UDN vs. COST

Last updated Jul 14, 2026

UDN (Invesco DB US Dollar Index Bearish Fund) is Currency fund tracking the Deutsche Bank Short USD Currency Portfolio Index, while COST (Costco Wholesale Corporation) is a stock. Over the past 10 years, UDN returned -0.35%/yr vs 20.76%/yr for COST. At a 0.08 correlation, their price movements are largely independent.

Performance

UDN vs. COST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DB US Dollar Index Bearish Fund (UDN) and Costco Wholesale Corporation (COST). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, UDN achieves a -2.14% return, which is significantly lower than COST's 7.73% return. Over the past 10 years, UDN has underperformed COST with an annualized return of -0.35%, while COST has yielded a comparatively higher 20.76% annualized return.

UDN

• 1D: -0.28%
• 1M: -1.38%
• 6M: -1.60%
• YTD: -2.14%
• 1Y: -1.78%
• 3Y*: 1.62%
• 5Y*: -0.53%
• 10Y*: -0.35%

COST

• 1D: 1.11%
• 1M: -5.69%
• 6M: -1.49%
• YTD: 7.73%
• 1Y: -3.99%
• 3Y*: 20.82%
• 5Y*: 18.99%
• 10Y*: 20.76%

*Multi-year figures are annualized to reflect compound growth (CAGR)

UDN vs. COST - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
UDN Invesco DB US Dollar Index Bearish Fund	-2.14%	12.37%	-4.53%	4.88%	-7.96%	-7.03%	6.20%	-0.97%	-5.02%	9.50%
COST Costco Wholesale Corporation	7.73%	-5.39%	39.62%	49.00%	-19.05%	51.82%	32.67%	45.70%	10.60%	22.37%

Correlation

The correlation between UDN and COST is -0.05, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.05
Correlation (3Y) Calculated over the trailing 3-year period	0.03
Correlation (5Y) Calculated over the trailing 5-year period	0.11
Correlation (10Y) Calculated over the trailing 10-year period	0.07
Correlation (All Time) Calculated using the full available price history since Mar 1, 2007	0.08

The correlation between UDN and COST shifts across timeframes, from -0.05 (1 year) to 0.11 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

UDN vs. COST — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

UDN

UDN Risk / Return Rank: 6
UDN Sharpe Ratio Rank: 7
UDN Sortino Ratio Rank: 6
UDN Omega Ratio Rank: 6
UDN Calmar Ratio Rank: 6
UDN Martin Ratio Rank: 6

COST

COST Risk / Return Rank: 34
COST Sharpe Ratio Rank: 36
COST Sortino Ratio Rank: 30
COST Omega Ratio Rank: 31
COST Calmar Ratio Rank: 37
COST Martin Ratio Rank: 35

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

UDN vs. COST - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bearish Fund (UDN) and Costco Wholesale Corporation (COST). 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	COST	Difference
Sharpe ratio: Return per unit of total volatility	-0.30	-0.20	-0.09
Sortino ratio: Return per unit of downside risk	-0.39	-0.15	-0.24
Omega ratio: Gain probability vs. loss probability	0.96	0.98	-0.03
Calmar ratio: Return relative to maximum drawdown	-0.35	-0.24	-0.11
Martin ratio: Return relative to average drawdown	-0.72	-0.56	-0.16

UDN vs. COST - Sharpe Ratio Comparison

The current UDN Sharpe Ratio is -0.30, which is lower than the COST Sharpe Ratio of -0.20. The chart below compares the historical Sharpe Ratios of UDN and COST, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

UDN vs. COST - Drawdown Comparison

The maximum UDN drawdown since its inception was -41.67%, smaller than the maximum COST drawdown of -53.39%. Use the drawdown chart below to compare losses from any high point for UDN and COST.

Drawdown Indicators

	UDN	COST	Difference
Max Drawdown Largest peak-to-trough decline	-41.67%	-53.39%	+11.72%
Max Drawdown (1Y) Largest decline over 1 year	-5.13%	-16.57%	+11.44%
Max Drawdown (3Y) Largest decline over 3 years	-8.59%	-20.74%	+12.15%
Max Drawdown (5Y) Largest decline over 5 years	-20.71%	-31.40%	+10.69%
Max Drawdown (10Y) Largest decline over 10 years	-25.72%	-31.40%	+5.68%
Current Drawdown Current decline from peak	-28.81%	-15.34%	-13.47%
Average Drawdown Average peak-to-trough decline	-20.65%	-13.36%	-7.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.47%	7.14%	-4.67%

Volatility

UDN vs. COST - Volatility Comparison

The current volatility for Invesco DB US Dollar Index Bearish Fund (UDN) is 1.41%, while Costco Wholesale Corporation (COST) has a volatility of 6.82%. This indicates that UDN experiences smaller price fluctuations and is considered to be less risky than COST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	UDN	COST	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.41%	6.82%	-5.41%
Volatility (6M) Calculated over the trailing 6-month period	4.36%	14.82%	-10.46%
Volatility (1Y) Calculated over the trailing 1-year period	6.01%	19.61%	-13.60%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.40%	22.86%	-15.46%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	6.85%	21.99%	-15.14%

Dividends

UDN vs. COST - Dividend Comparison

UDN's dividend yield for the trailing twelve months is around 3.00%, more than COST's 0.58% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
COST Costco Wholesale Corporation	0.58%	0.59%	0.49%	2.87%	0.76%	0.54%	3.38%	0.86%	1.08%	4.81%	1.09%	4.06%
UDN Invesco DB US Dollar Index Bearish Fund	3.00%	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

Can I hold both UDN and COST in my portfolio?

UDN and COST have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, UDN or COST?

COST has higher volatility (6.82%) compared to UDN (1.41%). In terms of maximum drawdown, UDN dropped -41.67% vs COST's -53.39%.

Which has better risk-adjusted returns?

COST currently has the higher Sharpe Ratio (-0.20 vs -0.30), 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.