CHF, USD ‘vying’ for second place after the Yen as safest of havens - GS

Bloomberg out with the latest report from Goldman Sachs, in which the economists, led by Kevin Daly, ran a correlation analysis in order to determine which is the safest currency of all.

Key Findings:

They compared daily and monthly fluctuations for a basket of 28 global, floating, developed and developing market currencies across two five-year periods from 2007 to 2011 and 2012 to 2016.

 “The yen is the most ‘safe-haven’ of ‘safe-haven’ currencies, with the Swiss franc and U.S. dollar vying for second place.”

“At the other end of the spectrum, a number of different emerging-market currencies vie for the title of most ‘risk-on’ currency. These correlations appear relatively stable over time, with the notable exception of some of the U.S. dollar’s relationships.”

Also among the findings:

The Mexican peso, South African rand, the Canadian and Australian dollars are the most consistent risk-on currencies.

Correlations between currencies and 10-year Treasuries tend to be positive except for the yen. 

Overall relationship between exchange rates and equity returns via MSCI All Country World Index were much stronger on a daily basis than for monthly, opposite true for correlations to West Texas Intermediate crude.

When oil prices rise, currencies from exporters including Canada, Colombia, Russia tend to outperform; yen, dollar and franc tend to underperform.