Quant FX Signals: The Biggest Long & The Biggest Short - SocGen

The SG FX Enhanced Risk Premia has kept positions of reduced size during the week. The SG Sentiment indicator has slipped back in the risk-averse zone, and that has led to the closure of some pro-risk positions.

The biggest longs are in JPY, EUR and NOK. The most sizeable shorts are in GBP, NZD and INR. The short position in USD/JPY and the long position in EUR/USD are the USD crosses with the strongest combined momentum and IR-driven FX signals.

The static SG Sentiment indicator has moved back into the risk-averse zone. Based on the adaptive (tailored) version of the sentiment indicators and the relevant time-series signals, we keep a short exposure to both G10 and EM carry using 30% of the respective risk budgets. The Asian carry basket remains closed. The risk of the aggregate strategy remains limited and is close to 5% annualised volatility.

The strategy has been marginally profitable during the week, at +36bp.

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