UDN vs. IGOV
UDN (Invesco DB US Dollar Index Bearish Fund) and IGOV (iShares International Treasury Bond ETF) are both exchange-traded funds - UDN is a Currency fund tracking the Deutsche Bank Short USD Currency Portfolio Index, while IGOV is a International Government Bonds fund tracking the FTSE World Government Bond Index - Developed Markets Capped Select Index. Both are passively managed. Over the past 10 years, UDN returned -0.45%/yr vs -1.49%/yr for IGOV. A 0.79 correlation means they provide meaningful diversification when combined. UDN charges 0.77%/yr vs 0.35%/yr for IGOV.
Performance
UDN vs. IGOV - Performance Comparison
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Returns By Period
In the year-to-date period, UDN achieves a -2.36% return, which is significantly lower than IGOV's -1.80% return. Over the past 10 years, UDN has outperformed IGOV with an annualized return of -0.45%, while IGOV has yielded a comparatively lower -1.49% 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%
IGOV
- 1D
- -0.27%
- 1M
- -1.26%
- YTD
- -1.80%
- 6M
- -2.15%
- 1Y
- -2.13%
- 3Y*
- 1.73%
- 5Y*
- -4.43%
- 10Y*
- -1.49%
UDN vs. IGOV - 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% |
IGOV iShares International Treasury Bond ETF | -1.80% | 9.96% | -6.50% | 5.57% | -22.07% | -9.25% | 10.88% | 3.76% | -2.60% | 11.38% |
Correlation
The correlation between UDN and IGOV is 0.88, 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 | 0.88 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.80 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.78 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.79 |
Correlation (All Time) Calculated using the full available price history since Jan 29, 2009 | 0.79 |
The correlation between UDN and IGOV shifts across timeframes, from 0.78 (5 years) to 0.88 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
UDN vs. IGOV — Risk / Return Rank
UDN
IGOV
UDN vs. IGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bearish Fund (UDN) and iShares International Treasury Bond ETF (IGOV). 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 | IGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.04 | ||
| Sortino ratioReturn per unit of downside risk | +0.04 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 0.96 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | -0.28 | -0.38 | +0.09 |
| Martin ratioReturn relative to average drawdown | -0.60 | -0.83 | +0.22 |
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Drawdowns
UDN vs. IGOV - Drawdown Comparison
The maximum UDN drawdown since its inception was -41.67%, which is greater than IGOV's maximum drawdown of -35.88%. Use the drawdown chart below to compare losses from any high point for UDN and IGOV.
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Drawdown Indicators
| UDN | IGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.67% | -35.88% | -5.79% |
Max Drawdown (1Y)Largest decline over 1 year | -4.91% | -5.70% | +0.79% |
Max Drawdown (3Y)Largest decline over 3 years | -8.59% | -10.65% | +2.06% |
Max Drawdown (5Y)Largest decline over 5 years | -20.82% | -32.92% | +12.10% |
Max Drawdown (10Y)Largest decline over 10 years | -25.72% | -35.88% | +10.16% |
Current DrawdownCurrent decline from peak | -28.97% | -25.00% | -3.97% |
Average DrawdownAverage peak-to-trough decline | -20.63% | -11.05% | -9.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.28% | 2.58% | -0.30% |
Volatility
UDN vs. IGOV - Volatility Comparison
The current volatility for Invesco DB US Dollar Index Bearish Fund (UDN) is 1.37%, while iShares International Treasury Bond ETF (IGOV) has a volatility of 2.29%. This indicates that UDN experiences smaller price fluctuations and is considered to be less risky than IGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UDN | IGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.37% | 2.29% | -0.92% |
Volatility (6M)Calculated over the trailing 6-month period | 4.34% | 6.37% | -2.03% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.05% | 8.13% | -2.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.41% | 9.97% | -2.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.86% | 8.60% | -1.74% |
UDN vs. IGOV - Expense Ratio Comparison
UDN has a 0.77% expense ratio, which is higher than IGOV's 0.35% expense ratio.
Dividends
UDN vs. IGOV - Dividend Comparison
UDN's dividend yield for the trailing twelve months is around 3.01%, more than IGOV's 1.43% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IGOV iShares International Treasury Bond ETF | 1.43% | 1.41% | 0.59% | 0.00% | 0.11% | 0.39% | 0.00% | 0.24% | 0.31% | 0.19% | 0.69% | 0.12% |
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% | 0.00% | 0.00% |
Frequently Asked Questions
UDN and IGOV have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IGOV has higher volatility (2.29%) compared to UDN (1.37%). In terms of maximum drawdown, UDN dropped -41.67% vs IGOV's -35.88%.
On 10-year performance, UDN leads with -0.45% vs -1.49% for IGOV. On fees, IGOV is cheaper at 0.35% 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, UDN has performed better with a -0.45% return vs -1.49%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IGOV is cheaper with a 0.35% expense ratio, compared with 0.77% for UDN.
UDN has the higher dividend yield at 3.01%, compared with 1.43% for IGOV.
UDN is categorized as Currency, while IGOV is International Government Bonds. UDN tracks Deutsche Bank Short USD Currency Portfolio Index, while IGOV tracks FTSE World Government Bond Index - Developed Markets Capped Select Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.77% for UDN and 0.35% for IGOV.
UDN currently has the higher Sharpe Ratio (-0.23 vs -0.26), 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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