Societe Generale's FX Quant Fund which runs systematic currency strategies by SocGen's quant analysts.
The SG FX Enhanced Risk Premia strategy has continued to keep a
long dollar position during the week and has also increased the long
position in the EUR and the short allocation to highbeta G10 currencies.
The biggest longs are the USD, the EUR and the JPY. The most sizeable
shorts are the NOK, the NZD and the AUD. The long positions on GBP/USD
and USD/NOK and the short positions on AUD/USD and NZD/USD are the USD
crosses with the strongest combined momentum and IR-driven FX signals.
The static SG Sentiment indicator remains in the risk-averse area.
Based on the adaptive (tailored) version of the sentiment indicators and
the relevant time-series signals, we maintain a prudent approach
towards FX carry strategies: we have a long exposure to the Asia carry
basket and short exposures to the G10 and CEEMEA&LATAM carry
baskets.
The risk of the aggregate strategy remained conservative and stands
slightly above 7% annualised volatility. The strategy has been
profitable during the week at +2.7%, while the return for the month of
August so far has been sizeable at +3.4%.
