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 -0.35%/yr vs -4.73%/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 -2.14% return, which is significantly higher than FXY's -3.77% return. Over the past 10 years, UDN has outperformed FXY with an annualized return of -0.35%, while FXY has yielded a comparatively lower -4.73% 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%
FXY
- 1D
- -0.49%
- 1M
- -1.40%
- 6M
- -2.84%
- YTD
- -3.77%
- 1Y
- -9.61%
- 3Y*
- -5.50%
- 5Y*
- -7.99%
- 10Y*
- -4.73%
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 | -2.14% | 12.37% | -4.53% | 4.88% | -7.96% | -7.03% | 6.20% | -0.97% | -5.02% | 9.50% |
FXY Invesco CurrencyShares® Japanese Yen Trust | -3.77% | 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 0.71, 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 | 0.71 |
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 | 0.57 |
Correlation (All Time) Calculated using the full available price history since Mar 1, 2007 | 0.45 |
Over the past year, UDN and FXY have become more correlated (0.71) 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.
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 | FXY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.90 | ||
| Sortino ratioReturn per unit of downside risk | +1.39 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 0.81 | +0.15 |
| Calmar ratioReturn relative to maximum drawdown | -0.35 | -0.94 | +0.59 |
| Martin ratioReturn relative to average drawdown | -0.72 | -1.53 | +0.81 |
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Drawdowns
UDN vs. FXY - Drawdown Comparison
The maximum UDN drawdown since its inception was -41.67%, smaller than the maximum FXY drawdown of -56.62%. 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% | -56.62% | +14.95% |
Max Drawdown (1Y)Largest decline over 1 year | -5.13% | -10.21% | +5.08% |
Max Drawdown (3Y)Largest decline over 3 years | -8.59% | -15.91% | +7.32% |
Max Drawdown (5Y)Largest decline over 5 years | -20.71% | -34.61% | +13.90% |
Max Drawdown (10Y)Largest decline over 10 years | -25.72% | -41.64% | +15.92% |
Current DrawdownCurrent decline from peak | -28.81% | -56.60% | +27.79% |
Average DrawdownAverage peak-to-trough decline | -20.65% | -27.88% | +7.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.47% | 6.28% | -3.81% |
Volatility
UDN vs. FXY - Volatility Comparison
The current volatility for Invesco DB US Dollar Index Bearish Fund (UDN) is 1.41%, while Invesco CurrencyShares® Japanese Yen Trust (FXY) has a volatility of 1.60%. This indicates that UDN experiences smaller price fluctuations and is considered to be less risky 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 | 1.41% | 1.60% | -0.19% |
Volatility (6M)Calculated over the trailing 6-month period | 4.36% | 5.52% | -1.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.01% | 8.09% | -2.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.40% | 10.24% | -2.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.85% | 9.18% | -2.33% |
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 3.00%, 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 | 3.00% | 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 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXY has higher volatility (1.60%) compared to UDN (1.41%). In terms of maximum drawdown, UDN dropped -41.67% vs FXY's -56.62%.
On 10-year performance, UDN leads with -0.35% vs -4.73% for FXY. On fees, FXY 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, UDN has performed better with a -0.35% return vs -4.73%. 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 3.00%, 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 (-0.30 vs -1.19), 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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