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 has kept the short EUR/USD
position as its biggest bet during the week. The biggest longs are the
USD and AUD. The most sizeable shorts are the EUR and SEK. The short
positi in EUR/USD and the long positions in USD/SEK have remained the
USD crosses with the strongest combined momentum and IR-driven FX
signals.
The static SG Sentiment indicator has stayed in the risk neutral
area. Based on the adaptive (tailored) version of the sentiment
indicators and the relevant time-series signals, we have a long exposure
to G10 carry using the full risk budget and to EM carry using 25%. The
Asian carry basket remains closed.
The risk of the aggregate strategy is close to 8% annualised
volatility. The strategy has been profitable this week, gaining 80bp.
The month-to-date return stands at +1.7%.
