Mar
6
Carry On, My Wayward Fund, from Kim Zussman
March 6, 2007 |
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.
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