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FX Scorecard: Long CAD, AUD, CHF Versus Short NOK, NZD, GBP‏

Published 02/10/2014, 07:06 AM
Updated 05/14/2017, 06:45 AM
USD/CAD
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This week the scorecard recommends buying the CAD, AUD and CHF while selling the NOK, NZD and GBP.

The USD/CAD risk reversal declined to its lowest level since 2010 last week and in particular the input factor for option market positioning favours buying CAD. However, all input factors are in fact in favour of a long CAD position and thus the scorecard recommends buying the CAD this week. The AUD rallied last week following an unexpected shift in the RBA monetary policy. However, the scorecard recommends buying the AUD this week as all input factors besides FX score favour being long the Aussie.

Last week's rallies in the NZD and NOK seem overdone according to the model and the scorecard recommends selling both currencies. However, while most input factors suggest selling the NOK, the risk premium input factor in particular favours being long NZD. Despite a significant sell-off last week, the short basket this week also includes the GBP as all input factors besides FX score favour a short GBP position.

Last week's signals resulted in a 0.1% gain. In particular, the long NOK position performed well, while the short AUD position was expensive.

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

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