The major changes in terms of the positioning of the SG FX Enhanced Risk Premia strategy are the increase in the aggregated long dollar position, the flattening of the short yen position and the increase in the short TWD position. The biggest long is USD while the biggest shorts are TWD, NZD and EUR. The short position in EUR/USD and the long position in USD/CHF are the USD crosses with the highest combined momentum and IR-driven FX signals among the G10 currencies, and all the signals continue to point to a long dollar position.
The SG Sentiment indicator has dropped even further into the risk-averse area. We have short exposures to G10 and EM carry baskets while we remain long Asia carry utilising 50% of the risk limit. The risk of the aggregate strategy remains close to the target at around 11% annualised volatility.
The strategy has gained 1.2% over the past week and the September 2014 return is 4.1%.
