Sunday, August 22, 2010

AUD/JPY Carry Trade and SP500 Correlation


There is a high correlation between the SP500 and AUD/JPY and also AUD/USD.
This chart shows SPY(SP500 vs AUD/JPY)


Australia's elections over the weekend has resulted in hung parliament, which will take some time to resolve once all the votes are counted. With Issues in Australia over elections we might see AUD/JPY selling (risk aversion/unwinding carry trade) and this will help the bears bring the SP500 down. We are also seeing continued strength in the USD/JPY and Treasuries which has caused weakness in Crude Oil and Copper due to the inverse correlation relationship. (Crude Oil and Metals like copper have high correlation to AUD/USD, CAD/USD, and NZD/USD).

The bear scenario for next week-
SELLING IN-AUD/JPY, CAD/JPY SP500, Crude Oil, and Copper
BUYING IN- JPY vs all currencies, 30yr bonds, and VIX

Here are some old Intermarket Correlation resources from ForexAutomaton the period 2002-2008-




Here are some links that look at Currency Correlation of the AUD/JPY vs SP500 and the current state of 30 year treasuries-

aud vs jpy
Presenting The New Correlation Regime: Treasury Butterflies And Risk | zero hedge
Visualizing The Past Of The Treasury Yield Curve, And Deconstructing The Great Confusion Surrounding Its Future | zero hedge
Will Tonight's AUD Slide Be The Start Of Another Major Market Selloff? | zero hedge
HomeTrader: SP500 update and AUDJPY , AUDCAD and EURUSD.
Lessons from the Pros - 06/15/2010 Issue - Stocks Article: Money for Leads?
ES-AUDJPY "Swiss Watch" Recoupling Means Money In The Bank For Divergence Chasers | zero hedge
... from IDEAtrader Suite
The Rational Move
News | Currency Trading News | Currency Quotes | Commentary | Analysts - FX 360>
Dollar Soars As S&P500 Hits 5 Year Lows - Forex Analysis, Currency Forecast, FX Trading Signal - Action Forex
The Strongest Forex Correlations | Kathy Lien | FX360.com
Commodity Currencies & SPX | Samadhi Research Investments
Forex @ DailyFX - Currency Correlations Tighten Through Risk and Dollar-Based Foundations
Unwinding Of The AUD/JPY And Other Carry Trades Is Going To Take BHP Billiton Ever Lower - theyenguy -- Seeking Alpha
Chronic Deflation Will Send 30-Year Treasuries to 3% (Gary Shilling)
Australia election results point to hung parliament | World news | guardian.co.uk

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