The following are the latest weekly positions updates on Societe Generale’s FX Quant Fund which runs systematic currency strategies by SocGen’s quant analysts.
The SG FX Enhanced Risk Premia strategy has maintained its pro-risk positioning this week. The biggest longs are the NZD, CAD, GBP and AUD. The most sizeable shorts are JPY, EUR, USD, NOK and SEK.
Over the week the strategy has increased its long CAD position and its short NOK and SEK positions. The long positions in USD/NOK and USD/SEK are the USD crosses with the highest combined momentum and IR-driven FX signals among the G10 currencies.
Over the course of the week, the SG Sentiment Indicator has stayed in or near the risk-seeking zone.
We remain long carry in G10 and EM, utilising 100% of the risk limits. The Asian carry basket has remained closed.
