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G10 FX Financial Scorecard: Long vs. Short

Published 05/05/2014, 06:53 AM
Updated 05/14/2017, 06:45 AM
GBP/USD
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AUD/USD
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JPY/USD
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NOK/USD
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SEK/USD
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This week the scorecard recommends buying GBPJPY and USD while selling SEKNOK and AUD.

Most input factors currently favour buying GBP. In particular, the interest rates and the technical input factors have a constructive view on sterling. Following last week's sell-off in USD and JPY, the scorecard this week recommends buying both currencies. While all input factors besides the FX score are neutral on USD, the input factor for option market risk premiums has a constructive view on JPY due to the past week's decline in 1M implied USD/JPY volatility. On the other hand, however, the input factor for option market positioning is pointing in another direction as 1M 25 delta USD/JPY risk reversal has increased along with the decline in volatility.

Last week's rally in both SEK and NOK seems overdone according to the model and thus the scorecard recommends selling both currencies this week. The input factor for interest rates currently has a positive view on NOK while Swedish interest rates continue to underperform (lower rates) according to the model.

Last week's signals resulted in a minor loss of less than 0.05%. The long NOK position performed well but was more or less offset by the loss in the short SEK position. Year to date, the scorecard model has generated a total profit of 4.2%.

Next scorecard signals will be sent out on 12 May.

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

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