The Societe Generale FX Enhanced Risk Premia strategy has kept its pro-risk positioning over the week. The biggest longs are the NZD, GBP and AUD. The most sizeable shorts are the EUR, JPY and to some extent the USD. Over the week the strategy has cut its long NOK position and substantially trimmed its long AUD and short USD exposures.
The long positions in the GBP/USD and NZD/USD are the USD crosses with the highest combined momentum and IR-driven FX signals among the G10 currencies.
Over the course of the week, the Societe Generale Sentiment Indicator had left the risk-loving zone but post the FOMC announcement the indicator moved back to the risk-loving zone.
We remain long carry in G10 and EM, utilizing 100% of the risk limits. The Asian carry basket has remained closed. The risk of the aggregate strategy is above the average target and stands at around 20% annualised volatility
