This week the scorecard recommends buying the GBP, NZD and CHF while selling the NOK, AUD and USD.
The UK interest rates currently outperform (higher rates) among G10 according to the model and again this week the scorecard recommends buying GBP. The long basket this week also includes NZD and CHF as last week's sell-off in both currencies was overdone. However, besides the FX score, most other input factors actually have a negative view on the two currencies.
Last week's rally in both the NOK and AUD seems overdone according to the model and thus the scorecard recommends selling both currencies this week. While most input factors currently have a negative view on the NOK, the picture is more mixed when it comes to the AUD where in particular the input factor for option market positioning favours a long AUD position following the past week's increase in one-month 25 delta AUD/USD risk reversal.
Last week's signals resulted in a 0.1% loss. In particular, the short SEK position performed while the short AUD and NOK positions were expensive. Year to date, the scorecard model has generated a total profit of 4.1%.
Next scorecard signals will be sent out on 19 May.
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