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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 following exchange-traded fund (ETF) asset class proxies used in "Simple Asset Class ETF Momentum Strategy" (SACEMS) at a monthly measurement frequency:

PowerShares DB Commodity Index Tracking (DBC)
iShares MSCI Emerging Markets Index (EEM)
iShares MSCI EAFE Index (EFA)
SPDR Gold Shares (GLD)
iShares Russell 2000 Index (IWM)
SPDR S&P 500 (SPY)
iShares Barclays 20+ Year Treasury Bond (TLT)
Vanguard REIT ETF (VNQ)

Using monthly dividend-adjusted closing prices for CYB and the asset class proxies during May 2008 (when all ETFs are first available, limited by CYB) through July 2018 (123 months), we find that:

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