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Open Trades
- Short German 10Y – read here.
- We have been bearish core-EGBs since mid-October. The market has moved against us since then. If the European Central Bank (ECB) forecasts come out as hawkish as we expect there is strong room for upside – read Henry’s ECB preview. If not, we will reassess our position.
- EMFX RV
- Long THB/TWD – read here.
- EM Curve flattening
- Receive 1s5s MYR IRS – read here.
- Short USD/CLP – read here.
- Long Hang Seng – read here.
Closed Trades
- Long SGD/CNH (9 December 2022)
- We take profit on this long-running and popular cross. With China re-opening, it is not obvious that CNH will be underperforming the rest of Asia if, or once, exporters decide to hedge some of their hoarded dollars. For SGD, with the FOMC coming to the end of its hiking cycle, it is not obvious that the MAS will tighten further in its April meeting. We will review this trade in the new year, depending on how Singapore inflation further develops.
Since its inception, our portfolio is up an annualised 11.7% with a Sharpe ratio of 1.8 (Chart 1, Table 2). Our largest risk positions (VaR) are in rates, followed by equities and then FX. The P&L are paper returns, so are likely overstated compared to a real invested portfolio.