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Tuesday, June 21, 2011
Canadian & New Zealand Dollars Outperform US and Austrailian Counterparts
The cointegrated spread between the CAD.USD and the AUD.NZD has widened today and is nearing a potential entry point. The spread is now 1.7 standard deviations from its mean. In order to bet on the spread to decline, one would need to execute the following two trades: Sell the CAD.USD and Buy the AUD.NZD. The amount of AUD.NZD purchased should equal 72% of the amount of CAD.USD sold. Currently, the trade is expected to make 3.1% if the spread regressed back to its average.
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Mike, Can you share your Cointegration tool? jdmichaux at hotmail dot com
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