There have been no substantial changes in the aggregated positions since last week except for switching to small longs in Aussie and Kiwi. The SG FX Enhanced Risk Premia strategy continues to keep a sizable long dollar position. The most sizeable shorts are JPY, EUR and SEK. The long positions in the USD/JPY and the USD/CAD are the USD crosses with the highest combined momentum and IR-driven FX signals among the G10 currencies, and all the signals point to a long dollar position.
The SG Sentiment indicator has stayed around the risk-averse area. We have just re-opened the G10 carry basket with 100% of the risk limit. We have closed the EM carry basket and are long Asia carry positions utilising 50% of the risk limit. The risk of the aggregate strategy remains close to the target at around 10% annualised volatility.
The strategy lost 22bp last week and the MTD return is 3.1%.
