1 Sentiment — Risk Reversals Risk reversals on the Canadian Dollar are right around their average level for the last 12 months at negative 0.80 (quoted in vol terms). Translation:…
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Credit Suisse’s 2013 Wealth Report is out and as usual shows interesting results. Below are some highlights relating to Canada. The study can be found here.
- Canada accounts for 3% of the world’s millionaires
- There are 46,000 new millionaires in Canada since the last study a year ago
- Canada’s billionaires list shows the least mobility since 2005 of any of the G7 countries
- The average net wealth of a Canadian adult is $250,000 USD with wealth distributed nearly equally between real and financial assets
In our view, the Bank of Canada is increasingly open to a low dollar policy as part of the plan to drive growth towards investment and exports. Below are some…
There has been much anecdotal evidence in the last couple of months suggesting that the global hedge fund and investment management community is bearish on the Canadian Dollar. At the same time, every week, the Commodity Futures Trading Commission in the US releases the total number of long and short contracts on the Canadian Dollar held by futures traders. This data is generally a good proxy for the position of the investment community on the Canadian Dollar and has been showing a notable net negative position since late March of this year. For a variety of reasons, this “net position” data also tends to correlate well to the value of the currency itself over reasonable time periods. The graph below shows that correspondence; the white line is the net number of long vs short futures contracts outstanding on the Canadian Dollar. The orange line is the value of the Canadian Dollar.
Here is the interesting part: whereas in March…
Implied vols have been trading below realized vols in USD/CAD since mid-July. Does this chart imply some complacency on the part of Canadian Dollar traders?
The white line is the current spot price. The orange line is the consensus of the analyst for the end of the year and the red line is the implied…
In the last five days the best performers among the majors have been, in order, AUD, CAD, and NZD. How do you say “commodity currencies” on top in Aussie or…
As indicated by the table below, the Canadian Dollar has been the worst-performing major currency against the US Dollar in the last five days. In fact, the Loonie is the…
Mike Moffat argues in an interesting Mclean’s magazine article that the Canadian Dollar is not necessarily overpriced simply because it is trading roughly 20% over prices implied by PPP. Mike argues that transactions costs and the indeterminacy of market prices make PPP irrelevant as a measure of the value of a currency and points out that the Loonie has been trading well above values implied by PPP for almost all of the last decade.
The article is thoughtful but we think it misses an important concept by focusing exclusively on …
Below is an interesting perspective. The white line is the current spot price. The orange line is the consensus of the analyst for the end of September and the red…