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Asset Class ETF Interactions with the Euro

Posted in Currency Trading, Economic Indicators

How do different asset classes interact with euro-U.S. dollar exchange rate ? To investigate, we consider relationships between Invesco CurrencyShares Euro Currency (FXE) and the exchange-traded fund (ETF) asset class proxies used in "Simple Asset Class ETF Momentum Strategy" (SACEMS) at a monthly measurement frequency. Using monthly dividend-adjusted closing prices for FXE and the asset class proxies since March 2007 as available through July 2019, we find that:

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