Sunday, June 28, 2009
EUR/USD, AUD/USD
The EUR/USD and AUD/USD prices are 96% correlated and their daily returns are correlated 66%. You can earn 1.56% from selling the EUR/USD and buying the AUD/USD. Returns on this trade are 34% correlated over the long term to the AUD/USD:USD/CAD trade. I need to do some more portfolio analysis before I get in.

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