This week the scorecard recommends buying SEK, NOK, and CAD, while selling NZD, JPY, and CHF (see suggested weights in portfolio in table below).
Last week's sell-off in the two Scandinavian currencies seems overdone according to the model, and the scorecard recommends buying SEK and NOK this week. In fact NOK and SEK together form almost 95% of this week's long basket. Moreover, we note that interest rates in particular favour being long the Scandi currencies, while positioning points in the other direction due to an increase in USD/SEK and USD/NOK risk reversals seen over the past few weeks.
All input factors with the exception FX score currently favour being short NZD, and thus the scorecard recommends selling NZD this week. Last week's rally in JPY seems overdone according to the model, and the scorecard also recommends selling JPY this week even though all input factors, besides FX score, point in another direction.
Last week's signals resulted in a 0.6% gain, where especially the short CHF position performed well.
Next scorecard signals will be sent out on 9 September.
To Read the Entire Report Please Click on the pdf File Below.
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G10 FX Financial Scorecard: Long SEK, NOK, CAD
Published 09/02/2013, 07:04 AM
Updated 05/14/2017, 06:45 AM
G10 FX Financial Scorecard: Long SEK, NOK, CAD
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