April Forex Seasonality Sees USD Weakness versus AUD, GBP, NZD, CAD and EUR

Summary:

– In April, it’s typical to see the US Dollar decline; this year, the greenback has been weaker than seasonality suggests.

– DXY weakness, seasonally, can be attributed to its largest component, the Euro (57.6% of weighting).

-It’s expected to see an increase in commodity and energy prices, especially gold and oil.

At the beginning of the month it’s time to review of the seasonal patterns that have influenced forex markets over the past decade. For April, we are going to investigate the period of 2005 to 2016 in recognition of the evolving relationship between economic data, central banks, and financial markets.

The longer observation period captures several crisis events/periods that traders may find analogous to events unfolding today, even as the ramifications from Brexit are unclear: the US tech bubble; the US housing bubble; the global commodity bubble; and previous rate hiking and rate cutting cycles, from the major central banks, during times normal (pre-2008) or extraordinary (post-2008).

Monthly log return

As we can see for April, the dollar is pretty weak relative to other major currencies, this year, the greenback has been weaker than seasonality suggests since the market has priced in Fed March interest rate hike for the first time in 2017, the investors have digested the news and they are selling the fact now in the following month. It’s expected to see a weak dollar until next FOMC meeting.

It’s also expected to see an increase in commodity and energy prices, especially gold and oil. The currency behind gold and oil is Aussie and Loonie respectively. We see these two currencies are strong in April.

Monthly log return in audusd from 2005 to 2017 in the month AprilMonthly log return in euraud from 2005 to 2017 in the month AprilMonthly log return in eurchf from 2005 to 2017 in the month AprilMonthly log return in eurgbp from 2005 to 2017 in the month AprilMonthly log return in eurjpy from 2005 to 2017 in the month AprilMonthly log return in eurnzd from 2005 to 2017 in the month AprilMonthly log return in eurusd from 2005 to 2017 in the month AprilMonthly log return in gbpchf from 2005 to 2017 in the month AprilMonthly log return in gbpusd from 2005 to 2017 in the month AprilMonthly log return in nzdusd from 2005 to 2017 in the month AprilMonthly log return in usdcad from 2005 to 2017 in the month AprilMonthly log return in usdchf from 2005 to 2017 in the month AprilMonthly log return in usdjpy from 2005 to 2017 in the month Aprilseasonality in audusd from 2005-2017seasonality in euraud from 2005-2017seasonality in eurchf from 2005-2017seasonality in eurgbp from 2005-2017seasonality in eurjpy from 2005-2017seasonality in eurnzd from 2005-2017seasonality in eurusd from 2005-2017seasonality in gbpchf from 2005-2017seasonality in gbpusd from 2005-2017seasonality in nzdusd from 2005-2017seasonality in usdcad from 2005-2017seasonality in usdchf from 2005-2017seasonality in usdjpy from 2005-2017

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Author: Wei Wu

我曾在一家资产管理公司担任量化研究的工作, 结合自己的金融,数理,IT知识负责期货高频统计套利和股票智能投资顾问股票策略的开发。 我5年前进入金融行业,后到美国进修MBA学位,主攻金融方向,毕业后到Bloomberg工作,工作范围为债券数据分析与处理,同时怀着对量化研究的兴趣,申请了美国顶尖金融工程项目--Baruch College,学习到了扎实的金融工程实践知识。 回国后在某私募基金做量化分析师,参与设计开发量化基金产品所需要的数据库和交易系统,海外ETF股票智能投资顾问。

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