Economy & PolicyExtended setexperimental liveNew

Dollar Factor Betas

Updated dailyData needs: mediumlong onlyshort only

2018

Verdelhan, A. (2018). "The Share of Systematic Variation in Bilateral Exchange Rates." Journal of Finance 73(1), 375-418.

Read the paper →

In plain terms

Companies with high empirical sensitivity to the dollar suffer when the dollar strengthens (FX translation drag). Domestic-revenue-heavy companies benefit. Compute each ticker's 60-day dollar beta and trade the extremes against USD direction.

How it works

High-USD-beta stocks underperform when USD strengthens (multinationals with FX translation exposure on dollar-strengthening regimes). Low-beta names (domestic-revenue concentration) outperform. 60d rolling regression of ticker returns on DTWEXBGS broad-trade-weighted index returns.

Live results

3 times picked on its own · 91 times inside a blend (56 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 91 such blended picks (56 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Fred macro
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: +/-3-5% over 42d
Tested over: T+1 to T+42d

Verdelhan 2018; ~3-5% over 42d on extreme empirical beta vs USD-direction regime.

Related families

Multinational Usd TranslationEconomy & Policy

When the dollar weakens, multinationals (Apple, P&G, Coke) get a tailwind. When it strengthens, domestics win.

Macro RegimeEconomy & Policy

Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.

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