D FX Strategy Research discusses the data on G10FX from the positioning proxies for trending following CTA performance via a model tracking the 20d rolling beta (log change) of G10 and CTA performance.
"The final chart shows the results, which suggest a modest short exposure to the BDXY. It looks as if CTAs have unloaded some long exposure over the past month. Still, the chart suggests little bias in the $…
Most important is likely the change in the signal, with the market cutting short exposure to the EUR and JPY and adding exposure to AUD and SEK. NZD has seen the biggest shift with CTAs likely flat from extreme long exposure last month," TD notes.
Source: TD Securities ResearchOriginal Article
