While biggest long position of the SG FX Enhanced Risk Premia remains the dollar, the strategy has also taken a more pro-risk stance over the week by re-opening the G10 carry basket and building a long CAD position.
The biggest longs are the USD, CAD and AUD. The biggest shorts are the SEK, NOK and NZD. The long positions in USD/NOK and USD/SEK have remained the USD crosses with the highest combined momentum and IR-driven FX signals among the G10 currencies.
The SG Sentiment indicator has decisively moved away from the risk-averse zone into the risk-neutral zone. We have long exposures to G10 and Asian carry baskets and the EM carry basket has remained closed due a negative momentum signal. The risk of the aggregate strategy has stands at around 8% annualised volatility.
