⚠️💱Low Vol Currencies Outperform In 2023: Cable FX Macro

• Last year, we saw FX implied vols drop while the J.P. Morgan FX Volatility Index declined to 8.10% from 10.60% at the beginning of 2023. The drop in implied vol can be attributed to narrower realized vols

• When comparing historical volatility and FX returns, we notice lower-vol currencies outperforming higher-vol. This makes sense as the broad cross-asset theme saw a risk-on trade

• However, given the historical FX/Vol betas, it is still puzzling to see CHF outperform antipodes on a low-vol regime