UDN vs. FXE
UDN (Invesco DB US Dollar Index Bearish Fund) and FXE (Invesco CurrencyShares® Euro Currency Trust) are both Currency funds from Invesco - UDN tracks the Deutsche Bank Short USD Currency Portfolio Index while FXE tracks the Euro. Both are passively managed. Over the past 10 years, UDN returned -0.35%/yr vs 0.25%/yr for FXE. With a 0.95 correlation, they move nearly in lockstep. UDN charges 0.77%/yr vs 0.40%/yr for FXE.
Performance
UDN vs. FXE - Performance Comparison
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Returns By Period
In the year-to-date period, UDN achieves a -2.14% return, which is significantly higher than FXE's -2.76% return. Over the past 10 years, UDN has underperformed FXE with an annualized return of -0.35%, while FXE has yielded a comparatively higher 0.25% 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%
FXE
- 1D
- -0.28%
- 1M
- -1.64%
- 6M
- -2.06%
- YTD
- -2.76%
- 1Y
- -1.92%
- 3Y*
- 1.97%
- 5Y*
- 0.00%
- 10Y*
- 0.25%
UDN vs. FXE - 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% |
FXE Invesco CurrencyShares® Euro Currency Trust | -2.76% | 14.52% | -4.18% | 4.87% | -6.57% | -7.83% | 7.94% | -2.90% | -5.30% | 13.05% |
Correlation
The correlation between UDN and FXE is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.96 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.94 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.95 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Mar 1, 2007 | 0.95 |
The correlation between UDN and FXE has been stable across timeframes, ranging from 0.94 to 0.96 - a consistent structural relationship.
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Return for Risk
UDN vs. FXE — Risk / Return Rank
UDN
FXE
UDN vs. FXE - 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® Euro Currency Trust (FXE). 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 | FXE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.01 | ||
| Sortino ratioReturn per unit of downside risk | +0.01 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 0.95 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | -0.35 | -0.36 | +0.01 |
| Martin ratioReturn relative to average drawdown | -0.72 | -0.76 | +0.04 |
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Drawdowns
UDN vs. FXE - Drawdown Comparison
The maximum UDN drawdown since its inception was -41.67%, roughly equal to the maximum FXE drawdown of -43.33%. Use the drawdown chart below to compare losses from any high point for UDN and FXE.
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Drawdown Indicators
| UDN | FXE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.67% | -43.33% | +1.66% |
Max Drawdown (1Y)Largest decline over 1 year | -5.13% | -5.40% | +0.27% |
Max Drawdown (3Y)Largest decline over 3 years | -8.59% | -8.12% | -0.47% |
Max Drawdown (5Y)Largest decline over 5 years | -20.71% | -20.21% | -0.50% |
Max Drawdown (10Y)Largest decline over 10 years | -25.72% | -26.46% | +0.74% |
Current DrawdownCurrent decline from peak | -28.81% | -29.27% | +0.46% |
Average DrawdownAverage peak-to-trough decline | -20.65% | -22.33% | +1.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.47% | 2.51% | -0.04% |
Volatility
UDN vs. FXE - Volatility Comparison
The current volatility for Invesco DB US Dollar Index Bearish Fund (UDN) is 1.41%, while Invesco CurrencyShares® Euro Currency Trust (FXE) has a volatility of 1.52%. This indicates that UDN experiences smaller price fluctuations and is considered to be less risky than FXE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UDN | FXE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.41% | 1.52% | -0.11% |
Volatility (6M)Calculated over the trailing 6-month period | 4.36% | 4.44% | -0.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.01% | 6.20% | -0.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.40% | 7.66% | -0.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.85% | 7.26% | -0.41% |
UDN vs. FXE - Expense Ratio Comparison
UDN has a 0.77% expense ratio, which is higher than FXE's 0.40% expense ratio.
Dividends
UDN vs. FXE - Dividend Comparison
UDN's dividend yield for the trailing twelve months is around 3.00%, more than FXE's 0.75% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FXE Invesco CurrencyShares® Euro Currency Trust | 0.75% | 0.94% | 2.28% | 1.49% | 0.01% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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% |
Frequently Asked Questions
With a correlation of 0.96, UDN and FXE move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
FXE has higher volatility (1.52%) compared to UDN (1.41%). In terms of maximum drawdown, UDN dropped -41.67% vs FXE's -43.33%.
On 10-year performance, FXE leads with 0.25% vs -0.35% for UDN. On fees, FXE is cheaper at 0.40% per year. On volatility, UDN has been the lower-risk option at 1.41%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FXE has performed better with a 0.25% return vs -0.35%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXE is cheaper with a 0.40% expense ratio, compared with 0.77% for UDN.
UDN has the higher dividend yield at 3.00%, compared with 0.75% for FXE.
UDN tracks Deutsche Bank Short USD Currency Portfolio Index, while FXE tracks Euro. Their fees differ too: 0.77% for UDN and 0.40% for FXE.
UDN currently has the higher Sharpe Ratio (-0.30 vs -0.31), 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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