This week the scorecard recommends buying the NZD, JPY and AUD while selling the GBP, NOK and SEK.
Again this week all input factors favour a long NZD position and thus the scorecard recommends buying NZD. In particular, the interest rate input factor continues to support NZD. However, considerable support is also seen in the risk premium and positioning indicators following last week's decline in 1M NZD/USD implied volatility and the increase in 1M 25 delta risk reversal.
Last week's rally in the GBP seems overdone according to the model and the scorecard recommends selling the GBP again this week. The short basket this week also includes the NOK and SEK but for different reasons: while most input factors favour being short NOK, the negative signal for the NOK is mainly derived from the FX input factor following last week's rally. The negative signal for SEK mainly comes from the interest rate input factor as Swedish interest rates, according to the model, continue to underperform (lower rates) following last week's rate cut from the Riksbank.
Last week's signals resulted in a 0.5% loss. In particular, the long NZD position was expensive while the short CHF performed well.
Next scorecard signals will be sent out on 30 December.
To Read the Entire Report Please Click on the pdf File Below.
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FX Scorecard: Long NZD, JPY, AUD Versus Short GBP, NOK, SEK
Published 12/23/2013, 05:23 AM
Updated 05/14/2017, 06:45 AM
FX Scorecard: Long NZD, JPY, AUD Versus Short GBP, NOK, SEK
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