The Cable FX Macro G10FX Composite Model finished the month posting a -0.9% return, this was off its worst levels. The Carry and Volatility factors both underperformed, the latter had seen positive returns during the first week of February before declining
On the upside, we saw momentum and spread factors outperforming the composite. Spread finished higher by 1.2%, momentum ended up by 0.5%, off its best levels
While our comparative assessment ranks the G10 vs the dollar, if we take our positive/negative model signals, a marginal outperformance was captured. The main outlier was SEK, which surprised to the upside, the biggest downside surprise was AUD long. However, only SEK is captured by the actual composite performance as it aims to hold the strongest upside/downside signals
February comes to record the worst month of Q1 2023 for the G10FX Composite Model as it follows a +1.3% from January and the March month-to-date is currently recording a +2.9% rise. If we were to close here, March will stand as the best month of Q1 for our composite model. We will keep you updated.
Cable FX Macro G10FX Composite model is made of equal weighted scores from volatility, carry and momentum factors. For access to our baskets, subscribe at cablefxm.co.uk/members or reach us at contact@cablefxm.co.uk for more information
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