Since our last update, we have seen GBP's beta to volatility rise significantly. The 6-month daily return B is now ranking the as second highest in the G10FX at -3.3, prev. -1.5
In other words, spikes in the volatility benchmark will most likely drag GBP lower vs positive beta currencies like the dollar and the yen
We had previously celebrated the yen's comeback of its safe haven behaviour as it ranked top in the positive Bs, however, its sensitivity was diminished in the most recent update while the dollar's increased
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