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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.7% (compared to the benchmark's drawdown of -57.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.2%, compared to a Buy-and-Hold benchmark return of -3.1%. The strategy executed 5 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 FXY:
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 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.
Switch to MMA to enable
🛡️ FXY Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-17.7% (vs -57.0% B&H)
+39.3% shallower drawdown
Downside Efficiency
0.19 Sortino
Downside risk-adjusted return
Capital Sheltered from Risk
59.1% 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 | 0.00% | -10.86% | -10.91% | -34.93% | -15.37% | -41.87% | -17.67% | -56.95% |
| Sharpe Ratio | 473.99 | -0.66 | 0.51 | -0.73 | 0.02 | -0.53 | 0.20 | -0.33 |
| Sortino Ratio | 0.00 | -1.17 | 0.30 | -1.21 | 0.02 | -0.81 | 0.19 | -0.50 |
| CAGR | 3.81% | -5.34% | 2.16% | -7.22% | 0.11% | -4.68% | 1.24% | -3.11% |
| % Time Invested | 0.0% | 100.0% | 11.6% | 100.0% | 29.8% | 100.0% | 40.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.3 | 0.0 | 0.3 | 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.
| 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 | ||||||||
| 2022-12-02 | 2023-06-23 | Completed | 100% | $68.98 | $65.10 | -5.67% | Stop | |
| 2021-09-16 | 2022-12-02 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.75% | Interest Income | |
| 2020-04-08 | 2021-09-16 | Completed | 100% | $87.14 | $85.63 | -1.78% | Signal | |
| 2017-09-21 | 2020-04-08 | Interest (CASH) | 100% | $1.00 | $1.05 | 4.74% | Interest Income | |
| 2017-01-11 | 2017-09-21 | Completed | 100% | $82.97 | $85.53 | 3.03% | Signal | |
| 2016-12-16 | 2017-01-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2016-04-12 | 2016-12-16 | Completed | 100% | $89.29 | $81.57 | -8.69% | Stop | |
| 2012-12-17 | 2016-04-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2009-03-13 | 2012-12-17 | Completed | 100% | $101.26 | $117.15 | 15.63% | Signal | |
| 2009-03-11 | 2009-03-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |