The aggregate positions of the SG FX Enhanced Risk Premia have not changed substantially over the week. The biggest longs continue to be USD, AUD, NOK and NZD.
The most sizeable shorts are still EUR, SEK, JPY and GBP. The long positions in USD/CHF 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 15% annualised volatility. The strategy is up by 1.8% this week and is flat MTD.
