UDN vs. MSFT

Last updated Jun 4, 2026

UDN (Invesco DB US Dollar Index Bearish Fund) is Currency fund tracking the Deutsche Bank Short USD Currency Portfolio Index, while MSFT (Microsoft Corporation) is a stock. Over the past 10 years, UDN returned -0.48%/yr vs 25.03%/yr for MSFT. At a 0.12 correlation, their price movements are largely independent.

Performance

UDN vs. MSFT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DB US Dollar Index Bearish Fund (UDN) and Microsoft Corporation (MSFT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, UDN achieves a -0.60% return, which is significantly higher than MSFT's -11.24% return. Over the past 10 years, UDN has underperformed MSFT with an annualized return of -0.48%, while MSFT has yielded a comparatively higher 25.03% annualized return.

UDN

• 1D: -0.33%
• 1M: -0.98%
• YTD: -0.60%
• 6M: 0.02%
• 1Y: 1.27%
• 3Y*: 3.62%
• 5Y*: -0.78%
• 10Y*: -0.48%

MSFT

• 1D: -3.17%
• 1M: 3.54%
• YTD: -11.24%
• 6M: -10.15%
• 1Y: -6.96%
• 3Y*: 9.26%
• 5Y*: 12.17%
• 10Y*: 25.03%

*Multi-year figures are annualized to reflect compound growth (CAGR)

UDN vs. MSFT - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
UDN Invesco DB US Dollar Index Bearish Fund	-0.60%	12.37%	-4.53%	4.88%	-7.96%	-7.03%	6.20%	-0.97%	-5.02%	9.50%
MSFT Microsoft Corporation	-11.24%	15.58%	12.93%	58.19%	-28.02%	52.48%	42.53%	57.56%	20.80%	40.73%

Correlation

The correlation between UDN and MSFT is 0.09, 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	0.09
Correlation (3Y) Calculated over the trailing 3-year period	0.05
Correlation (5Y) Calculated over the trailing 5-year period	0.15
Correlation (10Y) Calculated over the trailing 10-year period	0.10
Correlation (All Time) Calculated using the full available price history since Mar 2, 2007	0.12

The correlation between UDN and MSFT shifts across timeframes, from 0.05 (3 years) to 0.15 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

UDN vs. MSFT — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

UDN

UDN Risk / Return Rank: 11
UDN Sharpe Ratio Rank: 11
UDN Sortino Ratio Rank: 10
UDN Omega Ratio Rank: 10
UDN Calmar Ratio Rank: 12
UDN Martin Ratio Rank: 12

MSFT

MSFT Risk / Return Rank: 29
MSFT Sharpe Ratio Rank: 29
MSFT Sortino Ratio Rank: 25
MSFT Omega Ratio Rank: 25
MSFT Calmar Ratio Rank: 33
MSFT Martin Ratio Rank: 33

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

UDN vs. MSFT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bearish Fund (UDN) and Microsoft Corporation (MSFT). 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	MSFT	Difference
Sharpe ratio Return per unit of total volatility	0.21	-0.28	+0.49
Sortino ratio Return per unit of downside risk	0.35	-0.21	+0.57
Omega ratio Gain probability vs. loss probability	1.04	0.97	+0.07
Calmar ratio Return relative to maximum drawdown	0.28	-0.21	+0.49
Martin ratio Return relative to average drawdown	0.60	-0.44	+1.04
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

UDN vs. MSFT - Sharpe Ratio Comparison

The current UDN Sharpe Ratio is 0.21, which is higher than the MSFT Sharpe Ratio of -0.28. The chart below compares the historical Sharpe Ratios of UDN and MSFT, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	UDN	MSFT	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.21	-0.28	+0.49
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.11	0.46	-0.57
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.07	0.93	-1.00
Sharpe Ratio (All Time) Calculated using the full available price history	-0.09	0.75	-0.84

Drawdowns

UDN vs. MSFT - Drawdown Comparison

The maximum UDN drawdown since its inception was -41.67%, smaller than the maximum MSFT drawdown of -69.38%. Use the drawdown chart below to compare losses from any high point for UDN and MSFT.

Drawdown Indicators

	UDN	MSFT	Difference
Max Drawdown Largest peak-to-trough decline	-41.67%	-69.38%	+27.71%
Max Drawdown (1Y) Largest decline over 1 year	-4.54%	-33.91%	+29.37%
Max Drawdown (3Y) Largest decline over 3 years	-8.59%	-33.91%	+25.32%
Max Drawdown (5Y) Largest decline over 5 years	-22.50%	-37.15%	+14.65%
Max Drawdown (10Y) Largest decline over 10 years	-25.72%	-37.15%	+11.43%
Current Drawdown Current decline from peak	-27.70%	-20.67%	-7.03%
Average Drawdown Average peak-to-trough decline	-20.61%	-21.78%	+1.17%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.11%	15.95%	-13.84%

Volatility

UDN vs. MSFT - Volatility Comparison

The current volatility for Invesco DB US Dollar Index Bearish Fund (UDN) is 1.27%, while Microsoft Corporation (MSFT) has a volatility of 9.95%. This indicates that UDN experiences smaller price fluctuations and is considered to be less risky than MSFT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	UDN	MSFT	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.27%	9.95%	-8.68%
Volatility (6M) Calculated over the trailing 6-month period	4.25%	22.34%	-18.09%
Volatility (1Y) Calculated over the trailing 1-year period	6.09%	25.12%	-19.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.41%	26.63%	-19.22%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	6.92%	27.04%	-20.12%

Dividends

UDN vs. MSFT - Dividend Comparison

UDN's dividend yield for the trailing twelve months is around 2.95%, more than MSFT's 0.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MSFT Microsoft Corporation	0.83%	0.70%	0.73%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%
UDN Invesco DB US Dollar Index Bearish Fund	2.95%	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

Can I hold both UDN and MSFT in my portfolio?

UDN and MSFT have a correlation of 0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, UDN or MSFT?

MSFT has higher volatility (9.95%) compared to UDN (1.27%). In terms of maximum drawdown, UDN dropped -41.67% vs MSFT's -69.38%.

Which has better risk-adjusted returns?

UDN currently has the higher Sharpe Ratio (0.21 vs -0.28), 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.