📊💱Carry Outperforms All Factors In January: Cable FX Macro
- Rosbel Durán
- Feb 26
- 1 min read
A factor that targets selling low yielding and buying high yielding currencies rose 0.8% on the month, this was the only basket to post gains on the month. The carry factor held long antipodes vs SEK and CHF.
The largest underperformer was the Spread basket, down a little over 1.0% on the month. This factor is part of the G10FX composite model, given its nature and calculation.
A model composite of volatility, momentum, and carry dropped 0.3% on the month, the marginal losses follow 10/12 positive months in 2024.
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