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 -0.36%/yr vs 0.25%/yr for FXE. Their 0.95 correlation means they have historically moved very closely together. 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 -0.66% return, which is significantly higher than FXE's -1.38% return. Over the past 10 years, UDN has underperformed FXE with an annualized return of -0.36%, while FXE has yielded a comparatively higher 0.25% annualized return.
UDN
- 1D
- 0.06%
- 1M
- 1.17%
- 6M
- -1.95%
- YTD
- -0.66%
- 1Y
- 0.62%
- 3Y*
- 2.88%
- 5Y*
- -0.30%
- 10Y*
- -0.36%
- ALL TIME*
- -0.73%
FXE
- 1D
- 0.02%
- 1M
- 0.97%
- 6M
- -2.36%
- YTD
- -1.38%
- 1Y
- 0.49%
- 3Y*
- 3.17%
- 5Y*
- 0.24%
- 10Y*
- 0.25%
- ALL TIME*
- 0.13%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $5.51M | $8.25M | $15.67M | |
| $1.67M | $1.52M | $2.03M |
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 | -0.66% | 12.37% | -4.53% | 4.88% | -7.96% | -7.03% | 6.20% | -0.97% | -5.02% | 9.50% |
FXE Invesco CurrencyShares® Euro Currency Trust | -1.38% | 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 - they have historically moved very closely together. At this level, their price movements offset little of one another.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.96 |
Correlation (3Y) Balances recent behavior with more history. | 0.94 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.95 |
Correlation (10Y) Provides a long-term view across more market conditions. | 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 | 0.00 | ||
| Sortino ratioReturn per unit of downside risk | -0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 1.06 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 0.36 | 0.35 | +0.01 |
| Martin ratioReturn relative to average drawdown | 0.69 | 0.69 | 0.00 |
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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 | -20.44% | -20.08% | -0.36% |
Max Drawdown (10Y)Largest decline over 10 years | -25.72% | -26.46% | +0.74% |
Current DrawdownCurrent decline from peak | -27.74% | -28.27% | +0.53% |
Average DrawdownAverage peak-to-trough decline | -20.67% | -22.35% | +1.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.64% | 2.71% | -0.07% |
Volatility
UDN vs. FXE - Volatility Comparison
Invesco DB US Dollar Index Bearish Fund (UDN) has a higher volatility of 1.53% compared to Invesco CurrencyShares® Euro Currency Trust (FXE) at 1.33%. This indicates that UDN's price experiences larger fluctuations and is considered to be riskier 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 | 1.53% | 1.33% | +0.20% |
Volatility (6M)Calculated over the trailing 6-month period | 4.09% | 4.07% | +0.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.89% | 5.93% | -0.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.42% | 7.66% | -0.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.84% | 7.25% | -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 2.96%, more than FXE's 0.74% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FXE Invesco CurrencyShares® Euro Currency Trust | 0.68% | 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 | 2.96% | 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.
UDN has higher volatility (1.53%) compared to FXE (1.33%). In terms of maximum drawdown, UDN dropped -41.67% vs FXE's -43.33%.
On 10-year performance, FXE leads with 0.25% vs -0.36% for UDN. On fees, FXE is cheaper at 0.40% per year. On volatility, FXE has been the lower-risk option at 1.33%. 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 -0.36%. 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 2.96%, compared with 0.68% 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.
FXE currently has the higher Sharpe Ratio (0.32 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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