FXY
Invesco CurrencyShares Japanese Yen Trust
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-06
Executive Summary
The quantitative backtest for FXY (Invesco CurrencyShares Japanese Yen Trust) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -14.0% (compared to the benchmark's drawdown of -57.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 0.6%, compared to a Buy-and-Hold benchmark return of -3.1%. The strategy executed 55 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for FXY:
Excess Return MMA Active Model
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Trading Horizon
Select risk profile & execution style for FXY:
🛡️ 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.
🛡️ FXY Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-14.0% (vs -57.0% B&H)
+42.9% shallower drawdown
Downside Efficiency
0.12 Sortino
Downside risk-adjusted return
Capital Sheltered from Risk
60.0% 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.
📊 FXY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -1.36% | -10.86% | -8.54% | -34.93% | -12.58% | -41.87% | -14.01% | -56.95% |
| Sharpe Ratio | 1.92 | -0.66 | 0.39 | -0.73 | -0.04 | -0.53 | 0.11 | -0.33 |
| Sortino Ratio | 1.00 | -1.17 | 0.32 | -1.21 | -0.05 | -0.81 | 0.12 | -0.50 |
| CAGR | 2.29% | -5.34% | 1.71% | -7.22% | -0.19% | -4.68% | 0.61% | -3.11% |
| % Time Invested | 5.8% | 100.0% | 17.9% | 100.0% | 33.8% | 100.0% | 40.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.8 | 0.0 | 2.5 | 0.0 | 3.1 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for FXY... Top Diversifiers for FXY
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 | ||||||||
| 2025-07-15 | 2025-11-05 | Completed | 33.33% | $62.09 | $59.71 | -3.88% | Signal | |
| 2025-04-10 | 2025-08-14 | Completed | 33.33% | $63.55 | $62.51 | -1.69% | Signal | |
| 2025-02-05 | 2025-07-15 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.86% | Interest Income | |
| 2024-12-19 | 2025-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income | |
| 2024-12-27 | 2025-02-05 | Completed | 33.33% | $58.44 | $60.28 | 3.10% | Signal | |
| 2023-07-21 | 2024-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.08 | 7.69% | Interest Income | |
| 2024-09-11 | 2024-12-19 | Completed | 33.33% | $64.97 | $58.75 | -9.62% | Signal | |
| 2024-03-14 | 2024-09-11 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.63% | Interest Income | |
| 2024-02-22 | 2024-03-14 | Completed | 33.33% | $61.55 | $62.72 | 1.85% | Signal | |
| 2023-05-11 | 2024-02-22 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 4.24% | Interest Income | |
| 2023-05-23 | 2023-07-21 | Completed | 33.33% | $67.19 | $65.77 | -2.16% | Signal | |
| 2022-12-02 | 2023-06-23 | Completed | 33.33% | $68.98 | $65.10 | -5.67% | Stop | |
| 2023-05-01 | 2023-05-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2022-12-02 | 2023-05-11 | Completed | 33.33% | $68.98 | $69.45 | 0.63% | Signal | |
| 2022-12-02 | 2023-05-01 | Completed | 33.33% | $68.98 | $68.04 | -1.41% | Stop | |
| 2021-09-21 | 2022-12-02 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.75% | Interest Income | |
| 2021-05-03 | 2022-12-02 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.77% | Interest Income | |
| 2021-03-15 | 2022-12-02 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.77% | Interest Income | |
| 2021-04-08 | 2021-09-21 | Completed | 33.33% | $86.37 | $86.04 | -0.43% | Signal | |
| 2021-04-08 | 2021-05-03 | Completed | 33.33% | $86.37 | $86.30 | -0.13% | Signal | |
| 2021-03-16 | 2021-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-03-16 | 2021-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-04-30 | 2021-03-16 | Completed | 33.33% | $88.91 | $86.63 | -2.61% | Stop | |
| 2020-04-15 | 2021-03-16 | Completed | 33.33% | $87.97 | $86.63 | -1.57% | Stop | |
| 2020-04-24 | 2021-03-15 | Completed | 33.33% | $88.17 | $86.33 | -2.14% | Signal | |
| 2020-02-07 | 2020-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2019-11-13 | 2020-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2017-10-06 | 2020-04-15 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 4.70% | Interest Income | |
| 2019-06-04 | 2020-02-07 | Completed | 33.33% | $88.06 | $86.52 | -1.80% | Signal | |
| 2019-07-11 | 2019-11-13 | Completed | 33.33% | $87.94 | $87.40 | -0.66% | Signal | |
| 2019-04-30 | 2019-07-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income | |
| 2018-09-10 | 2019-06-04 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.72% | Interest Income | |
| 2019-02-07 | 2019-04-30 | Completed | 33.33% | $86.93 | $85.51 | -1.68% | Signal | |
| 2018-06-25 | 2019-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.38% | Interest Income | |
| 2018-04-05 | 2018-09-10 | Completed | 33.33% | $89.48 | $86.05 | -3.88% | Signal | |
| 2018-02-16 | 2018-06-25 | Completed | 33.33% | $90.27 | $87.34 | -3.29% | Signal | |
| 2017-12-05 | 2018-04-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.50% | Interest Income | |
| 2017-11-06 | 2018-02-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2017-09-13 | 2017-12-05 | Completed | 33.33% | $87.26 | $85.16 | -2.46% | Signal | |
| 2017-10-09 | 2017-11-06 | Completed | 33.33% | $85.24 | $84.13 | -1.35% | Signal | |
| 2017-09-15 | 2017-10-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2016-12-06 | 2017-10-06 | Completed | 33.33% | $84.64 | $84.80 | 0.14% | Signal | |
| 2017-08-24 | 2017-09-15 | Completed | 33.33% | $87.89 | $86.71 | -1.39% | Signal | |
| 2017-02-06 | 2017-09-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2017-08-02 | 2017-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2017-04-27 | 2017-08-02 | Completed | 33.33% | $86.43 | $86.83 | 0.41% | Signal | |
| 2016-11-25 | 2017-04-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2016-12-06 | 2017-02-06 | Completed | 33.33% | $84.64 | $85.88 | 1.41% | Signal | |
| 2016-11-11 | 2016-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2016-11-11 | 2016-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-10-15 | 2016-11-25 | Completed | 33.33% | $81.75 | $85.53 | 4.57% | Stop | |
| 2016-08-12 | 2016-11-11 | Completed | 33.33% | $95.62 | $90.72 | -5.17% | Stop | |
| 2016-04-12 | 2016-11-11 | Completed | 33.33% | $89.29 | $90.72 | 1.55% | Stop | |
| 2016-07-21 | 2016-08-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-01-22 | 2016-07-21 | Completed | 33.33% | $81.84 | $90.82 | 10.92% | Stop | |
| 2013-01-02 | 2016-04-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2013-01-07 | 2016-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2014-08-27 | 2015-10-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2014-05-08 | 2014-08-27 | Completed | 33.33% | $95.91 | $93.80 | -2.25% | Signal | |
| 2013-11-22 | 2014-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-10-07 | 2013-11-22 | Completed | 33.33% | $100.95 | $96.65 | -4.31% | Signal | |
| 2013-09-13 | 2013-10-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-09-06 | 2013-09-13 | Completed | 33.33% | $98.67 | $98.27 | -0.46% | Signal | |
| 2012-11-26 | 2013-09-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2013-01-03 | 2013-01-07 | Completed | 33.33% | $112.86 | $111.61 | -1.16% | Signal | |
| 2012-12-10 | 2013-01-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-12-17 | 2013-01-02 | Completed | 33.33% | $117.15 | $112.48 | -4.03% | Signal | |
| 2012-11-23 | 2012-12-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-09-28 | 2012-12-10 | Completed | 33.33% | $126.24 | $119.32 | -5.53% | Stop | |
| 2012-07-11 | 2012-11-26 | Completed | 33.33% | $124.05 | $119.43 | -3.77% | Signal | |
| 2012-03-20 | 2012-11-23 | Completed | 33.33% | $117.53 | $119.02 | 1.22% | Stop | |
| 2012-04-11 | 2012-09-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2012-01-11 | 2012-07-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2012-03-20 | 2012-04-11 | Completed | 33.33% | $117.53 | $121.68 | 3.48% | Signal | |
| 2012-02-27 | 2012-03-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-02-27 | 2012-03-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-04-27 | 2012-02-27 | Completed | 33.33% | $120.01 | $122.67 | 2.17% | Stop | |
| 2011-04-27 | 2012-02-27 | Completed | 33.33% | $120.01 | $122.67 | 2.17% | Stop | |
| 2011-03-18 | 2012-01-11 | Completed | 33.33% | $121.72 | $127.89 | 5.02% | Signal | |
| 2011-04-04 | 2011-04-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-04-04 | 2011-04-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-08-27 | 2011-04-04 | Completed | 33.33% | $116.49 | $117.74 | 1.02% | Stop | |
| 2010-04-27 | 2011-04-04 | Completed | 33.33% | $106.08 | $117.74 | 10.94% | Stop | |
| 2011-02-24 | 2011-03-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-07-20 | 2011-02-24 | Completed | 33.33% | $113.90 | $120.77 | 5.98% | Signal | |
| 2010-07-09 | 2010-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2010-03-08 | 2010-07-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2010-07-06 | 2010-07-09 | Completed | 33.33% | $112.80 | $111.88 | -0.87% | Signal | |
| 2010-06-11 | 2010-07-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-04-27 | 2010-06-11 | Completed | 33.33% | $106.08 | $108.35 | 2.09% | Signal | |
| 2010-04-05 | 2010-04-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-04-05 | 2010-04-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-01-25 | 2010-04-05 | Completed | 33.33% | $110.07 | $105.04 | -4.62% | Stop | |
| 2010-01-25 | 2010-04-05 | Completed | 33.33% | $110.07 | $105.04 | -4.62% | Stop | |
| 2009-07-27 | 2010-03-08 | Completed | 33.33% | $104.53 | $109.81 | 5.00% | Signal | |
| 2009-12-30 | 2010-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-12-30 | 2010-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-10-12 | 2009-12-30 | Completed | 33.33% | $110.46 | $107.44 | -2.78% | Stop | |
| 2009-04-30 | 2009-12-30 | Completed | 33.33% | $101.08 | $107.44 | 6.24% | Stop | |
| 2009-08-06 | 2009-10-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-04-30 | 2009-08-06 | Completed | 33.33% | $101.08 | $103.91 | 2.75% | Signal | |
| 2009-04-21 | 2009-07-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2009-04-07 | 2009-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-04-07 | 2009-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-03-13 | 2009-04-21 | Completed | 33.33% | $101.26 | $101.72 | 0.40% | Signal | |
| 2009-03-13 | 2009-04-07 | Completed | 33.33% | $101.26 | $99.15 | -2.13% | Stop | |
| 2009-03-13 | 2009-04-07 | Completed | 33.33% | $101.26 | $99.15 | -2.13% | Stop | |
| 2009-03-11 | 2009-03-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-03-11 | 2009-03-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-03-11 | 2009-03-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |