This week the scorecard recommends buying GBP, AUD, JPY while selling CHF, EUR, CAD.
All input factors with the exception of FX score favour a long GBP position this week. Notably, the technical input factor and the input factor for risk premiums favour a long GBP position and thus the scorecard recommends buying GBP. The long basket this week also includes AUD and JPY after a relatively weak performance versus USD during last week.
Last week's rally in CHF and EUR seems overdone according to the model and this week's short basket mainly includes CHF and EUR. Notably, the positioning input factor favours being short CHF due to the significant skew in USD/CHF. However, all input factors are in fact more negative on CHF relative to EUR, which is reflected in the model's suggested portfolio weights where the short CHF position represents more than 70% of this week's short positions, while the short EUR position represents around 18%.
Last week's signals resulted in a 0.9% loss. The short NZD position performed well, while the long AUD and NOK positions were expensive.
Next scorecard signals will be sent out on September 2.
To Read the Entire Report Please Click on the pdf File Below.
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FX Financial Scorecard: Long GBP, AUD, JPY Vs Short CHF, EUR, CAD
Published 08/26/2013, 06:02 AM
Updated 05/14/2017, 06:45 AM
FX Financial Scorecard: Long GBP, AUD, JPY Vs Short CHF, EUR, CAD
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