📊💱Carry Factor Rebounds And Leads In September: Cable FX Macro
- Rosbel Durán
- Oct 1, 2024
- 1 min read
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The factor that exploits the divergence between high-yielding and low-yielding currencies was underperforming at the beginning of the month, while momentum outperformed
The carry basket was short franc and the Swedish króna, it targeted antipodes. This mix finished September up 0.8% on a last minute comeback
The worst performing factor was spread, September recorded the basket's largest decline this year. Momentum, volatility and the composite finished higher. The latter rebounded from losses in August
For October, the model is adjusting the carry factor, it now holds the same targets, but it is looking at the JPY and CHF as funding currencies
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