This week the scorecard recommends buying the CAD, USD and GBP while selling the JPY and CHF.
This week, there are only two currencies with a total negative score: the JPY and CHF. Thus, the short basket this week only includes these two currencies. Most of the short exposure is allocated to JPY (97.4%) as last week's rally, according to the model, seems overdone. The last part of the short basket is allocated to CHF which also appreciated against most currencies last week.
Since there are only two currencies with a total negative score this week, the scorecard is long all other currencies versus the JPY and CHF which we in a 'risk on' scenario normally expect to perform. Due to last week's sell-off, the scorecard suggests putting the highest weights on the USD and CAD. However, besides the positive score from the FX input factor, none of the other input factors have a significant signal on either the USD or CAD.
Last week's signals resulted in a 0.6% gain. In particular, the long JPY position performed well, while the short SEK was expensive.
Next scorecard signals will be sent out on 24 March
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