💱📊Momentum Factor Supported Despite Risks: Cable FX Macro

• Our own momentum factor is holding gains in the month of March. The basket is a diversified carry expression as it holds long aussie, kiwi and franc. On the short side of the equation, we have the dollar, the yen, and the euro.

• Momentum is doing justice to its past record of outperformance to other strategies, despite the spike in risk premiums, which I would have expected to hurt the kiwi and aussie longs. Shorting the yen and the euro and long Aussie have been the largest contributors to the basket so far. (check AUD/JPY and EUR/AUD for visual guidance).

• It remains to be seen if the bottom-ranking USD catches down later in the month. We have seen evidence that the position is no longer stretched in USD shorts, meaning that an eventual ease in Middle East tensions could push the dollar lower.