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1 Apr 2015
Trendiness falls in G10 FX, high correlation with USD – DB
FXStreet (Barcelona) - G10 FX is trading uniform and with a high correlation with the dollar, note Strategists at Deutsche Bank, and further comment that the fall in trendiness is bad for trade.
Key Quotes
“Trendiness has fallen in the G10 FX space over the past two weeks. Uniformity has picked up to very high levels, suggesting that currencies are moving with high correlations to USD.”
“Realized vol remains very high. These are not good market conditions for trading.”
“All of the macros drivers are negatively correlated to FX, with growth having the largest absolute correlation with FX performance. No market or macro driver is positively correlated to currency moves in a statistically significant fashion.”
“Domestic equity markets are strongly negatively correlated to currency performance, reflecting ECB QE and perhaps increasing expectations of Fed tightening. Swiss equities are also very highly negatively correlated to CHF crosses.”
Key Quotes
“Trendiness has fallen in the G10 FX space over the past two weeks. Uniformity has picked up to very high levels, suggesting that currencies are moving with high correlations to USD.”
“Realized vol remains very high. These are not good market conditions for trading.”
“All of the macros drivers are negatively correlated to FX, with growth having the largest absolute correlation with FX performance. No market or macro driver is positively correlated to currency moves in a statistically significant fashion.”
“Domestic equity markets are strongly negatively correlated to currency performance, reflecting ECB QE and perhaps increasing expectations of Fed tightening. Swiss equities are also very highly negatively correlated to CHF crosses.”