04 October 2010 at 9:40 GMT
- The model returned -0.80% in September through heavy short exposure to EURCHF.
- The model is bearish on all three reference currencies; the USD, the EUR, and the GBP.
- The model has returned 8.12% YTD.
- The annualised return since inception is 8.86%.
Allocation in October
The Forex Portfolio is now mainly negative towards the USD and to a lesser degree towards the GBP. The three reference currencies have made a comeback in the model portfolios with substantial reductions in the net short position for all three.
The biggest long positions in EUR are against the US dollar, the Norwegian krone, and the Kiwi. The EURUSD long allocation has been vastly increased and is now three times the size of the September allocation.
The previously very big short position in EURCHF has been reduced significantly though it is still the second most favoured currency against the EUR. The top spot is now inhabited by the Swedish krona.
The Japanese yen is expected to outperform according to the model, which is again increasing the short positions in EURJPY, USDJPY, and GBPJPY.
Download the FX portfolio report here
Download the FX portfolio model's allocations here