This week the scorecard recommends buying the NZD, CAD and JPY while selling the AUD, SEK and EUR.
The NZD gained against most other G10 currencies last week. However, despite last week's gains, which leads to a negative signal from the FX input factor, all other input factors strongly favour a long NZD position, and thus the model recommends buying NZD this week. Last week's sell-off in JPY seems overdone according to the model, and the scorecard recommends buying JPY this week, even though all input factors besides the FX score are JPY negative. Notably the positioning input factor has a negative signal on JPY due to the past week's increase in 1M USD/JPY 25 delta risk reversal.
Last week's rally in the AUD seems overdone according to the model and the scorecard recommends selling AUD this week. Again this week, the short basket also includes SEK as most input factors still favour selling SEK.
Last week's signals resulted in a 0.2% loss. In particular, the short JPY position performed well, while the short SEK was expensive.
Next scorecard signals will be sent out on 17 March.
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