UDN vs. FXF
UDN (Invesco DB US Dollar Index Bearish Fund) and FXF (Invesco CurrencyShares® Swiss Franc Trust) are both Currency funds from Invesco - UDN tracks the Deutsche Bank Short USD Currency Portfolio Index while FXF tracks the Swiss Franc. Both are passively managed. Over the past 10 years, UDN returned -0.45%/yr vs 0.98%/yr for FXF. A 0.78 correlation means they provide meaningful diversification when combined. UDN charges 0.77%/yr vs 0.40%/yr for FXF.
Performance
UDN vs. FXF - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with UDN having a -2.36% return and FXF slightly lower at -2.44%. Over the past 10 years, UDN has underperformed FXF with an annualized return of -0.45%, while FXF has yielded a comparatively higher 0.98% annualized return.
UDN
- 1D
- -0.34%
- 1M
- -2.04%
- YTD
- -2.36%
- 6M
- -2.68%
- 1Y
- -1.37%
- 3Y*
- 2.64%
- 5Y*
- -0.72%
- 10Y*
- -0.45%
FXF
- 1D
- -0.13%
- 1M
- -3.13%
- YTD
- -2.44%
- 6M
- -2.94%
- 1Y
- -0.35%
- 3Y*
- 3.15%
- 5Y*
- 2.00%
- 10Y*
- 0.98%
UDN vs. FXF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
UDN Invesco DB US Dollar Index Bearish Fund | -2.36% | 12.37% | -4.53% | 4.88% | -7.96% | -7.03% | 6.20% | -0.97% | -5.02% | 9.50% |
FXF Invesco CurrencyShares® Swiss Franc Trust | -2.44% | 14.04% | -7.46% | 9.63% | -2.29% | -4.08% | 8.18% | 0.32% | -2.01% | 3.31% |
Correlation
The correlation between UDN and FXF is 0.87, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.87 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.79 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.78 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.78 |
Correlation (All Time) Calculated using the full available price history since Mar 1, 2007 | 0.78 |
The correlation between UDN and FXF has been stable across timeframes, ranging from 0.78 to 0.87 - a consistent structural relationship.
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Return for Risk
UDN vs. FXF — Risk / Return Rank
UDN
FXF
UDN vs. FXF - 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® Swiss Franc Trust (FXF). 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 | FXF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.18 | ||
| Sortino ratioReturn per unit of downside risk | -0.27 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.00 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | -0.28 | -0.06 | -0.22 |
| Martin ratioReturn relative to average drawdown | -0.60 | -0.14 | -0.46 |
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Drawdowns
UDN vs. FXF - Drawdown Comparison
The maximum UDN drawdown since its inception was -41.67%, which is greater than FXF's maximum drawdown of -35.58%. Use the drawdown chart below to compare losses from any high point for UDN and FXF.
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Drawdown Indicators
| UDN | FXF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.67% | -35.58% | -6.09% |
Max Drawdown (1Y)Largest decline over 1 year | -4.91% | -6.12% | +1.21% |
Max Drawdown (3Y)Largest decline over 3 years | -8.59% | -8.52% | -0.07% |
Max Drawdown (5Y)Largest decline over 5 years | -20.82% | -11.99% | -8.83% |
Max Drawdown (10Y)Largest decline over 10 years | -25.72% | -15.04% | -10.68% |
Current DrawdownCurrent decline from peak | -28.97% | -20.36% | -8.61% |
Average DrawdownAverage peak-to-trough decline | -20.63% | -20.83% | +0.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.28% | 2.41% | -0.13% |
Volatility
UDN vs. FXF - Volatility Comparison
The current volatility for Invesco DB US Dollar Index Bearish Fund (UDN) is 1.37%, while Invesco CurrencyShares® Swiss Franc Trust (FXF) has a volatility of 1.97%. This indicates that UDN experiences smaller price fluctuations and is considered to be less risky than FXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UDN | FXF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.37% | 1.97% | -0.60% |
Volatility (6M)Calculated over the trailing 6-month period | 4.34% | 5.65% | -1.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.05% | 7.48% | -1.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.41% | 8.32% | -0.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.86% | 7.57% | -0.71% |
UDN vs. FXF - Expense Ratio Comparison
UDN has a 0.77% expense ratio, which is higher than FXF's 0.40% expense ratio.
Dividends
UDN vs. FXF - Dividend Comparison
UDN's dividend yield for the trailing twelve months is around 3.01%, while FXF has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FXF Invesco CurrencyShares® Swiss Franc Trust | 0.00% | 0.00% | 0.03% | 0.02% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
UDN Invesco DB US Dollar Index Bearish Fund | 3.01% | 2.94% | 5.33% | 5.21% | 0.69% | 0.00% | 0.00% | 1.38% | 1.26% | 0.11% |
Frequently Asked Questions
UDN and FXF have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXF has higher volatility (1.97%) compared to UDN (1.37%). In terms of maximum drawdown, UDN dropped -41.67% vs FXF's -35.58%.
On 10-year performance, FXF leads with 0.98% vs -0.45% for UDN. On fees, FXF is cheaper at 0.40% per year. On volatility, UDN has been the lower-risk option at 1.37%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FXF has performed better with a 0.98% return vs -0.45%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXF is cheaper with a 0.40% expense ratio, compared with 0.77% for UDN.
UDN has the higher dividend yield at 3.01%, compared with 0.00% for FXF.
UDN tracks Deutsche Bank Short USD Currency Portfolio Index, while FXF tracks Swiss Franc. Their fees differ too: 0.77% for UDN and 0.40% for FXF.
FXF currently has the higher Sharpe Ratio (-0.05 vs -0.23), 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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