UDN vs. FXA
UDN (Invesco DB US Dollar Index Bearish Fund) and FXA (Invesco CurrencyShares Australian Dollar Trust) are both Currency funds from Invesco - UDN tracks the Deutsche Bank Short USD Currency Portfolio Index while FXA tracks the USD/AUD Exchange Rate. Both are passively managed. Over the past 10 years, UDN returned -0.44%/yr vs 0.35%/yr for FXA. A 0.61 correlation means they provide meaningful diversification when combined. UDN charges 0.77%/yr vs 0.40%/yr for FXA.
Performance
UDN vs. FXA - Performance Comparison
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Returns By Period
In the year-to-date period, UDN achieves a -0.27% return, which is significantly lower than FXA's 8.05% return. Over the past 10 years, UDN has underperformed FXA with an annualized return of -0.44%, while FXA has yielded a comparatively higher 0.35% annualized return.
UDN
- 1D
- -0.03%
- 1M
- -0.82%
- YTD
- -0.27%
- 6M
- 0.84%
- 1Y
- 0.95%
- 3Y*
- 3.73%
- 5Y*
- -0.62%
- 10Y*
- -0.44%
FXA
- 1D
- 0.27%
- 1M
- -0.20%
- YTD
- 8.05%
- 6M
- 9.86%
- 1Y
- 11.61%
- 3Y*
- 4.14%
- 5Y*
- -0.52%
- 10Y*
- 0.35%
UDN vs. FXA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
UDN Invesco DB US Dollar Index Bearish Fund | -0.27% | 12.37% | -4.53% | 4.88% | -7.96% | -7.03% | 6.20% | -0.97% | -5.02% | 9.50% |
FXA Invesco CurrencyShares Australian Dollar Trust | 8.05% | 9.10% | -7.75% | 1.20% | -6.46% | -6.17% | 9.52% | 0.13% | -8.84% | 9.05% |
Correlation
The correlation between UDN and FXA is 0.68, 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 | 0.68 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.68 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.69 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.65 |
Correlation (All Time) Calculated using the full available price history since Mar 2, 2007 | 0.61 |
The correlation between UDN and FXA has been stable across timeframes, ranging from 0.61 to 0.69 - a consistent structural relationship.
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Return for Risk
UDN vs. FXA — Risk / Return Rank
UDN
FXA
UDN vs. FXA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bearish Fund (UDN) and Invesco CurrencyShares Australian Dollar Trust (FXA). 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 | FXA | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.16 | 1.47 | -1.31 |
Sortino ratioReturn per unit of downside risk | 0.27 | 2.11 | -1.84 |
Omega ratioGain probability vs. loss probability | 1.03 | 1.25 | -0.22 |
Calmar ratioReturn relative to maximum drawdown | 0.38 | 2.97 | -2.59 |
Martin ratioReturn relative to average drawdown | 0.82 | 8.62 | -7.80 |
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 | FXA | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.16 | 1.47 | -1.31 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.08 | -0.05 | -0.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.06 | 0.04 | -0.10 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.09 | 0.15 | -0.24 |
Drawdowns
UDN vs. FXA - Drawdown Comparison
The maximum UDN drawdown since its inception was -41.67%, roughly equal to the maximum FXA drawdown of -40.97%. Use the drawdown chart below to compare losses from any high point for UDN and FXA.
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Drawdown Indicators
| UDN | FXA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.67% | -40.97% | -0.70% |
Max Drawdown (1Y)Largest decline over 1 year | -4.54% | -4.21% | -0.33% |
Max Drawdown (3Y)Largest decline over 3 years | -8.59% | -13.02% | +4.43% |
Max Drawdown (5Y)Largest decline over 5 years | -22.50% | -21.05% | -1.45% |
Max Drawdown (10Y)Largest decline over 10 years | -25.72% | -27.99% | +2.27% |
Current DrawdownCurrent decline from peak | -27.46% | -23.89% | -3.57% |
Average DrawdownAverage peak-to-trough decline | -20.61% | -18.82% | -1.79% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.10% | 1.45% | +0.65% |
Volatility
UDN vs. FXA - Volatility Comparison
The current volatility for Invesco DB US Dollar Index Bearish Fund (UDN) is 1.25%, while Invesco CurrencyShares Australian Dollar Trust (FXA) has a volatility of 2.18%. This indicates that UDN experiences smaller price fluctuations and is considered to be less risky than FXA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UDN | FXA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.25% | 2.18% | -0.93% |
Volatility (6M)Calculated over the trailing 6-month period | 4.23% | 6.16% | -1.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.13% | 7.96% | -1.83% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.42% | 10.43% | -3.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.92% | 9.90% | -2.98% |
UDN vs. FXA - Expense Ratio Comparison
UDN has a 0.77% expense ratio, which is higher than FXA's 0.40% expense ratio.
Dividends
UDN vs. FXA - Dividend Comparison
UDN's dividend yield for the trailing twelve months is around 2.94%, more than FXA's 0.94% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FXA Invesco CurrencyShares Australian Dollar Trust | 0.94% | 1.16% | 1.66% | 0.98% | 0.05% | 0.00% | 0.03% | 0.53% | 1.04% | 0.83% | 1.01% | 1.52% |
UDN Invesco DB US Dollar Index Bearish Fund | 2.94% | 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
UDN and FXA have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXA has higher volatility (2.18%) compared to UDN (1.25%). In terms of maximum drawdown, UDN dropped -41.67% vs FXA's -40.97%.
On 10-year performance, FXA leads with 0.35% vs -0.44% for UDN. On fees, FXA is cheaper at 0.40% per year. On volatility, UDN has been the lower-risk option at 1.25%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FXA has performed better with a 0.35% return vs -0.44%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXA is cheaper with a 0.40% expense ratio, compared with 0.77% for UDN.
UDN has the higher dividend yield at 2.94%, compared with 0.94% for FXA.
UDN tracks Deutsche Bank Short USD Currency Portfolio Index, while FXA tracks USD/AUD Exchange Rate. Their fees differ too: 0.77% for UDN and 0.40% for FXA.
FXA currently has the higher Sharpe Ratio (1.47 vs 0.16), 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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