📊Volatility Factor Leads In October: Cable FX Macro

• The volatility factor led gains in October trading at 2.2%, the basket finished at the best levels in the month. The model is starting 3Q on a better footing, the second quarter recorded an average monthly performance of -0.73%, September posted a loss of -3.20%

• Our model composite recovered into the end of the month to finish up by 0.60%, the marginal gain came after spending most of October flat. End of month trading saw sharp losses in yen crosses, this supported the G10FX composite model

• As expected, the carry factor underperformed, this is in line with historical data. Volatility and carry factors usually trade inverted