Strategy Espresso: US exposed (GSSTAMER) are most sensitive to EUR/USD

European equities do better when European currencies rise and the dollar falls, despite European companies' large share of foreign earnings. There is a significant and consistent positive relationship between SX5E performance and EUR/USD, the opposite of Topix and Yen. This partly reflects the Euro being more of a risk-on currency and because EUR/USD typically falls amid growth concerns or heightened Europe risks. The Euro has weakened due to more hawkish US monetary policy and renewed broad-based European sovereign risks (France and Italy spreads widened exceptionally). A weak EUR is often associated with underperforming European equities and curtailing foreign investor interest. However, a weaker EUR benefits large-cap international companies: the STOXX 600 derives only 42% of revenue from Europe, with around a quarter from North America;