UDN vs. FXY
UDN (Invesco DB US Dollar Index Bearish Fund) and FXY (Invesco CurrencyShares® Japanese Yen Trust) are both Currency funds from Invesco - UDN tracks the Deutsche Bank Short USD Currency Portfolio Index while FXY tracks the Japanese Yen. Both are passively managed. Over the past 10 years, UDN returned -0.44%/yr vs -4.47%/yr for FXY. At a 0.45 correlation, their price movements are largely independent. UDN charges 0.77%/yr vs 0.40%/yr for FXY.
Performance
UDN vs. FXY - Performance Comparison
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Returns By Period
In the year-to-date period, UDN achieves a -0.27% return, which is significantly higher than FXY's -2.11% return. Over the past 10 years, UDN has outperformed FXY with an annualized return of -0.44%, while FXY has yielded a comparatively lower -4.47% 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%
FXY
- 1D
- -0.14%
- 1M
- -1.73%
- YTD
- -2.11%
- 6M
- -2.69%
- 1Y
- -11.07%
- 3Y*
- -4.76%
- 5Y*
- -7.63%
- 10Y*
- -4.47%
UDN vs. FXY - 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% |
FXY Invesco CurrencyShares® Japanese Yen Trust | -2.11% | 0.09% | -10.93% | -7.44% | -12.75% | -10.90% | 4.61% | 0.37% | 2.31% | 3.17% |
Correlation
The correlation between UDN and FXY is 0.73, 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 | 0.73 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.65 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.59 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.56 |
Correlation (All Time) Calculated using the full available price history since Mar 2, 2007 | 0.45 |
Over the past year, UDN and FXY have become more correlated (0.73) than their long-term average of 0.45, meaning their price movements have been converging.
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Return for Risk
UDN vs. FXY — Risk / Return Rank
UDN
FXY
UDN vs. FXY - 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® Japanese Yen Trust (FXY). 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 | FXY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.16 | -1.33 | +1.48 |
Sortino ratioReturn per unit of downside risk | 0.27 | -1.96 | +2.23 |
Omega ratioGain probability vs. loss probability | 1.03 | 0.79 | +0.24 |
Calmar ratioReturn relative to maximum drawdown | 0.38 | -0.91 | +1.29 |
Martin ratioReturn relative to average drawdown | 0.82 | -1.35 | +2.17 |
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 | FXY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.16 | -1.33 | +1.48 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.08 | -0.75 | +0.66 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.06 | -0.48 | +0.42 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.09 | -0.18 | +0.09 |
Drawdowns
UDN vs. FXY - Drawdown Comparison
The maximum UDN drawdown since its inception was -41.67%, smaller than the maximum FXY drawdown of -56.03%. Use the drawdown chart below to compare losses from any high point for UDN and FXY.
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Drawdown Indicators
| UDN | FXY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.67% | -56.03% | +14.36% |
Max Drawdown (1Y)Largest decline over 1 year | -4.54% | -11.16% | +6.62% |
Max Drawdown (3Y)Largest decline over 3 years | -8.59% | -15.12% | +6.53% |
Max Drawdown (5Y)Largest decline over 5 years | -22.50% | -33.72% | +11.22% |
Max Drawdown (10Y)Largest decline over 10 years | -25.72% | -40.84% | +15.12% |
Current DrawdownCurrent decline from peak | -27.46% | -55.85% | +28.39% |
Average DrawdownAverage peak-to-trough decline | -20.61% | -27.73% | +7.12% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.10% | 7.64% | -5.54% |
Volatility
UDN vs. FXY - Volatility Comparison
Invesco DB US Dollar Index Bearish Fund (UDN) has a higher volatility of 1.25% compared to Invesco CurrencyShares® Japanese Yen Trust (FXY) at 1.19%. This indicates that UDN's price experiences larger fluctuations and is considered to be riskier than FXY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UDN | FXY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.25% | 1.19% | +0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 4.23% | 5.77% | -1.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.13% | 8.43% | -2.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.42% | 10.25% | -2.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.92% | 9.33% | -2.41% |
UDN vs. FXY - Expense Ratio Comparison
UDN has a 0.77% expense ratio, which is higher than FXY's 0.40% expense ratio.
Dividends
UDN vs. FXY - Dividend Comparison
UDN's dividend yield for the trailing twelve months is around 2.94%, while FXY has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FXY Invesco CurrencyShares® Japanese Yen Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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% |
Frequently Asked Questions
UDN and FXY have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
UDN has higher volatility (1.25%) compared to FXY (1.19%). In terms of maximum drawdown, UDN dropped -41.67% vs FXY's -56.03%.
On 10-year performance, UDN leads with -0.44% vs -4.47% for FXY. On fees, FXY is cheaper at 0.40% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, UDN has performed better with a -0.44% return vs -4.47%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXY 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 0.00% for FXY.
UDN tracks Deutsche Bank Short USD Currency Portfolio Index, while FXY tracks Japanese Yen. Their fees differ too: 0.77% for UDN and 0.40% for FXY.
UDN currently has the higher Sharpe Ratio (0.16 vs -1.33), 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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