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Free Access### POV: MACRO CORRELATIONS SIGNAL FURTHER...>
DOLLAR: ### POV: MACRO CORRELATIONS SIGNAL FURTHER WOES FOR THE DOLLAR
-The correlation between the daily US 10yr yield and the USD index has dropped
to its most negative in decades, touching -0.904 which, while coming close,
hasn't been surpassed since the late 1970's. So, despite US 10y yields rising
near 40bps this year, the USD index has dropped close to 3.5%, meaning the
currency's completely ignoring the Fed's policy plans as translated by the
Treasury market.
-Similarly, the correlation between the daily USD-index and S&P500 has turned
the most negative since late October (-0.77 vs. +0.14 at the beginning of the
year). As such, any recovery in equities (as we've seen so far today) from the
circa 8% pullback could result in the USD index re-testing YTD lows of 88.253.
-EUR/USD remains the largest component of the USD index (58%), and the most
profitable strategy in EUR/USD year-to-date, the K-band strategy, is still
signalling a long position, backed up by dollar CFTC positioning, which dipped
back into net short territory for the 9th time (out of 12) this year.
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.