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

Asset Class ETF Interactions with the U.S. Dollar

Steve LeCompte | | Posted in: Currency Trading, Economic Indicators

Key Insight

Most asset class ETFs (except TLT) show moderately negative same-month correlations with UUP returns, while lead-lag correlations are modest and noisy (monthly returns; Mar 2007–Jun 2026; correlations and UUP quintiles; descriptive, in-sample; not a trading test).

How do different asset classes interact with U.S. dollar valuation? To investigate, we consider relationships between Invesco DB US Dollar Index Bullish Fund (UUP) and the exchange-traded fund (ETF) asset class proxies used in the Simple Asset Class ETF Momentum Strategy (SACEMS) or the Simple Asset Class ETF Value Strategy (SACEVS) at a monthly measurement frequency. Using monthly dividend-adjusted closing prices for UUP and the asset class proxies since March 2007 as available through June 2026, 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

Currency Trading, Economic Indicators Asset Class ETF Interactions with the Euro FXE monthly returns correlate positively with same-month returns of most SACEMS/SACEVS asset class ETFs, except TLT, but not... Currency Trading, Economic Indicators Asset Class ETF Interactions with the Yen Yen strength correlates negatively with U.S. equities but positively with TLT and GLD contemporaneously, with weak predictive power... Bonds, Commodity Futures, Economic Indicators, Equity Premium, Gold, Real Estate Recent Interactions of Asset Classes with Inflation (CPI) Quarterly change in NSA all-items CPI correlates negatively with ETF returns two to three quarters later for multiple... Calendar Effects Asset Class ETF Seasonalities? Average monthly returns for nine asset class ETFs (SPY, IWM, EFA, EEM, TLT, LQD, VNQ, GLD, DBC) are... Calendar Effects Does the Turn-of-the-Month Effect Work for Asset Classes? Average abnormal turn-of-the-month returns across 10 asset class ETFs (vs all eight-trading-day intervals) were 0.4% in first sample... Commodity Futures, Currency Trading, Gold Interplay of the Dollar, Gold and Oil UUP correlates negatively with GLD (-0.43) and USO (-0.48), with relationships largely coincident across daily, weekly, and monthly...