The main change in terms of positioning this week has been the increase in the short JPY and long CAD position. The SG FX Enhanced Risk Premia strategy continues to have sizable longs in USD, AUD, NZD and NOK.
The most sizeable shorts are EUR, JPY, SEK and GBP. The long positions in USD/JPY and 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 50% 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 18%. The strategy’s return in August was +0.9% and the weekly return has been +3.3%.
