10 Jul 2015
Shifting to a long JPY and short AUD position – SocGen
FXStreet (Barcelona) - Quantitative Analysts at Societe Generale, offer their outlook on Forex using SocGen’s proprietary FX Risk Premia and Sentiment Indicators.
Key Quotes
“During the week the SG FX Enhanced Risk Premia switched to a long yen and short Aussie position. The biggest longs are the USD, the JPY, the EUR and the GBP. The most sizeable shorts are the NZD, the AUD, the CAD and the NOK. The short position in NZD/USD and long position in USD/CAD are the USD crosses with the highest combined momentum and IR-driven FX signals.”
“The standard SG Sentiment indicator has slipped further into the risk-averse area. Based on the adaptive (tailored) version of the sentiment indicators and the relevant time-series signals, we have established a short exposure to the G10 carry basket, we have re-opened the Asia carry basket, and we do not have exposure to EM carry.”
“The risk of the aggregate strategy remains confined and stands just at 7% annualised volatility. The strategy is up 14bp this week and has had a flat performance so far in July.”
Key Quotes
“During the week the SG FX Enhanced Risk Premia switched to a long yen and short Aussie position. The biggest longs are the USD, the JPY, the EUR and the GBP. The most sizeable shorts are the NZD, the AUD, the CAD and the NOK. The short position in NZD/USD and long position in USD/CAD are the USD crosses with the highest combined momentum and IR-driven FX signals.”
“The standard SG Sentiment indicator has slipped further into the risk-averse area. Based on the adaptive (tailored) version of the sentiment indicators and the relevant time-series signals, we have established a short exposure to the G10 carry basket, we have re-opened the Asia carry basket, and we do not have exposure to EM carry.”
“The risk of the aggregate strategy remains confined and stands just at 7% annualised volatility. The strategy is up 14bp this week and has had a flat performance so far in July.”