For awhile now, changes in the value of the dollar relative to other currencies has been a pseudo tell of the risk-on/risk-off mentality of investors. For years, the dollar has moved inversely to the value of the equity market and yields on treasuries. Now however, that trend may be changing. Just look at the following two charts showing the rolling 6-month correlation between the dollar and both the S&P 500 and the yield on the 10-year treasuries.
6-month rolling correlation- dollar and the S&P 500
6-month rolling correlation- dollar and the yield on 10-year treasuries
Notice how the correlations have remained largely negative since 2008 for the dollar/S&P 500 cross and 2011 for the dollar/10-year treasury yield cross. That is up until recently. This is just more evidence, in my mind, that the trend in risk is changing.
6-month rolling correlation- dollar and the S&P 500
6-month rolling correlation- dollar and the yield on 10-year treasuries
Notice how the correlations have remained largely negative since 2008 for the dollar/S&P 500 cross and 2011 for the dollar/10-year treasury yield cross. That is up until recently. This is just more evidence, in my mind, that the trend in risk is changing.
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