Societe Generale Research Cross-Asset Quant discusses the latest readings form its Systematic Investor Report.
"This year’s best systematic FX strategy has been ‘price correction’ which is a fancy way of saying that when currencies are overshooting, positioning for reversion to the one-month mean is wise. EUR/USD’s 1-month average is currently 1.03, for example, which just highlights how far that pair had travelled by the time it failed to hold below parity.
‘Fair value’ has been the worst-performing systematic strategy this year. Indeed, it would have us be long EUR, GBP and JPY here, and its single strongest signal is long EUR/CHF. The model knows noting of gas supplies and war in Ukraine," SocGen notes.
Perhaps the most interesting current signal is from ‘market expectations’ (derived from relative 1-2y curves). Overall, it has the strongest signal it has ever had, and is bearish AUD, USD and JPY, bullish SEK, NOK, GBP and EUR," SocGen adds.
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