U.S. dollar index futures contract

Although the Fed’s dollar index represents the longest set of available historical data (1973 to 2004), it is helpful to study past performance of the U.S. dollar index futures contract to see whether the trends discussed previously appear here. However, there are two problems with this comparison: The futures contract has only been trading since 1985, and the number is weighted differently than its Fed counterpart.

Despite these limitations, we analyzed both data sets over the past 18 years to see whether they have moved in line with each other. It compares the average gains and losses of both instruments and their benchmarks in eight periods surrounding election day.

Comparing reveals the U.S. dollar has lost more ground around elections over the past 18 years than since 1973. While the Fed’s index posted smaller average losses than the NYBOT’s futures contract, neither instrument consistently gained ground after election day.

However, the U.S. dollar’s futures contract moved in the same direction as the Fed’s index in each of the preelection periods; the relationship between both instruments was less clear after the election. Also, the Fed index and the DX contract followed the same pattern around presidential and mid-term congressional elections.