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G10 FX Scorecard: Long JPY, NOK, AUD Vs Short USD, EUR, GBP‏

ByDanske Markets
Published 07/08/2013, 06:09 AM
Updated 05/14/2017, 06:45 AM
TTEF
-0.15%

This week the scorecard recommends buying JPY, NOK, AUD while selling USD, EUR, GBP.

The input factors of risk premium and positioning continue to favour a long JPY position. The scorecard recommends being long JPY again this week. Last week's sell-off in NOK seems overdone according to the model, and the scorecard recommends being long NOK even though most other input factors point in a different direction.

Last week's USD rally seems overdone according to the model, and the scorecard recommends being short USD. The short basket also includes EUR and GBP, as all input factors with the exception of FX score favour being short the two currencies.

Last week's signals resulted in a 0.3% gain. The short NOK position performed especially well, while the long JPY position was expensive. Due to a calculation error in connection with last week's update, we reported a loss of 1.6% in the period from June 24 to July 1. The loss was only 0.02%, and we have corrected this in the model's total performance. The Scorecard has gained 2.3% this year to date, and is up 18.4% since going live in early October 2010.

The next scorecard signals will be sent out on July 15.

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

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