All input factors, with the exception of the FX score derived from last week's spot performance, currently favour being long CHF and thus the scorecard recommends buying CHF this week. The long basket this week also includes the AUD and CAD for very different reasons: the scorecard recommends buying AUD as both the technical input factor and the input factor for option market positioning have a constructive view on AUD, while the scorecard recommends buying CAD following last weeks sell-off which seems overdone according to the model. Note that most other input factors actually favour being short CAD.
Last week's rally in SEK and NOK seems overdone according to the model and thus the scorecard recommends selling both Scandinavian currencies this week. Besides the FX score, the input factor for interest rates also favours selling SEK and NOK while the input factor for risk premiums favours being long the two currencies following the past week's decline in 1M implied USD/SEK and USD/NOK volatility.
Last week's signals resulted in a 0.2% gain. In particular, the long SEK position performed well, while the short AUD position was expensive. Year to date, the scorecard model has generated a total profit of 4.3%.
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