Evidence-based investing research
Login Join
Value Investing Strategy (Strategy Overview)
Allocations for March 2026 (Final)
Cash TLT LQD SPY
Momentum Investing Strategy (Strategy Overview)
Allocations for March 2026 (Final)
1st ETF 2nd ETF 3rd ETF

U.S. Dollar Seasonal Strength/Weakness and Stock Market Returns

Steve LeCompte | | Posted in: Currency Trading, Equity Premium

A subscriber asked whether currency exchange rates exhibit reliable seasonality that may be used to time equities (with a stronger currency implying lower asset prices). To investigate, we look for reliable calendar month effects for the U.S. dollar (USD)-euro exchange rate and for Invesco DB US Dollar Index Bullish Fund (UUP). We further look at how monthly returns for these variables relate to those for SPDR S&P 500 ETF Trust (SPY) as a proxy for the U.S. stock market. Using monthly data for the USD-euro exchange rate since January 1999 and for UUP since March 2007, and corresponding data for SPY, all through November 2022, we find that:

Subscribe to Keep Reading

Get the research edge serious investors rely on.

  • 1,200+ research articles
  • Monthly strategy signals
  • 20+ years of backtested analysis
$17.99 /month

Cancel anytime

Subscribe Now

Further Reading

Calendar Effects, Momentum Investing Stock Market Continuation and Reversal Months? Are some calendar months more likely to exhibit stock market continuation or reversal than others, perhaps due to... Calendar Effects U.S. Stock Market Performance by Intra-year Phase The full-year Trading Calendar indicates that the U.S. stock market has three phases over the calendar year, corresponding... Calendar Effects, Political Indicators Growing Political Effect? “Seasonal Strategy for QQQ?” finds an interesting even year-odd year effect in Invesco QQQ Trust (QQQ) annual returns. The... Calendar Effects Year of the Decade Effect? Are some years of the decade better than others for equity markets? To investigate, we look at average... Calendar Effects Asset Class ETF Seasonalities? Do exchange-traded funds (ETF) that track asset classes, such as those used in the Simple Asset Class ETF... Currency Trading, Economic Indicators Asset Class ETF Interactions with the U.S. Dollar How do different asset classes interact with U.S. dollar valuation? To investigate, we consider relationships between Invesco DB...