Article / 03 June 2014 at 7:53 GMT

Saxo FX Carry portfolios: South African rand pummels portfolio

Head of Macro Strategy / Saxo Bank
By Mads Koefoed

Performance: The USD-denominated World Carry portfolio, which we track directly, lost 0.8 percent in the seven days ending yesterday, sending performance since inception a bit further into the red at -3.6 percent.


Performance was quite positive outside of the USDZAR position, which on its own did enough damage to send overall performance down. The USDZAR pair gained around 3.1 percent (carry-adjusted) in the previous seven days for a contribution of close to -1 percentage point to the portfolio.


The next performance update will take place on June 10 at 08:00 GMT while the next portfolio update will take place on June 24 at 08:00 GMT.
A spreadsheet has been provided for easy calculation of positions.

— Edited by Clare MacCarthy

Mads Koefoed is head of Macro Strategy at Saxo Bank. Click here for more of Mads' analysis
Mads Koefoed Mads Koefoed
You can follow the live performance of this model here:
fxtime fxtime
Perhaps a G7 carry trade model may be superior? Whilst you have a YTD negative return on the G10 model it is slowly recovering.....may I ask how long you intend to run this project?
Mads Koefoed Mads Koefoed
@fxtime: Certainly. Both G-10 portfolios* (EUR- and USD-denominated) have performed better since inception, but I do not track those live.

I do not know how long I will track it. I may choose to track the equity pair trading publication instead -- or a new strategy. For now, I track the USD-denominated World Carry portfolio.

* Link to intro piece explaining all four portfolios:


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