SG FX Enhanced Risk Premia continues to hold a sizable long dollar. The biggest long is USD, followed by NOK, AUD and NZD. The most sizeable shorts are now EUR, SEK, JPY and GBP.
The long positions in USD/SEK and the short position in EUR/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 SG Sentiment Indicator has stayed in the risk-neutral zone.
We remain long G10 carry utilising 100% of the risk limit, long Asian carry with 75% of the risk limit and long EM carry using 25% of the risk limit. The risk of the aggregate strategy is above target and stands at around 14% annualised volatility.
