September has been very busy, personally and in financial markets, so I did not have the chance to post the model results earlier. As usual, model results (left, bars) vs G10FX spot month-to-date performance (right, squares)
The top rankings look similar to last month's, however, the dollar is losing strength across factors, and now it is accompanied by AUD with a mere 0.50 long signal (last month, all currencies were negative ex. USD)
Dollar was mostly favoured by momentum, while carry and volatility factors supported the composite marginally. AUD came in weighted by the vol factor, but ranked the highest in the G10 for carry
SEK and JPY bottomed the rankings, both posted negative signals across the three factors, SEK bottomed the carts for carry and volatility
Month-to-date FX spot returns to model signals R^2 at 0.11
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