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15 May 2015
FX sentiment: Remaining long on commodity currencies – SG
FXStreet (Barcelona) - The Team at Societe Generate share their systematic FX strategies based on their proprietary FX sentiment and risk premia indicators, maintaining a long exposure to commodity and higher carry currencies.
Key Quotes
“The biggest longs at the moment are in the AUD, NOK, GBP and CAD. The most sizeable short is the JPY, complemented by smaller short positions in the SEK and INR. The long position in GBP/USD and the short position in NZD/USD are the USD crosses with the highest combined momentum and IR-driven FX signals.”
“The standard SG Sentiment indicator has moved into the risk-neutral zone, but it has been staying close to the risk-seeking area. Based on the adaptive (tailored) version of the sentiment indicators and the relevant time-series signals, we have a long exposure to G10 carry using 100% of the risk budget and EM carry using 50% of the risk budget. We still have no exposure to Asia carry due to a negative momentum signal.”
“The risk of the aggregate strategy remains below target at around 5% annualised volatility. The strategy is up 85bp this week and is up +0.5% so far in May.”
Key Quotes
“The biggest longs at the moment are in the AUD, NOK, GBP and CAD. The most sizeable short is the JPY, complemented by smaller short positions in the SEK and INR. The long position in GBP/USD and the short position in NZD/USD are the USD crosses with the highest combined momentum and IR-driven FX signals.”
“The standard SG Sentiment indicator has moved into the risk-neutral zone, but it has been staying close to the risk-seeking area. Based on the adaptive (tailored) version of the sentiment indicators and the relevant time-series signals, we have a long exposure to G10 carry using 100% of the risk budget and EM carry using 50% of the risk budget. We still have no exposure to Asia carry due to a negative momentum signal.”
“The risk of the aggregate strategy remains below target at around 5% annualised volatility. The strategy is up 85bp this week and is up +0.5% so far in May.”