FX Macro Quant Carry ToT Growth and Fiscal Divergences

J.P. Morgan's FX Macro Quant report highlights the continued performance of carry, fiscal, and commodity ToT themes in G10, while noting a reduction in the USD growth strategy weight to a neutral +40%.

Key Takeaways

• 1.The USD weight in the growth strategy has declined to +40%, signaling a shift from a peak bullish stance to a more neutral position.
• 2.G10 carry strategies have been resilient (+4% return since April), while EM real carry remains the top year-to-date implementation at +6%.
• 3.G10 high beta and high yield currencies, specifically NOK, are benefiting from multiple tailwinds including fiscal strength and commodity terms of trade (ToT) momentum.

Table of Contents

• Growth and USD weight in economic momentum framework
• Growth RV
• FX Valuations
• Single Factor Performance
• Fast T.E.A.M. allocation
• Carry screener

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