Japanese Fiscal Year-End and Yen Repatriation: Testing a Seasonal Story

[FXS Prop Desk]

A common seasonal story says Japanese companies repatriate foreign earnings before the fiscal year-end on 31 March, supporting the yen in February and March. It is worth testing before relying on it.

How to test:

• Collect USDJPY returns for February–March over 15–20 years.
• Compare with other months.
• Check how many years followed the pattern.

What tests often show:

• The pattern appears in some years, not others.
• Other factors (rate differentials, risk sentiment) often dominate.
• Sample size is small: 20 years means only 20 data points.

Seasonality can be a useful tie-breaker but not a reason to trade on its own.

Another way to test it is to look at shorter windows, for example the last two weeks of March only, and to compare the result with the same window in other months. If the effect is real, it should be visible in a narrower period, not only in a two-month average.

Have you tested any seasonal patterns in FX, and did they hold up?