Citi maintained most of the positions in its overlay portfolio for the coming week with only adding more downside JPY exposure and NOK upside as an offset.
"This week one of the notable themes has been Yen depreciation. No specific catalyst caused the initial move, but weaker than expected trade data, and technicals have most likely intensified the selling. We expect Yen selling to continue and have therefore decreased our positioning by 5 (now -10)," Citi clarifies.
"We see some upside risks for NOK, as resilient risk sentiment and a less dovish Norges Bank alleviate concerns over weak external economic activity," Citi adds.
Citi's portfolio’s rolling one-year return is -0.46% while its annualized volatility of daily returns on a rolling one-year basis comes in at 2.89%.
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