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G10 FX Financial Scorecard: Long AUD, CHF, GBP And Short SEK, NZD, EUR‏

ByDanske Markets
Published 09/24/2013, 12:53 AM
Updated 05/14/2017, 06:45 AM

This week the socre card recommends buying the AUD, CHF and GBP while selling the SEK, NZD and EUR (see suggested weights in portfolio in table below).

For the third consecutive week, the scorecard recommends buying AUD. Notably, the input factors for interest rates and risk premium favour being long AUD. All input factors with the exception of FX score currently favour being long CHF and thus the scorecard also recommends buying CHF this week.

Last week's rally in the SEK and NZD seems overdone according to the model, and the scorecard recommends selling both currencies this week. However, as the technical input factor currently favours being long NZD, and while we have no strong signals from other input factors on the SEK, overall the share of the long SEK position is substantially larger than the long NZD position. Finally, the short basket this week also includes EUR as the input factors from risk premium and FX suggest selling EUR.

Last week's signals resulted in a 0.4% loss. In particular, the short SEK position was expensive, while the long AUD position performed well.

Next scorecard signals will be sent out on 30 September.

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

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