📊 Momentum Factor Recovers From Earlier Losses: Cable FX Macro

• The equal-weight long GBP & JPY / short CHF & EUR book is posting a modest +32.2 bp month-to-date gain. Performance has been driven by the EUR shorts, which more than offset the drag from the CHF legs.

• The factor’s edge has come almost entirely from EUR weakness versus both sterling and the yen. CHF relative strength has been the clear headwind, particularly in the JPY/CHF leg.

• Beta to VIX stands at −1.6 bp per point (OLS on daily basket P&L vs ΔVIX, n=40 sessions: 22 pre-October + 18 MTD). A negative beta indicates the book has tended to underperform on volatility spikes over the sample window.