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Asset Class ETF Interactions with the Yuan

| | Posted in: Currency Trading, Economic Indicators

How do different asset classes interact with the Chinese yuan-U.S. dollar exchange rate? To investigate, we consider relationships between WisdomTree Chinese Yuan Strategy (CYB) 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 CYB and the asset class proxies during May 2008 (when CYB is first available) through July 2019 (135 months), we find that:

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