G10 FX Quant Fund analysis


21 December, AtoZForex.com, London – Societe Generale has published the latest findings of its weekly G10 FX Quant Fund analysis, which is run with systematic FX strategies by the quant analyst team.

G10 FX Quant Fund analysis

G10 FX Quant Fund analysis

Analysis and commentary

The Societe Generale’s FX Enhanced Risk Premia has marginally changed over the past week by re-establishing the short EURUSD position post the Fed interest rate hike decision.

The USD remains the largest long position, complemented by longs in the AUD and NZD. While, the most sizeable short positions are held in the EUR, CAD and JPY.

“The short position in EURUSD and the long position in USD/SEK are the USD crosses with the strongest combined momentum and IR-driven FX signals,” Societe Generale pointed out.

Post the FOMC interest rate decision, the Societe Generale’s Static Sentiment indicator has returned to risk-neutral area. Based on the updated version of the sentiment indicator, Societe Generale has a long exposure to G10 carry trade using the full risk budget.

Consider reading: The last weekly COT report

Although both the EM and Asian carry trade baskets are closed. The risk of the net strategy remains below target and is near 5 percent annualised volatility.

Sentiment for CAD

Societe Generale argues that the Canadian Dollar is at the lows from where further depreciation is becoming to look increasingly as an overshoot.

G10 FX Quant Fund analysis

USDCAD has not traded above 1.40 level since 2003. Nevertheless, any additional economic impact is possible due to Canada’s proximity to the US; when labour and goods are much cheaper in Canada than the US.

“As AUDCAD heads back above parity, this remains an appealing 2016 short, even if no-one is going to want to position for that until the New Year or until the oil market quietens down a bit,” Societe Generale advised.

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