Carry On, My Wayward Fund, from Kim Zussman

2007-03-06 · Kim Zussman
Original source

DBV is Deutsche Bank's currency "carry trade" ETF. Curious about its correlation with stocks since inception (Sep. 06) to present, regressing daily change in DBV vs. change SPY:

Regression Statistics
Multiple R 0.45
R Square 0.20
Adjusted R Square 0.19
Standard Error 0.004
Observations 112

Intercept     X Variable
Coefficients        0.00018       0.315
Standard Error   0.00037       0.060
t Stat                 0.48000       5.200

There has been a high correlation between DBV and SPY on a daily basis.