The most substantial change in the positions of the SG FX Enhanced Risk Premia strategy over the week has been the cut by around a half in the long NZD position and the increase in the long AUD and short EUR positions.
The biggest longs are in AUD, NZD, THB and IDR. The most sizeable shorts are in EUR, SEK, JPY and USD. The long positions in USD/NOK and USD/SEK are still the USD crosses with the highest combined momentum and IR-driven FX signals among the G10 currencies.
The SG Sentiment indicator has stayed in the risk-aversion area. We remain long carry in G10 and Asia using 100% of the risk limit and long carry in EM using 75% of the risk limit. The risk of the aggregate strategy is slightly above target and stands at around 13% annualised volatility. The strategy is up 30bp over the week after suffering losses post the RBNZ meeting.
