- This week the scorecard recommends buying SEK, NOK and CHF, and selling NZD, USD and CAD (see suggested weights in portfolio in table below).
- The recommendation to buy the Scandies and the Swissie derives largely from last week’s dire performance (i.e. a mean reversion argument) and fits neatly with the likelihood that risk-off sentiment will dominate markets at the start of what looks set to be a chaotic week for Greece. NOK is also favoured due to positioning and the risk premium component.
- While the scorecard suggests selling USD this week due to technicals, last week’s price action and still stretched positioning, we note in relation to the latter component that IMM data actually suggests that there should be room to add to longs in USD as we are still some way off the highs for the year, see IMM Positioning: Still decent room for USD longs to be added.
- Last week’s signals resulted in a close to 2% gain. The short EUR position in particular performed well due to the sell-off in EUR crosses this morning as Grexit risk has intensified.