USD/CAD SPOT CAD per USD
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CURRENCY VALUATION — CANADA
USD/CAD The valuation view.
Macro fair value, a long-run anchor, and the portfolio implication.
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BEER FAIR VALUE i
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VALUATION GAP spot / fair − 1
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PPP ANCHOR long run
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1971–2010 calibration · frozen
01 / VALUATION
Price meets fundamentals
USD/CAD BEER fair value
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Fair value includes the trailing residual mean used by the signal. Shading shows residual dispersion, not a confidence interval.
02 / PORTFOLIO LENS
The allocation
MODEL WEIGHT IN EFFECT
—USD— CAD
1BEER × PPP—
—2Commodity peersAUD / NZD / NOK
—DAILY INDICATION— USD
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03 / SIGNALS
Where the conviction comes from
BEER score — Peer score ——
04 / DRIVERS
What moved fair value
Contribution to the latest raw OLS log fair-value change, in basis points.
Total change —
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05 / DECISION LEDGER
From observation to allocation
| Decision | Inputs through | Execution | Spot | BEER FV | BEER z | Peer score | Layer 1 | Layer 2 | USD weight |
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06 / MODEL & DATA
A model you can trace
The selected specification
Rolling 756-business-day OLS of log USD/CAD on the US–Canada 2Y spread, log WTI, VIX and log broad USD. Refit at business year-end; coefficients stay fixed between refits.
The BEER residual is re-centered and scaled over 252 business days. PPP shifts its tier outward on agreement, inward on opposition. Layer 2 grades the mean of three CAD cross z-scores. Each layer maps seven tiers to USD weights of 0%, 20%, 35%, 50%, 65%, 80%, 100%; the portfolio averages their weights.
Valuation context, with limits
The case study reports an information ratio of 0.50 for 2011–2026, falling to 0.04 from 2019 onward. After 261 tested variants, the deflated significance measure is 0.32.
Use this as a valuation tilt. PPP is a long-run anchor; the baseline does not apply the optional VIX stress filter.
These are the paper's reported results, not a new live backtest. Daily public fixings are not executable intraday quotes.
Source health & publication timing
| Input | Provider / series | Latest observation | Available from | Used observation | Value used | Status |
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Active coefficients & calibration
| Annual refit | Observations | Intercept | 2Y spread | log WTI | VIX | log USD |
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