Article / 01 April 2014 at 11:17 GMT

Saxo FX carry trade portfolios: Turkish lira powers comeback

Head of Macro Strategy / Saxo Bank

• Our tracking portfolio shows return of 6.2 percent
• Turkish lira up 4 percent against US dollar
• South African rand and Mexican peso gained

Performance: Our tracking portfolio* recorded its best-ever performance in the two weeks ending today with a return of no less than 6.2 percent. The sharp comeback in performance comes after a loss of 0.6 percent a couple of weeks ago and was driven mainly by the Turkish lira, which rose 4 percent against the US dollar on a carry-adjusted basis. USDTRY was not alone in securing the strong performance of the portfolio, however, as the South African rand and Mexican peso also gained. USDJPY also contributed positively to performance and thus only USDCHF and EURUSD contributed negatively, and not by much.

Source: Bloomberg, Saxo Bank

Despite the impressive performance in the recent bi-weekly period, the cumulative return remains weak at -8.7 percent while the drawdown from the November peak is slightly larger at -8.9 percent.

Portfolio: There are no changes to the two USD-denominated portfolios, i.e. the narrower G10 Carry portfolio and the broader World Carry portfolio (which we track directly using 2 x leverage).

USD portfolios  

Neither are there any changes to the two EUR-denominated portfolios.

EUR portfolios

An excel spreadsheet is attached to help you calculate positions. The next portfolio update will take place on April 15 at 14.00 CET.

 * USD-denominated World Carry portfolio at 2 x leverage.

Download document

FX Carry Positions.xlsx


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