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FX Financial Scorecard: Long AUD, JPY, EUR And Short CAD, GBP, NZD‏

ByDanske Markets
Published 01/20/2014, 05:53 AM
Updated 05/14/2017, 06:45 AM
USD/JPY
-0.10%
USD/CAD
-0.24%

This week the scorecard recommends buying AUD, JPY and EUR while selling CAD, GBP and NZD.

Last week's AUD sell-off seems overdone according to the model, and for the sixth consecutive week, the scorecard recommends buying AUD this week. Besides the FX score, the input factor option market positioning also favours being long AUD, while interest rates and volatility point in the other direction. All input factors with the exception of FX score favour being long JPY. In particular, the risk premium input factor has a positive view on JPY following the past couple of weeks' decline in 1M USD/JPY implied volatility.

Implied USD/CAD volatility has increased markedly as the Loonie has been sold off. High volatility is assumed as negative for a currency and thus the risk premium indicator favours being short CAD. Also the technical picture looks negative for the CAD, and all in all the scorecard recommends selling CAD.

Last week's signals resulted in a 0.7% loss. In particular, the long AUD position was expensive, while the short EUR and CHF contributed positively.

Next scorecard signals will be sent out on 27th of January.

To Read the Entire Report Please Click on the pdf File Below.

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