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FX Scorecard: Long AUD, NZD, JPY Versus Short CHF, SEK, EUR

ByDanske Markets
Published 12/31/2013, 01:03 AM
Updated 05/14/2017, 06:45 AM

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

This week the long basket again includes mainly AUD, NZD and JPY following last week's sell-off. Besides the FX score derived from last week's spot movements, considerable support for AUD and NZD is also seen in the risk premium and the option market positioning indicators. Also, the interest rates input factor continues to favour being long NZD, while the technical input factor suggests selling NZD/USD.

All input factors currently favour selling CHF and EUR. Notably, the technical input factor suggests selling both CHF and EUR, while the risk premium input factor also has a significant negative signal on CHF. The short basket this week also includes SEK, following last week's rally, which according to the model seems overdone. The negative signal for SEK is also supported by the interest rate input factor as Swedish interest rates, according to the model, continue to underperform (lower rates).

Last week's signals resulted in a 1.4% loss. In particular, the long NZD and JPY and the short GBP positions were expensive.

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

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