UDN vs. BAC
Compare and contrast key facts about Invesco DB US Dollar Index Bearish Fund (UDN) and Bank of America Corporation (BAC).
UDN is a passively managed fund by Invesco that tracks the performance of the Deutsche Bank Short USD Currency Portfolio Index. It was launched on Feb 20, 2007.
Performance
UDN vs. BAC - Performance Comparison
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UDN vs. BAC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
UDN Invesco DB US Dollar Index Bearish Fund | -1.32% | 12.37% | -4.53% | 4.88% | -7.96% | -7.03% | 6.20% | -0.97% | -5.02% | 9.50% |
BAC Bank of America Corporation | -10.86% | 28.04% | 33.85% | 4.83% | -23.82% | 49.61% | -11.63% | 46.19% | -15.00% | 35.69% |
Returns By Period
In the year-to-date period, UDN achieves a -1.32% return, which is significantly higher than BAC's -10.86% return. Over the past 10 years, UDN has underperformed BAC with an annualized return of -0.49%, while BAC has yielded a comparatively higher 16.19% annualized return.
UDN
- 1D
- 0.67%
- 1M
- -2.23%
- YTD
- -1.32%
- 6M
- -1.54%
- 1Y
- 5.59%
- 3Y*
- 3.05%
- 5Y*
- -0.33%
- 10Y*
- -0.49%
BAC
- 1D
- 3.22%
- 1M
- -1.61%
- YTD
- -10.86%
- 6M
- -4.48%
- 1Y
- 19.45%
- 3Y*
- 22.60%
- 5Y*
- 6.87%
- 10Y*
- 16.19%
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Return for Risk
UDN vs. BAC — Risk / Return Rank
UDN
BAC
UDN vs. BAC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bearish Fund (UDN) and Bank of America Corporation (BAC). 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.
| UDN | BAC | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.76 | 0.73 | +0.03 |
Sortino ratioReturn per unit of downside risk | 1.21 | 1.06 | +0.16 |
Omega ratioGain probability vs. loss probability | 1.14 | 1.16 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 1.22 | 1.16 | +0.06 |
Martin ratioReturn relative to average drawdown | 2.94 | 3.17 | -0.23 |
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
| UDN | BAC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.76 | 0.73 | +0.03 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.04 | 0.26 | -0.30 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.07 | 0.53 | -0.60 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.10 | 0.20 | -0.29 |
Correlation
The correlation between UDN and BAC is 0.09, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
UDN vs. BAC - Dividend Comparison
UDN's dividend yield for the trailing twelve months is around 2.98%, more than BAC's 2.26% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
BAC Bank of America Corporation | 2.26% | 1.96% | 2.28% | 2.73% | 2.60% | 1.75% | 2.38% | 1.87% | 2.19% | 1.32% | 1.13% | 1.19% |
Drawdowns
UDN vs. BAC - Drawdown Comparison
The maximum UDN drawdown since its inception was -41.67%, smaller than the maximum BAC drawdown of -93.10%. Use the drawdown chart below to compare losses from any high point for UDN and BAC.
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Drawdown Indicators
| UDN | BAC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.67% | -93.10% | +51.43% |
Max Drawdown (1Y)Largest decline over 1 year | -4.54% | -17.93% | +13.39% |
Max Drawdown (5Y)Largest decline over 5 years | -22.75% | -46.64% | +23.89% |
Max Drawdown (10Y)Largest decline over 10 years | -25.72% | -48.95% | +23.23% |
Current DrawdownCurrent decline from peak | -28.22% | -14.37% | -13.85% |
Average DrawdownAverage peak-to-trough decline | -20.55% | -28.40% | +7.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.88% | 6.57% | -4.69% |
Volatility
UDN vs. BAC - Volatility Comparison
The current volatility for Invesco DB US Dollar Index Bearish Fund (UDN) is 2.10%, while Bank of America Corporation (BAC) has a volatility of 6.67%. This indicates that UDN experiences smaller price fluctuations and is considered to be less risky than BAC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UDN | BAC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.10% | 6.67% | -4.57% |
Volatility (6M)Calculated over the trailing 6-month period | 4.26% | 16.72% | -12.46% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.42% | 26.82% | -19.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.43% | 26.84% | -19.41% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.95% | 30.80% | -23.85% |