Our FX Carry Model Based on Rates Momentum Up +19.6% YTD
- By Bilal Hafeez and Ben Ford
- 2 min read
Market Implications
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- 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.
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- 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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