Societe Generale SA (ADR) (OTCMKTS:SCGLY) (EPA:GLE) in a recent report updated the Adaptive Sentiment Indicator for – H1 2013 performance. They show values of the adaptive indicators for the FX, commodities and equity asset classes, together with an update of the filtered performances for the different asset classes and Cross-asset filtering was a winner.
In FX, the cross-asset filtering approach has worked well so far in 2013
As we see from the chart below, passive FX carry trade strategies in different regions have not performed particularly well. The Cross-asset approach has helped to improve the 2013 performance, especially in the case of the G10 carry trade index.
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