UDN vs. SPY
Compare and contrast key facts about Invesco DB US Dollar Index Bearish Fund (UDN) and State Street SPDR S&P 500 ETF (SPY).
UDN and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. UDN is a passively managed fund by Invesco that tracks the performance of the Deutsche Bank Short USD Currency Portfolio Index. It was launched on Feb 20, 2007. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both UDN and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
UDN vs. SPY - Performance Comparison
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UDN vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
UDN Invesco DB US Dollar Index Bearish Fund | -1.32% | 12.37% | -4.53% | 4.88% | -7.96% | -7.03% | 6.20% | -0.97% | -5.02% | 9.50% |
SPY State Street SPDR S&P 500 ETF | -4.37% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, UDN achieves a -1.32% return, which is significantly higher than SPY's -4.37% return. Over the past 10 years, UDN has underperformed SPY with an annualized return of -0.49%, while SPY has yielded a comparatively higher 13.98% annualized return.
UDN
- 1D
- 0.67%
- 1M
- -2.23%
- YTD
- -1.32%
- 6M
- -1.54%
- 1Y
- 5.59%
- 3Y*
- 3.05%
- 5Y*
- -0.33%
- 10Y*
- -0.49%
SPY
- 1D
- 2.91%
- 1M
- -4.94%
- YTD
- -4.37%
- 6M
- -1.82%
- 1Y
- 17.59%
- 3Y*
- 18.19%
- 5Y*
- 11.69%
- 10Y*
- 13.98%
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UDN vs. SPY - Expense Ratio Comparison
UDN has a 0.77% expense ratio, which is higher than SPY's 0.09% expense ratio.
Return for Risk
UDN vs. SPY — Risk / Return Rank
UDN
SPY
UDN vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bearish Fund (UDN) and State Street SPDR S&P 500 ETF (SPY). 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 | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.76 | 0.93 | -0.17 |
Sortino ratioReturn per unit of downside risk | 1.21 | 1.45 | -0.24 |
Omega ratioGain probability vs. loss probability | 1.14 | 1.22 | -0.09 |
Calmar ratioReturn relative to maximum drawdown | 1.22 | 1.53 | -0.31 |
Martin ratioReturn relative to average drawdown | 2.94 | 7.30 | -4.36 |
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 | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.76 | 0.93 | -0.17 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.04 | 0.69 | -0.73 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.07 | 0.78 | -0.85 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.10 | 0.56 | -0.66 |
Correlation
The correlation between UDN and SPY is 0.20, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
UDN vs. SPY - Dividend Comparison
UDN's dividend yield for the trailing twelve months is around 2.98%, more than SPY's 1.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
UDN Invesco DB US Dollar Index Bearish Fund | 2.98% | 2.94% | 5.33% | 5.21% | 0.69% | 0.00% | 0.00% | 1.38% | 1.26% | 0.11% | 0.00% | 0.00% |
SPY State Street SPDR S&P 500 ETF | 1.14% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Drawdowns
UDN vs. SPY - Drawdown Comparison
The maximum UDN drawdown since its inception was -41.67%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for UDN and SPY.
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Drawdown Indicators
| UDN | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.67% | -55.19% | +13.52% |
Max Drawdown (1Y)Largest decline over 1 year | -4.54% | -12.05% | +7.51% |
Max Drawdown (5Y)Largest decline over 5 years | -22.75% | -24.50% | +1.75% |
Max Drawdown (10Y)Largest decline over 10 years | -25.72% | -33.72% | +8.00% |
Current DrawdownCurrent decline from peak | -28.22% | -6.24% | -21.98% |
Average DrawdownAverage peak-to-trough decline | -20.55% | -9.09% | -11.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.88% | 2.52% | -0.64% |
Volatility
UDN vs. SPY - Volatility Comparison
The current volatility for Invesco DB US Dollar Index Bearish Fund (UDN) is 2.10%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 5.31%. This indicates that UDN experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UDN | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.10% | 5.31% | -3.21% |
Volatility (6M)Calculated over the trailing 6-month period | 4.26% | 9.47% | -5.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.42% | 19.05% | -11.63% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.43% | 17.06% | -9.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.95% | 17.92% | -10.97% |