Which Currencies Are Scoring Big On Morgan Stanley's FX Tracker?

Morgan Stanley analyst Charles Rubenfeld released a report this week focusing on the current forex environment. The report included the most recent currency scores on the firm’s FX Positioning Tracker.

The Numbers

According to this week’s tracker, the Swedish Krona (SEK) is the top currency to own at the moment, but the tracker is also currently bullish on the U.S. dollar (USD), the Norwegian krone (NOK) and the British pound (GBP). The only two currencies that registered a bearish score this week were the euro (EUR) and the Canadian dollar (CAD) , both of which registered a tracker score of -3, barely inside the “short” rage.

The Breakdown

In terms of the score components, several currencies showed some extreme scores this week. According to Morgan Stanley’s internal flow data, money has been pouring into the USD, the CAD and the New Zealand Dollar (NZD) and pouring out of the GBP.

Despite the strong internal flow data, the U.S. CFTC’s IMM data on non-commercial traders is extremely bearish on the NZD right now.

The USD and the GBP both have bullish scores when it comes to the one-month rolling betas of global macro hedge funds’ daily returns on major currency indices.

Finally, the USD and the GBP currently hold the most bullish market sentiment, while the CAD, the Australian dollar (AUD) and the Swiss franc (CHF) all have the lowest sentiment scores.

Positioning

According to Rubenfeld, mixed flows are keeping the EUR in short territory for now. Morgan Stanley’s largest shorts are currently in the EUR and CAD, and the largest long is in the USD.