While America sleeps, foreigners dump US dollars for euros and yen

Brent Donnelly, president of Spectra Markets, took a stroll down memory lane this morning in recounting some of the time-based systematic strategies he used to book big profits in foreign exchange from 2009 through 2017.

This reminiscing is also timely, he observed, because “time of day effects have been stronger than usual post Liberation Day as Asian central banks flee US assets.”

We’ve been hot on the “sell America” theme as policy volatility decreases the appeal of holding US assets, and Donnelly has hit on some great examples in currency markets. Notably, the euro has been doing particularly well relative to the US dollar during Asian trading hours (i.e. when most of North America is sleeping).

“Note the cyan line flicking higher there,” he wrote. “That might look like nothing, but when you’re looking at a series of cumulative daily returns going back 18 years and you can clearly see a jump at the end, that’s a big deal.”

The same thing holds true at a smaller scale for the US dollar relative to the Japanese yen, per Donnelly.

“I would bet this strategy will continue to work well,” he wrote. “It is kind of mind boggling how consistent the Asia buying of gold and selling of USD has been.”