% deviation from median 'fair value', versus US$
- British Pound -1%
- Japanese Yen 9%
- Canadian $ 13%
- New Zealand $ 24%
- Australian $ 37%
source: Bloomberg, BL calculationsThe recent strength can be in part attributed to the surge in gold prices (up 26% in 2009) as well as the fact that Australia has the highest interest rates among G10 countries.
IMM Commitment of Traders reports net long of over 50,000 positions in AUD versus USD. This is high and suggests that speculators have jumped in. Looking at the above chart, we doubt that current levels can be maintained and suggests shorting the AUD against USD at around 0.93. Target 0.87.