Figure 10 highlights relative positioning in a favored carry structure, relative to spot, which does indeed suggest that positioning will have fallen by about that much. That is larger than the drawdown in our carry total return strategies shown (approx. ~one-tenth of cumulative PnL since 2023), which stands to reason given the more diversified nature of broader carry baskets. The impact has likely been amplified given some evidence that suggests that macro HFs/CTAs have increased their exposure to the strategy overall in recent months; HF returns (HFRXM) WTD have indeed fallen despite equities being up on the week, for instance. - J.P. Morgan FX Strategy
Comentários