The most substantial change in terms of positioning this week has been the cut in the long AUD, NZD and NOK positions and the increase in the long CAD position. The SG FX Enhanced Risk Premia strategy continues to have a sizeable long dollar position that is currently complemented by a long CAD position.
The most sizeable shorts are EUR, JPY, SEK and NOK. At the moment there is a negligible short position in 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.
The SG Sentiment indicator has dropped into the risk-averse area. We are currently short G10 and EM carry utilising 30% of the risk limit.
The risk of the aggregate strategy has been scaled back and stands close to the target at around 10%.
