Invesco CurrencyShares® Japanese Yen Trust

10-Year Study

FXY.US · · US · ETF

Executive Summary: Invesco CurrencyShares® Japanese Yen Trust has compounded at -4.1% annually over the last 10 years, with a maximum drawdown of 39.6% and an annualized volatility of 14.5%.

1Y CAGR
-10.8%
3Y CAGR
-4.9%
5Y CAGR
-7.7%
10Y CAGR
-4.1%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
39.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.84
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-1.29
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
9.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · +4.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -12.8%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
50%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.3-1.0-1.6-0.3————————-1.7%
20251.53.10.34.9-0.8-0.1-4.52.5-0.7-4.1-1.2-0.40.1%
2024-4.2-2.0-0.9-4.10.2-2.27.22.61.6-5.51.5-5.0-10.9%
20230.8-4.52.4-2.5-2.3-3.41.2-2.1-2.7-1.52.25.1-7.4%
2022-0.10.2-5.7-6.20.8-5.11.7-4.1-4.0-2.87.55.3-12.8%
2021-1.5-1.8-3.81.2-0.5-1.21.3-0.3-1.2-2.40.8-1.9-10.9%
20200.20.30.30.1-0.5-0.12.0-0.10.30.70.21.14.6%
20190.6-2.40.7-0.72.80.4-1.02.4-1.80.1-1.30.70.4%
20183.22.30.2-2.70.4-1.8-1.00.6-2.30.7-0.63.42.3%
20173.50.50.8-0.20.6-1.62.00.2-2.4-1.00.50.33.2%
2016———5.7-3.97.11.2-1.42.0-3.3-8.4-2.1-4.1%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 14.5%. The dominant macroeconomic risk driver is SHV.US, accounting for 49.6% of variance. Idiosyncratic stock-specific factors contribute 7.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110570.79748895606
2016-05-0110155.777726110207
2016-06-0110878.865380144154
2016-07-0111010.230179028133
2016-08-0110852.127412229713
2016-09-0111068.356196233433
2016-10-0110698.67472680772
2016-11-019795.39641943734
2016-12-019593.117879562893
2017-01-019929.086259009533
2017-02-019975.587072773775
2017-03-0110058.126017205303
2017-04-0110043.013252731922
2017-05-0110102.301790281332
2017-06-019943.036503138806
2017-07-0110141.827481980934
2017-08-0110163.91536851895
2017-09-019924.43617763311
2017-10-019820.971867007675
2017-11-019867.472680771914
2017-12-019897.69820971867
2018-01-0110216.22878400372
2018-02-0110455.707974889561
2018-03-0110475.470820739363
2018-04-0110189.490816089281
2018-05-0110233.666589165312
2018-06-0110052.31341548477
2018-07-019948.849104859335
2018-08-0110008.137642408743
2018-09-019782.608695652176
2018-10-019847.70983492211
2018-11-019790.746338060917
2018-12-0110126.714717507557
2019-01-0110189.490816089281
2019-02-019945.361543827017
2019-03-0110010.462683096954
2019-04-019941.8739827947
2019-05-0110224.366426412464
2019-06-0110269.704719832598
2019-07-0110169.727970239479
2019-08-0110410.369681469427
2019-09-0110224.366426412464
2019-10-0110232.504068821205
2019-11-0110096.4891885608
2019-12-0110163.91536851895
2020-01-0110188.328295745177
2020-02-0110222.041385724253
2020-03-0110252.266914671007
2020-04-0110266.217158800278
2020-05-0110210.41618228319
2020-06-0110196.465938153919
2020-07-0110396.419437340153
2020-08-0110382.469193210882
2020-09-0110418.507323878168
2020-10-0110496.396186933272
2020-11-0110520.809114159498
2020-12-0110632.411067193676
2021-01-0110471.983259707045
2021-02-0110288.305045338293
2021-03-019900.023250406883
2021-04-0110020.92536619391
2021-05-019969.774471053244
2021-06-019850.034875610325
2021-07-019973.262032085562
2021-08-019939.886073006277
2021-09-019818.64682631946
2021-10-019586.142757498255
2021-11-019660.544059521042
2021-12-019473.378284119972
2022-01-019467.565682399443
2022-02-019482.097186700768
2022-03-018944.431527551733
2022-04-018389.90932341316
2022-05-018453.84794233899
2022-06-018018.484073471286
2022-07-018157.405254591956
2022-08-017823.761915833527
2022-09-017511.043943269008
2022-10-017301.790281329924
2022-11-017852.824924436178
2022-12-018265.519646593815
2023-01-018330.620785863754
2023-02-017958.6142757498255
2023-03-018153.266682166939
2023-04-017945.826551964658
2023-05-017766.798418972333
2023-06-017502.906300860266
2023-07-017590.095326668218
2023-08-017430.830039525692
2023-09-017229.71401999535
2023-10-017123.924668681702
2023-11-017279.70239479191
2023-12-017650.5463845617305
2024-01-017327.365728900256
2024-02-017182.050685887004
2024-03-017118.112066961172
2024-04-016823.994419902349
2024-05-016840.2697047198335
2024-06-016687.39827946989
2024-07-017170.425482445943
2024-08-017356.428737502907
2024-09-017475.00581260172
2024-10-017066.961171820507
2024-11-017172.750523134156
2024-12-016814.694257149501
2025-01-016913.508486398512
2025-02-017128.5747500581265
2025-03-017149.500116252035
2025-04-017502.906300860266
2025-05-017443.617763310858
2025-06-017433.155080213904
2025-07-017100.674261799582
2025-08-017280.864915136015
2025-09-017232.039060683563
2025-10-016935.596372936527
2025-11-016849.569867472681
2025-12-016820.5068588700315
2026-01-016907.695884677983
2026-02-016839.107184375726
2026-03-016728.667751685655
2026-04-016705.417344803534
Annual Return Matrix
YearAnnual Return
20170.03174987881725655
20180.0231383603476627
20190.003673516243829722
20200.046094018071600074
2021-0.10900940301771267
2022-0.12750030678610869
2023-0.0744022503516173
2024-0.10925391277921292
20250.0008529512111907778
2026-0.016874041247656457
Total Factor Risk
0.1448805992732147
VTI.US Exposure
0.0024147788030947017
VEA.US Exposure
0.0017558753445285032
VWO.US Exposure
-0.007383995198310221
QQQ.US Exposure
0.02273523218071318
VTV.US Exposure
0.0089837733930204
IJR.US Exposure
0.009117367362978534
QUAL.US Exposure
0.05131185880074871
SHV.US Exposure
0.49621627216008624
TLT.US Exposure
0.03635854286544127
LQD.US Exposure
0.0663246261820804
HYG.US Exposure
0.008440020316725683
GLD.US Exposure
-0.0017793221167096286
USO.US Exposure
-0.0011095132486923438
VNQ.US Exposure
-0.00564210745241614
BTC-USD.CC Exposure
0.0006144839913070111
CPER.US Exposure
-0.0031844325179360995
VIX.INDX Exposure
0.005124446362918598
UUP.US Exposure
0.2286492783488051
TIP.US Exposure
0.007316236907981892
Idiosyncratic Exposure
0.0737365775136343
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.5%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-1.1%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-4.0%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
12.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
21.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Invesco CurrencyShares® Japanese Yen Trust a high-risk investment?

Invesco CurrencyShares® Japanese Yen Trust (FXY.US) has an annualized volatility of 14.5% and experienced a maximum drawdown of 39.6% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of FXY.US?

Over the past 10 years, FXY.US has generated a Compound Annual Growth Rate (CAGR) of -4.1%. It has had a positive return in 50% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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