Backtests

Our FX Edge is generalizable across DM and EM currencies. We show a simple long/short strategy of the top 3 pairs, where each new position is held for 1 year. The global version is able to pick up large amounts of carry (in EM) while limiting spot losses. The DM version ends up profiting mostly from spot moves while capturing some carry over time.

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Resources

White Paper: Occam’s Razor to FX: The Cyclical / Structural Framework↗

"Carry and valuations are key FX drivers; however, by including the capital cycle, current account, fiscal policy, and credit growth, we offset the shortcomings of carry and valuations."

Case Study: Dec 2023 - Disinflation consensus creates contrarian long GBP opportunity↗

“Our 12m forward FX edge model is generating a long signal on GBP. The GBP is a contrarian long utilizing our previously flagged Mundell-Fleming framework."

Case Study: Nov 2023 - FX: USD cyclically biased higher↗

“Our FX edge models still foresee a higher USD. The diffusion and average of our G10 FX edge models vs USD are all bullish on the USD.”

Scale: 0-100 | Trigger Threshold: <35 (short), >65 (long) | Coverage: 50+ Currency pairs

What is it?

Why use it?

How to use it?

Set up Alert Preferences↗

FX Chart Collections↗

Data / API↗

Backtests

Resources

White Paper: Occam’s Razor to FX: The Cyclical / Structural Framework↗

Case Study: Dec 2023 - Disinflation consensus creates contrarian long GBP opportunity↗

Case Study: Nov 2023 - FX: USD cyclically biased higher↗