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The G10 FX Financial Scorecard

ByDanske Markets
Published 08/19/2013, 07:08 AM
Updated 05/14/2017, 06:45 AM

This week the scorecard recommends buying AUD, NOK, JPY while selling CHF, EUR, NZD (see suggested weights in portfolio in table below).

After a rise in Australian short-term interest rates over the past couple of weeks, the interest rate input factor has changed from very negative to positive on AUD and the model recommends buying AUD, as all input factors currently favour a long AUD position. This week’s long basket also includes NOK and JPY as last week’s sell-off in both currencies seems overdone according to the model. While most input factors actually point in the other direction for JPY, the interest rate input factor favours being long NOK.

All input factors with the exception of FX score favour a short CHF position and the model recommends selling CHF. Notably the risk premium input factor (implied volatility) favours being short CHF. The short basket this week also includes EUR and NZD. While most input factors favour a short EUR position, the short NZD position is mainly added after last week’s rally.

Last week’s signals resulted in a 1% gain. Especially the short JPY and the long GBP positions performed well. Note that the performance in the week from 5 to 12 August, due to a calculation error, has been revised from -0.1% to +0.5%.

Next scorecard signals will be sent out on 26 August. For a thorough introduction to the scorecard, please see FX Strategy – a G10 FX Financial Scorecard (29 September 2010).

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

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