The September factor performance saw the carry basket lead the rest of the models as it finished the month at its best levels, up 2.2%. Carry traded choppy at the beginning of the month, the worst decline recorded a -0.4%, however, losses were pared quickly
Volatility and momentum posted losses on the month, the former sees a reversal from August gains. The volatility factor finished the month down 3.2%, the carry/vol divergence is in line with our historical data
The G10FX Cable FX Macro composite closed the month with marginal gains of 0.3%, the factor blend gave back some ground as it posted gains of 1.0% early in the month. Our composite model has seen losses only two months this year, in February and June.
Comments