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).
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 |
|---|---|---|---|
| USDINR | +6.5% | 0.919 | Overvalued vs model |
| USDTHB | +5.1% | 0.543 | Overvalued vs model |
| USDSEK | +1.4% | 0.662 | Overvalued vs model |
| USDKRW | +0.4% | 0.902 | Overvalued vs model |
| USDBRL | -8.4% | 0.807 | Undervalued vs model |
| USDSGD | -4.8% | -0.001 | Undervalued vs model |
| USDMXN | -3.4% | 0.453 | Undervalued vs model |
| USDNOK | -3.1% | 0.847 | Undervalued vs model |
| USDCNH | -3.0% | 0.437 | Undervalued vs model |
| USDZAR | -1.6% | 0.813 | 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 · 2026-07-31 21:39 UTC
Model explains 81% of USDBRL variance. Residual: -8.4% vs factor fair value.