FX Analysis

Currencies dollar carry risk

Bottom Line

FX analysis pending data load.

Dollar strength regime and risk signal will populate from computed data.

UUP 1M Return

UUP vs SMA50

Strongest Currency

Weakest Currency

USD-SPY Correlation

Ticker

Timeframe

View

USD Trend — Price with SMA50 / SMA200

Currency Ranking — Period Return

Dollar vs Risk — UUP (Inverted) vs SPY

Carry Proxy — FXA vs FXY Relative Performance

Ticker	Name	1M Return	3M Return	RSI(14)	vs SMA50	Volatility

Overview

This analysis tracks the US dollar and major currency ETFs to identify dollar strength regimes, carry trade opportunities, and cross-asset risk signals. A strong dollar typically signals tightening financial conditions and headwinds for EM assets, while a weakening dollar supports risk-on rotations.

The currency universe is represented by currency ETFs: UUP (US Dollar Index), FXE (Euro), FXY (Yen), FXB (British Pound), FXA (Australian Dollar), and FXC (Canadian Dollar). Each proxy captures the spot rate plus short-term interest rate differential.

Key Metrics

UUP 1M Return — trailing 21-day cumulative return on the dollar index ETF
UUP vs SMA50 — percentage gap between price and 50-day moving average
Strongest / Weakest Currency — best and worst 1M performers in the universe
USD-SPY Correlation — rolling 60-day correlation between UUP and SPY returns

Strengths

Clear regime signal via SMA crossovers
Carry proxy identifies risk appetite shifts
Dollar-equity correlation flags macro regimes
Multi-timeframe resampling smooths noise

Limitations

ETF proxies include expense ratios and tracking error
Limited to G10 currencies; no EM coverage
Carry proxy is simplified (FXA-FXY spread, not rates)
No forward rate or positioning data

How to Read This Analysis

Check the BLOT banner. The bottom-line headline summarizes the current dollar regime and its implication for risk assets. Green signals risk-on (weak dollar), red signals tightening (strong dollar).
Read the USD Trend chart. Price above SMA50 and SMA200 means uptrend (strong dollar). A death cross (SMA50 below SMA200) is a bearish dollar signal and typically bullish for equities and commodities.
Switch to Ranking view. Horizontal bars rank all currencies by period return. The strongest currency reveals where global capital is flowing.
Check Dollar vs Risk. UUP inverted overlaid with SPY reveals the negative correlation between dollar strength and equity performance. Divergences are potential inflection signals.
Review Carry view. FXA (high-yield AUD) vs FXY (low-yield JPY) is a proxy for carry trade appetite. Rising spread means risk-on; collapsing spread signals carry unwind and flight to safety.

Key Equations

Simple Moving Average

$$\text{SMA}_n(t) = \frac{1}{n}\sum_{i=0}^{n-1} P_{t-i}$$

where $P_t$ is the closing price at time $t$ and $n$ is the lookback window (50 or 200 days).

Relative Strength Index (RSI)

$$\text{RSI} = 100 - \frac{100}{1 + RS}$$

where $RS = \frac{\text{Avg Gain over } n}{\text{Avg Loss over } n}$ with $n=14$ periods.

Rolling Correlation

$$\rho_{xy}(t) = \frac{\sum_{i=0}^{w-1}(r_{x,t-i}-\bar{r}_x)(r_{y,t-i}-\bar{r}_y)}{\sqrt{\sum(r_{x,t-i}-\bar{r}_x)^2 \cdot \sum(r_{y,t-i}-\bar{r}_y)^2}}$$

Pearson correlation of returns over a rolling window $w=60$ trading days.

Carry Proxy (Relative Performance)

$$\text{Carry}(t) = \frac{P_{\text{FXA}}(t)}{P_{\text{FXA}}(0)} - \frac{P_{\text{FXY}}(t)}{P_{\text{FXY}}(0)}$$

Difference in cumulative normalized returns between a high-yield (AUD) and low-yield (JPY) currency.