Our records show the volatility factor outperforming the rest of the models in August, this was in line with our expectations heading into the month. A basket holding vol factor signals performed 3.7% on the month, finished off highs of 4.3%
The Cable FX Macro G10 Composite model returned 0.5%, off lows of -0.8%. The basket rebounded from a 1.6% decline recorded in June. So far this year, the composite model has posted two negative months (February and June)
Models signals and actual performance showed an R^2 of 0.18. The largest undershoot was seen in CAD as the model had placed it on top of the group and underperformed to the dollar, however, it finished the month relatively better to the G10. CHF stood in the overshoot side when comparing the level of the composite signal to the actual performance
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