This week the scorecard recommends buying the GBP, NZD and SEK while selling the CHF, JPY and EUR.
The technical outlook for the GBP is relatively positive according to the model's input factor, and thus the scorecard recommends buying the GBP this week. New Zealand's interest rates currently outperform among G10 (higher rates) according to the model and, as the NZD sold off last week, the scorecard also recommends buying NZD this week. Finally, the long basket this week also includes SEK as most input factors favour buying the krona. In particular, the input factor for risk premiums is SEK positive as 1M USD/SEK implied volatility declined last week in contrast to implied volatility in most other dollar crosses.
Last week's rally in the CHF, JPY and EUR seems overdone according to the model and the scorecard recommends selling the three lowest-yielding currencies (1W tenor) this week.
Last week's signals resulted in a 0.4% gain. In particular, the long JPY and the short CAD positions performed well, while the long AUD was expensive.
Next scorecard signals will be sent out on 3 February.
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