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G10 Financial Scorecard: Long AUD, EUR, NOK And Short SEK, USD, CAD‏

ByDanske Markets
Published 10/28/2013, 06:36 AM
Updated 05/14/2017, 06:45 AM

This week the scorecard recommends buying the AUD, EUR and NOK while selling the SEK, USD and CAD.

Following last week's weakening, this week the scorecard recommends buying AUD. The interest rates input factor also favours being long AUD, while all other factors are close to neutral. Despite a more than one figure jump in EUR/USD last week, the scorecard suggests being long EUR this week. The positive signal on EUR mainly comes from technicals and interest rates. Finally, the scorecard suggests buying NOK as both risk premium and positioning input factors favour a long NOK position after a marked decline in 1M implied USD/NOK volatility and a rise in 1M USD/NOK risk reversal.

Last week's SEK rally seems overdone according to the model and the scorecard suggests selling SEK this week. The input factor for option market positioning suggests being short USD this week whereas all input factors with the exception of FX score suggest selling CAD.

Last week's signals resulted in a 1.5% loss. In particular, the long NZD position was expensive but in fact all positions with the exception of the long JPY position generated a loss.

Next scorecard signals will be sent out on 4 November.

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


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