With data on the Japanese Yen going back to 1977 (Philadelphia Yen Index):
From a return standpoint, the Yen has performed better in down equity months than up months (+5.0% annualized vs. +0.6%) and better still during the worst down months (+9.2% annualized vs. +5.0%).
During the 15 worst down months since 1977, the Yen was positive 11 times (73.33%).
During the largest equity market declines, the Yen has had mixed results. During the 2007-09 bear market, the Yen performed admirably, gaining 18%. But in the prior bear market (2000-02), the Yen declined 12.8%.
Why the disparate performance? The Yen's status as a safe haven has varied greatly over time, becoming more pronounced in recent years (post-2005).
