An important note on investor positioning from Steven Englander:
We continue to be stuck at how poor investor returns have been so far in October, whether in FX or more broadly among macro investors. This poor return trend continued over the last week. CitiFX Access’ investable BarclayHedge BTOP FX, the Parker Global Currency Manager (PGS CMI) and the weekly DJCS macro hedge fund index all tell a similar story of poor returns MTD in October, with October’s negative returns having undermined much of the gains of late August and September. Positioning is probably not a complete explanation for the rally in risk and robustness of the euro, but it probably goes a long way to explain why risk-correlated assets have rallied despite the dismal mood in markets.