The dollar traded mixed vs its G10 peers during Q1 of 2023. The greenback rebounded from losses in January to outperform during February, however, gains were given back in March to finish the quarter stronger vs NOK and antipodes but weaker vs EUFX
Interestingly, the FX safe haven status has been passed from the dollar to the yen during 1Q. The yen had weakened into end of February, but pulled back vs the group for most March. Of course, yield differentials and monetary policy expectations played in this exchange of roles
The multi-series chart below shows G10FX relative strength during this period, the GBP (white line) was the strongest while the NOK (red dotted line) was the weakest. The best trade was seen in long GBP and short NOK (long GBP/NOK), which gained 8.9% on the quarter.
We will be updating you with our March factor performance later on, the quarter saw the momentum basket top the rest of our factors. This can literally be seen in the relative strength chart as NOK underperformed since January while GBP was among the top performers from beginning to end. You can save the chart below as 'The G10FX Momentum Anomaly'
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