During the week the SG FX Enhanced Risk Premia increased the long dollar position and substantially cut the long NZD position. The biggest long is USD, followed by AUD, NZD and IDR. The most sizeable shorts are now the EUR, JPY, NOK and SEK.
The long positions in USD/NOK and USD/CHF and the short EUR/USD position 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 SG Sentiment Indicator dropped into the risk-averse zone. Nevertheless, the adaptive version of the indicators is still pointing to a risk-neutral environment for the carry baskets. We remain long carry in G10 and Asia, utilising 100% of the risk limits and long carry EM using 50% of the risk limit. The risk of the aggregate strategy is close to target and stands at around 12% annualised volatility.
The strategy has been flat over the week and it is close to flat in July, +30bp.
