
- 1D
- -0.22%
- 1M
- -1.02%
- 6M
- -0.52%
- YTD
- -1.59%
- 1Y
- -0.81%
- 3Y*
- 1.74%
- 5Y*
- -0.35%
- 10Y*
- -0.29%
IGOV vs. UDN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IGOV iShares International Treasury Bond ETF | -1.95% | 9.96% | -6.50% | 5.57% | -22.07% | -9.25% | 10.88% | 3.76% | -2.60% | 11.38% |
UDN Invesco DB US Dollar Index Bearish Fund | -1.59% | 12.37% | -4.53% | 4.88% | -7.96% | -7.03% | 6.20% | -0.97% | -5.02% | 9.50% |
Correlation
The correlation between IGOV and UDN is 0.88, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.88 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.80 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.78 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.79 |
Correlation (All Time) Calculated using the full available price history since Jan 29, 2009 | 0.79 |
The correlation between IGOV and UDN has been stable across timeframes, ranging from 0.78 to 0.88 - a consistent structural relationship.
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Return for Risk
IGOV vs. UDN — Risk / Return Rank
IGOV
UDN
IGOV vs. UDN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares International Treasury Bond ETF (IGOV) 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.
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.
| IGOV | UDN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.09 | ||
| Sortino ratioReturn per unit of downside risk | -0.11 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 0.98 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | -0.31 | -0.16 | -0.16 |
| Martin ratioReturn relative to average drawdown | -0.67 | -0.32 | -0.34 |
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Drawdowns
IGOV vs. UDN - Drawdown Comparison
The maximum IGOV drawdown since its inception was -35.88%, smaller than the maximum UDN drawdown of -41.67%. Use the drawdown chart below to compare losses from any high point for IGOV and UDN.
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Drawdown Indicators
| IGOV | UDN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.88% | -41.67% | +5.79% |
Max Drawdown (1Y)Largest decline over 1 year | -5.70% | -5.13% | -0.57% |
Max Drawdown (3Y)Largest decline over 3 years | -10.65% | -8.59% | -2.06% |
Max Drawdown (5Y)Largest decline over 5 years | -32.92% | -20.71% | -12.21% |
Max Drawdown (10Y)Largest decline over 10 years | -35.88% | -25.72% | -10.16% |
Current DrawdownCurrent decline from peak | -25.11% | -28.41% | +3.30% |
Average DrawdownAverage peak-to-trough decline | -11.10% | -20.65% | +9.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.69% | 2.51% | +0.18% |
Volatility
IGOV vs. UDN - Volatility Comparison
iShares International Treasury Bond ETF (IGOV) has a higher volatility of 1.83% compared to Invesco DB US Dollar Index Bearish Fund (UDN) at 1.50%. This indicates that IGOV's price experiences larger fluctuations and is considered to be riskier 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
| IGOV | UDN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.83% | 1.50% | +0.33% |
Volatility (6M)Calculated over the trailing 6-month period | 6.40% | 4.39% | +2.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.07% | 6.01% | +2.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.97% | 7.41% | +2.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.59% | 6.85% | +1.74% |
IGOV vs. UDN - Expense Ratio Comparison
IGOV has a 0.35% expense ratio, which is lower than UDN's 0.77% expense ratio.
Dividends
IGOV vs. UDN - Dividend Comparison
IGOV's dividend yield for the trailing twelve months is around 1.44%, less than UDN's 2.98% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IGOV iShares International Treasury Bond ETF | 1.44% | 1.41% | 0.59% | 0.00% | 0.11% | 0.39% | 0.00% | 0.24% | 0.31% | 0.19% | 0.69% | 0.12% |
UDN Invesco DB US Dollar Index Bearish Fund | 2.98% | 2.94% | 5.33% | 5.21% | 0.69% | 0.00% | 0.00% | 1.38% | 1.26% | 0.11% | 0.00% | 0.00% |
Frequently Asked Questions
IGOV and UDN have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IGOV has higher volatility (1.83%) compared to UDN (1.50%). In terms of maximum drawdown, IGOV dropped -35.88% vs UDN's -41.67%.
On 10-year performance, UDN leads with -0.29% vs -1.49% for IGOV. On fees, IGOV is cheaper at 0.35% per year. On volatility, UDN has been the lower-risk option at 1.50%. 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 -0.29% return vs -1.49%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IGOV is cheaper with a 0.35% expense ratio, compared with 0.77% for UDN.
UDN has the higher dividend yield at 2.98%, compared with 1.44% for IGOV.
IGOV is categorized as International Government Bonds, while UDN is Currency. IGOV tracks FTSE World Government Bond Index - Developed Markets Capped Select Index, while UDN tracks Deutsche Bank Short USD Currency Portfolio Index. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.35% for IGOV and 0.77% for UDN.
UDN currently has the higher Sharpe Ratio (-0.14 vs -0.22), 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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