UDN vs. BTC-USD
UDN (Invesco DB US Dollar Index Bearish Fund) is Currency fund tracking the Deutsche Bank Short USD Currency Portfolio Index, while BTC-USD (Bitcoin) is a cryptocurrency. Over the past 10 years, UDN returned -0.42%/yr vs 57.78%/yr for BTC-USD. At a 0.06 correlation, their price movements are largely independent.
Performance
UDN vs. BTC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, UDN achieves a -2.03% return, which is significantly higher than BTC-USD's -26.78% return. Over the past 10 years, UDN has underperformed BTC-USD with an annualized return of -0.42%, while BTC-USD has yielded a comparatively higher 57.78% annualized return.
UDN
- 1D
- -0.28%
- 1M
- -1.71%
- YTD
- -2.03%
- 6M
- -2.08%
- 1Y
- -0.72%
- 3Y*
- 2.75%
- 5Y*
- -0.66%
- 10Y*
- -0.42%
BTC-USD
- 1D
- 1.32%
- 1M
- -16.41%
- YTD
- -26.78%
- 6M
- -27.65%
- 1Y
- -36.56%
- 3Y*
- 27.78%
- 5Y*
- 13.72%
- 10Y*
- 57.78%
UDN vs. BTC-USD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
UDN Invesco DB US Dollar Index Bearish Fund | -2.03% | 12.37% | -4.53% | 4.88% | -7.96% | -7.03% | 6.20% | -0.97% | -5.02% | 9.50% |
BTC-USD Bitcoin | -26.78% | -6.27% | 120.76% | 155.82% | -64.23% | 59.40% | 304.57% | 94.10% | -73.37% | 1,324.24% |
Correlation
The correlation between UDN and BTC-USD is 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.11 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.17 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.09 |
Correlation (All Time) Calculated using the full available price history since Oct 7, 2012 | 0.06 |
The correlation between UDN and BTC-USD shifts across timeframes, from 0.06 (all time) to 0.17 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
UDN vs. BTC-USD — Risk / Return Rank
UDN
BTC-USD
UDN vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bearish Fund (UDN) and Bitcoin (BTC-USD). 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.
| UDN | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.73 | ||
| Sortino ratioReturn per unit of downside risk | +1.01 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 0.88 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | -0.16 | -0.71 | +0.56 |
| Martin ratioReturn relative to average drawdown | -0.32 | -1.20 | +0.89 |
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Drawdowns
UDN vs. BTC-USD - Drawdown Comparison
The maximum UDN drawdown since its inception was -41.67%, smaller than the maximum BTC-USD drawdown of -85.30%. Use the drawdown chart below to compare losses from any high point for UDN and BTC-USD.
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Drawdown Indicators
| UDN | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.67% | -85.30% | +43.63% |
Max Drawdown (1Y)Largest decline over 1 year | -4.59% | -51.21% | +46.62% |
Max Drawdown (3Y)Largest decline over 3 years | -8.59% | -51.21% | +42.62% |
Max Drawdown (5Y)Largest decline over 5 years | -20.82% | -76.67% | +55.85% |
Max Drawdown (10Y)Largest decline over 10 years | -25.72% | -83.80% | +58.08% |
Current DrawdownCurrent decline from peak | -28.73% | -48.63% | +19.90% |
Average DrawdownAverage peak-to-trough decline | -20.62% | -42.41% | +21.79% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.25% | 31.17% | -28.92% |
Volatility
UDN vs. BTC-USD - Volatility Comparison
The current volatility for Invesco DB US Dollar Index Bearish Fund (UDN) is 1.34%, while Bitcoin (BTC-USD) has a volatility of 12.27%. This indicates that UDN experiences smaller price fluctuations and is considered to be less risky than BTC-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UDN | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.34% | 12.27% | -10.93% |
Volatility (6M)Calculated over the trailing 6-month period | 4.33% | 34.57% | -30.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.05% | 35.70% | -29.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.41% | 44.28% | -36.87% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.91% | 56.43% | -49.52% |
Frequently Asked Questions
UDN and BTC-USD have a correlation of 0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTC-USD has higher volatility (12.27%) compared to UDN (1.34%). In terms of maximum drawdown, UDN dropped -41.67% vs BTC-USD's -85.30%.
UDN currently has the higher Sharpe Ratio (-0.12 vs -0.85), 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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