Fully respecting the fact that returns (price changes) are not normally distributed, we understood a move of such a magnitude is rare

In our weekly technical outlook, we noted that the Australian dollar had finished last week just below the lower Bollinger band (two standard deviations below the 20-day moving average) and cautioned against selling into the downtrend. Fully respecting the fact that returns (price changes) are not normally distributed, we understood a move of such a magnitude is rare. The 20-day moving average comes in now near $1.0350, which also roughly corresponds to a downtrend line drawn off the mid-September higher above $1.06 and the late September high near $1.0475.

On a rolling 60-day basis, using percentage change, the Australian dollar is about as correlated with the S&P 500 as gold., which is 0.62-0.64. The correlations over the past 30-days is slightly lower 0.60-0.64. For the curious, we note that the Australian dollar's correlation with China's Shanghai Composite is roughly half of that with gold and the S&P 500.