Objective research to aid investing decisions
Menu
Value Allocations for November 2019 (Final)
Cash TLT LQD SPY
Momentum Allocations for November 2019 (Final)
1st ETF 2nd ETF 3rd ETF

Asset Class ETF Interactions with the Yen

Posted in Currency Trading, Economic Indicators

How do different asset classes interact with the Japanese yen-U.S. dollar exchange rate? To investigate, we consider relationships between Invesco CurrencyShares Japanese Yen (FXY) 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 FXY and the asset class proxies since March 2007 as available through July 2019, we find that:

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates
Login
Research Categories
Recent Research
Popular Posts