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"A penny for your thoughts"

Monday, December 10, 2007

10 things you didn't know about the currency markets

Deutsche Bank unveils 10 things you didn't know about the currency markets

# Since 1980 investing in FX carry trades has delivered the same returns as equities, but with less than two-thirds of the volatility. ('Currencies: Portfolio Saviour", June 2007),/li>

# Turnover in the Canadian Dollar is eight times that of the Chinese Renminbi. (BIS Survey, 2007)

# Japanese FX margin traders are most active between 10pm - 1am (Tokyo Time). (Mini-Blueprint for 2007 Q4, Sep 07)

# The share of allocated central bank reserves in US Dollars was larger in 2006 than in 1996. (IMF Cofer)

# The New Zealand Dollar is the third most undervalued currency in G10 using the OECD's measure of purchasing-power parity (PPP).

# Technical analysts or chartists are more present in large fund management companies than small ones. ("Technical analysis in Foreign Exchange - The Workhouse Gains Further Ground", Gehrig and Menkhoff, 2003)

# "Macroeconomic models of exchange rates perform poorly at frequencies higher than one year. Indeed, the explanatory power of these models is essentially zero." (Meese and Rogoff 1983, "Currency Fluctuations in the post-Bretton Woods Era", Meese 1990)

# Switzerland is home to more currency turnover than either Singapore or Japan. (BIS Survey 2007)

# EUR/JPY has risen on a total return basis every year this decade.

# "Carry trade" has been mentioned in 376 web-based news articles so far in 2007, compared to 1,900 in 2006. (Google)

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