UDN vs. MO
UDN (Invesco DB US Dollar Index Bearish Fund) is Currency fund tracking the Deutsche Bank Short USD Currency Portfolio Index, while MO (Altria Group, Inc.) is a stock. Over the past 10 years, UDN returned -0.35%/yr vs 7.43%/yr for MO. At a 0.09 correlation, their price movements are largely independent.
Performance
UDN vs. MO - Performance Comparison
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Returns By Period
In the year-to-date period, UDN achieves a -2.14% return, which is significantly lower than MO's 28.63% return. Over the past 10 years, UDN has underperformed MO with an annualized return of -0.35%, while MO has yielded a comparatively higher 7.43% 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%
MO
- 1D
- 0.11%
- 1M
- 1.40%
- 6M
- 26.69%
- YTD
- 28.63%
- 1Y
- 32.78%
- 3Y*
- 25.69%
- 5Y*
- 17.33%
- 10Y*
- 7.43%
UDN vs. MO - 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% |
MO Altria Group, Inc. | 28.63% | 18.17% | 40.76% | -3.70% | 4.37% | 24.18% | -10.21% | 7.87% | -27.14% | 9.45% |
Correlation
The correlation between UDN and MO is -0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.06 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.07 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.12 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.10 |
Correlation (All Time) Calculated using the full available price history since Mar 1, 2007 | 0.09 |
The correlation between UDN and MO shifts across timeframes, from -0.06 (1 year) to 0.12 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
UDN vs. MO — Risk / Return Rank
UDN
MO
UDN vs. MO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bearish Fund (UDN) and Altria Group, Inc. (MO). 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 | MO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.74 | ||
| Sortino ratioReturn per unit of downside risk | -2.36 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.27 | -0.31 |
| Calmar ratioReturn relative to maximum drawdown | -0.35 | 2.01 | -2.36 |
| Martin ratioReturn relative to average drawdown | -0.72 | 5.04 | -5.77 |
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Drawdowns
UDN vs. MO - Drawdown Comparison
The maximum UDN drawdown since its inception was -41.67%, smaller than the maximum MO drawdown of -65.43%. Use the drawdown chart below to compare losses from any high point for UDN and MO.
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Drawdown Indicators
| UDN | MO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.67% | -65.43% | +23.76% |
Max Drawdown (1Y)Largest decline over 1 year | -5.13% | -16.40% | +11.27% |
Max Drawdown (3Y)Largest decline over 3 years | -8.59% | -16.40% | +7.81% |
Max Drawdown (5Y)Largest decline over 5 years | -20.71% | -25.83% | +5.12% |
Max Drawdown (10Y)Largest decline over 10 years | -25.72% | -53.69% | +27.97% |
Current DrawdownCurrent decline from peak | -28.81% | -2.94% | -25.87% |
Average DrawdownAverage peak-to-trough decline | -20.65% | -11.91% | -8.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.47% | 6.51% | -4.04% |
Volatility
UDN vs. MO - Volatility Comparison
The current volatility for Invesco DB US Dollar Index Bearish Fund (UDN) is 1.41%, while Altria Group, Inc. (MO) has a volatility of 6.81%. This indicates that UDN experiences smaller price fluctuations and is considered to be less risky than MO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UDN | MO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.41% | 6.81% | -5.40% |
Volatility (6M)Calculated over the trailing 6-month period | 4.36% | 18.14% | -13.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.01% | 22.89% | -16.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.40% | 20.74% | -13.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.85% | 23.04% | -16.19% |
Dividends
UDN vs. MO - Dividend Comparison
UDN's dividend yield for the trailing twelve months is around 3.00%, less than MO's 5.90% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MO Altria Group, Inc. | 5.90% | 7.21% | 7.65% | 9.52% | 8.05% | 7.43% | 8.29% | 6.57% | 6.07% | 3.56% | 3.48% | 3.73% |
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% | 0.00% | 0.00% |
Frequently Asked Questions
UDN and MO have a correlation of -0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MO has higher volatility (6.81%) compared to UDN (1.41%). In terms of maximum drawdown, UDN dropped -41.67% vs MO's -65.43%.
MO currently has the higher Sharpe Ratio (1.44 vs -0.30), 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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