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Asset Class ETF Interactions with the U.S. Dollar

September 5, 2018 • Posted in Currency Trading, Economic Indicators

How do different asset classes interact with aggregate U.S. dollar valuation? To investigate, we consider relationships between Powershares DB US Dollar Index Bullish Fund (UUP) 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 UUP and the asset class proxies during March 2007 (when all ETFs are first available, limited by UUP) through July 2018 (137 months), we find that: (more…)

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