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 main change in the overall positioning of the SG FX Enhanced Risk Premia strategy is an increase in short SEK positions. The biggest long remains the NZD, followed by the CAD, GBP and TWD. The most sizeable shorts are now the SEK, JPY, USD, EUR and NOK.
The long positions in USD/SEK, USD/NOK, GBP/USD and NZD/USD 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 declined to the risk-neutral zone but has remained above the risk-aversion area. We remain long carry in G10 and EM, utilising 100% of the risk limits, whereas the Asian carry basket remains closed.
The risk of the aggregate strategy is above the average target and stands at around 17% annualised volatility. The strategy generated +0.98% over the week and is so far up in July by +2.2%.
