FXE
Invesco CurrencyShares Euro Currency Trust
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-07
Executive Summary
The quantitative backtest for FXE (Invesco CurrencyShares Euro Currency Trust) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -31.1% (compared to the benchmark's drawdown of -43.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of -0.8%, compared to a Buy-and-Hold benchmark return of -1.2%. The strategy executed 9 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for FXE:
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA Active Model
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Trading Horizon
Select risk profile & execution style for FXE:
🛡️ Long-Term Investing Active Horizon
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
Switch to MMA to enable
🛡️ FXE Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-31.1% (vs -43.3% B&H)
+12.2% shallower drawdown
Capital Preservation
47.0% in Cash
Sheltered during downtrends
Capital Sheltered from Risk
47.0% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 FXE Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -5.40% | -5.40% | -6.78% | -19.78% | -11.05% | -26.46% | -31.13% | -43.33% |
| Sharpe Ratio | 0.08 | 0.08 | 0.29 | 0.06 | 0.07 | 0.04 | -0.12 | -0.14 |
| Sortino Ratio | 0.13 | 0.13 | 0.26 | 0.10 | 0.07 | 0.07 | -0.12 | -0.21 |
| CAGR | 0.46% | 0.46% | 1.04% | 0.46% | 0.28% | 0.32% | -0.77% | -1.24% |
| % Time Invested | 100.0% | 100.0% | 34.2% | 100.0% | 42.7% | 100.0% | 53.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.3 | 0.0 | 0.5 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
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Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Subscribe to Unlock | ||||||||
| 2024-04-15 | 2025-07-01 | Interest (CASH) | 100% | $1.00 | $1.06 | 5.77% | Interest Income | |
| 2024-04-02 | 2024-04-15 | Completed | 100% | $96.34 | $95.41 | -1.02% | Signal | |
| 2022-03-02 | 2024-04-02 | Interest (CASH) | 100% | $1.00 | $1.09 | 8.80% | Interest Income | |
| 2020-06-04 | 2022-03-02 | Completed | 100% | $100.75 | $97.67 | -3.11% | Signal | |
| 2019-02-04 | 2020-06-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.19% | Interest Income | |
| 2017-12-21 | 2019-02-04 | Completed | 100% | $108.40 | $103.68 | -4.40% | Signal | |
| 2016-11-14 | 2017-12-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.98% | Interest Income | |
| 2016-04-05 | 2016-11-14 | Completed | 100% | $105.32 | $99.04 | -6.02% | Stop | |
| 2014-12-23 | 2016-04-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2012-12-19 | 2014-12-23 | Completed | 100% | $125.09 | $113.73 | -9.13% | Signal | |
| 2012-05-24 | 2012-12-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2011-01-20 | 2012-05-24 | Completed | 100% | $126.74 | $118.81 | -6.31% | Stop | |
| 2010-10-07 | 2011-01-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-03-08 | 2010-10-07 | Completed | 100% | $129.18 | $131.90 | 2.05% | Signal | |
| 2009-05-06 | 2010-03-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2008-11-04 | 2009-05-06 | Completed | 100% | $120.67 | $126.27 | 4.59% | Signal | |
| 2008-10-13 | 2008-11-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2008-01-14 | 2008-10-13 | Completed | 100% | $136.34 | $127.99 | -6.17% | Stop | |
| 2008-01-10 | 2008-01-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |