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📊Cable FX Macro March G10FX Composite Model Records Best Month In Q1

  • The Cable FX Macro G10FX Composite model finished the month up 2.6%, off from the highs of 2.7%, this was the best performance for the model in the quarter

  • Momentum and volatility outperformed carry and spread factors, the momentum factor posted gains every single month in Q1

  • The divergence between momentum and spread worked in line with historical data, we expect to see these baskets negatively correlated

  • The strongest March signals in the model were long EUR and GBP vs short NOK and SEK. The largest upside surprise was CHF, which the model was neutral on but took the leadership in spot.

  • Our model to spot R^2 for March was very weak when compared to previous months. If we take out the upside/downside surprises which were mostly found in neutral signals, we end up with a 0.22

  • 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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