FXE
Invesco CurrencyShares Euro Currency Trust
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-06
Executive Summary
The quantitative backtest for FXE (Invesco CurrencyShares Euro Currency Trust) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -24.5% (compared to the benchmark's drawdown of -43.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of -0.1%, compared to a Buy-and-Hold benchmark return of -1.2%. The strategy executed 16 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active Model
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
-24.5% (vs -43.3% B&H)
+18.8% shallower drawdown
Capital Preservation
49.5% in Cash
Sheltered during downtrends
Capital Sheltered from Risk
49.5% 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 | -5.02% | -5.40% | -7.55% | -19.78% | -8.05% | -26.46% | -24.49% | -43.33% |
| Sharpe Ratio | -0.01 | 0.08 | 0.30 | 0.06 | 0.32 | 0.04 | -0.02 | -0.14 |
| Sortino Ratio | -0.02 | 0.13 | 0.35 | 0.10 | 0.37 | 0.07 | -0.02 | -0.21 |
| CAGR | -0.06% | 0.46% | 1.52% | 0.46% | 1.54% | 0.32% | -0.09% | -1.24% |
| % Time Invested | 73.9% | 100.0% | 56.9% | 100.0% | 49.8% | 100.0% | 50.5% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 0.8 | 0.0 | 0.8 | 0.0 | 0.9 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for FXE... Top Diversifiers for FXE
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.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
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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 | ||||||||
| 2026-05-28 | 2026-06-26 | Completed | 100% | $107.12 | $105.17 | -1.87% | Signal | |
| 2026-05-05 | 2026-05-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-04-15 | 2026-05-05 | Completed | 100% | $103.41 | $107.68 | 4.07% | Signal | |
| 2024-12-06 | 2025-04-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.48% | Interest Income | |
| 2023-12-26 | 2024-12-06 | Completed | 100% | $98.04 | $96.11 | -2.02% | Signal | |
| 2023-10-11 | 2023-12-26 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.12% | Interest Income | |
| 2023-01-06 | 2023-10-11 | Completed | 100% | $92.13 | $94.01 | 2.00% | Signal | |
| 2021-07-21 | 2023-01-06 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.16% | Interest Income | |
| 2021-05-27 | 2021-07-21 | Completed | 100% | $108.12 | $104.21 | -3.66% | Signal | |
| 2021-05-05 | 2021-05-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-06-04 | 2021-05-05 | Completed | 100% | $100.75 | $106.55 | 5.70% | Signal | |
| 2018-06-07 | 2020-06-04 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.66% | Interest Income | |
| 2017-06-01 | 2018-06-07 | Completed | 100% | $102.93 | $107.66 | 4.54% | Signal | |
| 2016-10-19 | 2017-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2016-09-28 | 2016-10-19 | Completed | 100% | $103.46 | $101.15 | -2.28% | Signal | |
| 2016-09-06 | 2016-09-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-04-01 | 2016-09-06 | Completed | 100% | $105.43 | $103.12 | -2.23% | Signal | |
| 2015-11-23 | 2016-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2015-10-12 | 2015-11-23 | Completed | 100% | $105.67 | $98.78 | -6.57% | Signal | |
| 2014-07-07 | 2015-10-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-07-31 | 2014-07-07 | Completed | 100% | $124.21 | $127.15 | 2.32% | Signal | |
| 2013-06-27 | 2013-07-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-06-17 | 2013-06-27 | Completed | 100% | $125.41 | $122.40 | -2.45% | Signal | |
| 2013-05-22 | 2013-06-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-11-02 | 2013-05-22 | Completed | 100% | $121.12 | $121.54 | 0.29% | Signal | |
| 2011-10-07 | 2012-11-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2010-10-21 | 2011-10-07 | Completed | 100% | $131.85 | $127.28 | -3.52% | Signal | |
| 2010-02-12 | 2010-10-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2009-05-28 | 2010-02-12 | Completed | 100% | $131.95 | $128.18 | -2.91% | Signal | |
| 2008-09-19 | 2009-05-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2008-01-14 | 2008-09-19 | Completed | 100% | $136.34 | $134.28 | -1.56% | Signal | |
| 2008-01-10 | 2008-01-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |