FX Factor Fair Value

Methodology: Lasso regression (α=0.9, 10-year window) maps 13 factor/style ETF ratios vs SPY to each FX rate. Residual = (actual − model) / actual × 100. Positive residual → currency overvalued relative to factor signals; negative → undervalued.
Factors: MTUM (Momentum), SPHB (High Beta), IWC (Micro Cap), IVW (LG Growth), IJT (SC Growth), IJR (Small Cap), IJS (SC Value), IJK (MC Growth), QUAL (Quality), IJJ (MC Value), VYM (High Div), IVE (LG Value), USMV (Min Vol).

Residual Scoreboard

Today's Cheap/Rich vs Factor Model

Red = positive residual (overvalued) · Blue = negative residual (undervalued)

Signal Table

All Currencies — Ranked by Signal Strength

R² = model fit on 30% holdout · Residual = current deviation from fair value

Currency	Residual	R²	Signal
USDKRW	+6.5%	0.897	Overvalued vs model
USDINR	+4.9%	0.914	Overvalued vs model
USDTHB	+3.5%	0.556	Overvalued vs model
USDBRL	-13.8%	0.817	Undervalued vs model
USDNOK	-6.9%	0.839	Undervalued vs model
USDSGD	-6.0%	-0.001	Undervalued vs model
USDZAR	-5.3%	0.808	Undervalued vs model
USDMXN	-4.8%	0.446	Undervalued vs model
USDSEK	-3.8%	0.633	Undervalued vs model
USDCNH	-3.1%	0.434	Undervalued vs model

Currency Explorer

Actual vs Fair Value Model — Full History

Select currency from dropdown · Right axis = residual % · Red dashed = model fair value

AI Commentary · google/gemma-4-31B-it · 2026-06-02 22:35 UTC

Value and high-dividend factors proxy global risk appetite and real yield differentials; strong performance in these styles typically signals a "risk-on" environment and capital inflows to EM assets, depressing USDBRL. A -13.8% residual indicates the BRL is significantly overvalued relative to these equity drivers, suggesting idiosyncratic local strength or an unsustainable deviation from global factor trends.