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

The SG FX Enhanced Risk Premia has reinstated the long dollar position during the week.

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

The static SG Sentiment indicator has stayed in the risk-averse zone. Based on the adaptive (tailored) version of the sentiment indicators and the relevant time-series signals, we continue to 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 4% annualised volatility.

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