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1 May 2013
Forex Flash: Take a vacation - Nomura
FXstreet.com (Barcelona) - Saeed Amen of Nomura has taken a look at currency moves during local holidays.
He begins by noting that in the past he has discussed currency moves during local market holidays, and todau he has extended that analysis to more USD crosses including EM, as well as in the G10. He finds that generally local currencies strengthen during their local market holidays against USD. He writes, “When there are US-only holidays, USD strengthens broadly. We have created both G10 and EM trading baskets that trade in this holiday behaviour, which have risk-adjusted returns of 0.73 (since 1990) and 0.64 (since 2002) exclusive of transaction costs.”
He begins by noting that in the past he has discussed currency moves during local market holidays, and todau he has extended that analysis to more USD crosses including EM, as well as in the G10. He finds that generally local currencies strengthen during their local market holidays against USD. He writes, “When there are US-only holidays, USD strengthens broadly. We have created both G10 and EM trading baskets that trade in this holiday behaviour, which have risk-adjusted returns of 0.73 (since 1990) and 0.64 (since 2002) exclusive of transaction costs.”