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09 August 2023 FX

Classic FX Carry Underperforms as Risk Appetite Soured

Bilal Hafeez

By Bilal Hafeez and Ben Ford
2 min read

Market Implications

- Our FX carry models are supportive of Bert’s view to remain in the LatAm FX carry trade. They also signal CHF to trade lower. Ben believes EUR/CHF can trade higher in the coming months.
- Meanwhile, our momentum carry strategies are bearish JPY. Bilal is focusing on EUR/JPY, which is currently 60% overvalued on a simple PPP basis.

Market Implications

- Our FX carry models are supportive of Bert’s view to remain in the LatAm FX carry trade. They also signal CHF to trade lower. Ben believes EUR/CHF can trade higher in the coming months.
- Meanwhile, our momentum carry strategies are bearish JPY. Bilal is focusing on EUR/JPY, which is currently 60% overvalued on a simple PPP basis.

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