Cable FX Macro July G10FX Compo posted mixed performances in the top/bottom rankers. The model favoured CAD and USD long, while it turned further short JPY and SEK. The long signals performed for the month, while the yen and the krona ended the period positive, paring losses seen in the first half of July. The broad signal vs actual spot FX % July return finished with an R^2 of 0.27, this is way lower than June's 0.48
On the long side, CAD was mostly favoured by the volatility factor, USD was the top ranker in the momentum factor for July. On the short side of the signals, JPY was mostly dragged by the volatility and momentum factors, SEK was the bottom ranker in the carry factor
Intra-month performance saw the composite reaching a high going into the second half of July. A combination of a dollar pullback and JPY, SEK paring losses sent the composite to finish down. Our top performing basket was the carry factor, momentum bottomed in July
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