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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.7% (compared to the benchmark's drawdown of -57.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of -0.9%, compared to a Buy-and-Hold benchmark return of -3.1%. The strategy executed 15 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 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
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 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
-26.7% (vs -57.0% B&H)
+30.3% shallower drawdown
Capital Preservation
57.1% in Cash
Sheltered during downtrends
Capital Sheltered from Risk
57.1% 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 | -4.35% | -10.86% | -13.61% | -34.93% | -26.41% | -41.87% | -26.68% | -56.95% |
| Sharpe Ratio | 0.29 | -0.66 | -0.07 | -0.73 | -0.42 | -0.53 | -0.14 | -0.33 |
| Sortino Ratio | 0.12 | -1.17 | -0.06 | -1.21 | -0.40 | -0.81 | -0.13 | -0.50 |
| CAGR | 0.93% | -5.34% | -0.45% | -7.22% | -2.36% | -4.68% | -0.87% | -3.11% |
| % Time Invested | 11.1% | 100.0% | 26.9% | 100.0% | 39.7% | 100.0% | 42.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.8 | 0.0 | 0.9 | 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 |
|---|---|---|---|
| Loading top diversifier assets... | |||
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 | ||||||||
| 2025-03-31 | 2025-10-14 | Completed | 100% | $61.72 | $60.55 | -1.94% | Signal | |
| 2024-12-12 | 2025-03-31 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.22% | Interest Income | |
| 2024-09-12 | 2024-12-12 | Completed | 100% | $64.98 | $60.60 | -6.79% | Signal | |
| 2023-06-23 | 2024-09-12 | Interest (CASH) | 100% | $1.00 | $1.07 | 6.70% | Interest Income | |
| 2022-12-02 | 2023-06-23 | Completed | 100% | $68.98 | $65.10 | -5.67% | Signal | |
| 2021-03-17 | 2022-12-02 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.77% | Interest Income | |
| 2020-04-30 | 2021-03-17 | Completed | 100% | $88.91 | $86.37 | -2.91% | Signal | |
| 2019-12-17 | 2020-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2019-05-28 | 2019-12-17 | Completed | 100% | $87.13 | $86.68 | -0.57% | Signal | |
| 2019-05-03 | 2019-05-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2019-02-04 | 2019-05-03 | Completed | 100% | $86.73 | $85.57 | -1.39% | Signal | |
| 2018-07-12 | 2019-02-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.26% | Interest Income | |
| 2018-02-13 | 2018-07-12 | Completed | 100% | $89.06 | $85.08 | -4.52% | Signal | |
| 2017-11-02 | 2018-02-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2017-08-02 | 2017-11-02 | Completed | 100% | $86.83 | $84.16 | -3.12% | Signal | |
| 2016-12-08 | 2017-08-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.50% | Interest Income | |
| 2016-01-19 | 2016-12-08 | Completed | 100% | $82.24 | $84.62 | 2.84% | Signal | |
| 2015-12-07 | 2016-01-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-10-22 | 2015-12-07 | Completed | 100% | $80.61 | $78.55 | -2.60% | Signal | |
| 2014-09-04 | 2015-10-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2014-08-13 | 2014-09-04 | Completed | 100% | $95.19 | $92.84 | -2.52% | Signal | |
| 2012-12-06 | 2014-08-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2012-08-20 | 2012-12-06 | Completed | 100% | $123.57 | $119.10 | -3.67% | Signal | |
| 2012-03-07 | 2012-08-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-07-16 | 2012-03-07 | Completed | 100% | $114.28 | $121.74 | 6.47% | Signal | |
| 2010-04-23 | 2010-07-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-09-03 | 2010-04-23 | Completed | 100% | $107.41 | $105.23 | -2.08% | Signal | |
| 2009-05-06 | 2009-09-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2009-03-13 | 2009-05-06 | Completed | 100% | $101.26 | $100.67 | -0.63% | Signal | |
| 2009-03-11 | 2009-03-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |