Seasonal Signal: Long USD/JPY In March
Long USD/JPY is the strongest seasonal trades for the month of March within the major FX pairs, according to data driven from ANZ Seasonal FX Strategy. Figure 14 shows how G10 and Asian currencies have performed during the month of March over the 2000 to 2016 period. JPY has a tendency to weaken in March, with USD/JPY rising in 10 out of the last 17 years at an average spot gain of 0.5%. …Although yen weakness is observable against all G10 and Asian currencies, the average percent declines have not been that large (see Figure 15). The prominence of the yen as a safe haven asset in recent years makes it an important parameter of judging market sentiment. Therefore, a fall in the yen typically coincides with the rise in US equities. This holds true for US stock indices such as the S&P 500 Index which has risen in 11 out of the last 17 years with an average gain of 1.9%. In recent years, the movements in USD/JPY has tracked that of S&P 500 fairly well, with both rising in 7 out of the last 11 years (2006-2016) during the month of March. Nonetheless, there are periods of exception as highlighted in Figure 16.