The latest weekly update from Deutsche Bank, in summary. It concludes:
- Relative monetary policy expectations are very highly positively correlated to G10 FX
- Which explains the outperformance of AUD, CAD and GBP compared with SEK, EUR and CHF
They say:
- “Carry is also positively correlated to currency performance while in this low volatility backdrop, fundamental flows (measured by current account) have a strong negative correlation to G10 FX”
- Volatility remains very, very low
- “There is little to be gained from momentum strategies.”
