There have been no substantial changes in the aggregated positions since last week except for an increase in the short kiwi position.
The SG FX Enhanced Risk Premia strategy continues to have a sizable long dollar position that is complemented by a long CAD position. The most sizeable shorts are the JPY, EUR, SEK and NOK. At the moment there is a small long position in GBP. The long position in the USD/JPY and the short positions in the NZD/USD and 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 stayed in the risk-averse area.
We continue to have short G10 and EM carry positions utilising 30% of the risk limit. The risk of the aggregate strategy stands close to the target at around 10% annualised volatility. The strategy has been flat since last week and the MTD return is 2.8%
