Morgan Stanley FX positioning Tracker
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Foreign Exchange

Morgan Stanley FX positioning Tracker

Morgan Stanley launched a new FX positioning index in late September, which tracks G10 currencies. EuromoneyFXnews will report timely updates to Morgan Stanley’s positioning tracker to compliment our covering of the CFTC’s weekly IMM data as well as other positioning metrics.

Using six separate positioning indicators, Morgan Stanley’s index captures a broad range of market participants and is updated on a twice weekly basis. The underlying positioning indicators are: MS Flow – Morgan Stanley’s flow data tracks all spot and forward trades transacted by Morgan Stanley FX globally. The bank’s clients include some of the world’s largest hedge funds, commodity trading advisers, real money funds, reserve managers and corporate.

IMM – The Commodity Futures Trading Commission’s IMM report that tracks positioning of non-commercial traders.

Toshin – The Toshin accounts are Japanese foreign currency investment trusts that seek yield abroad. They typically cater to retail investors and offer higher returns by investing in foreign assets on a currency un-hedged basis.

Tokyo Financial Exchange – The TFX measures Japanese currency trading on marging accounts and comprises and estimated 10% of retail margin market.

Beta – As an alternative proxy for positioning, Morgan Stanley’s Beta-tracker measures one-month rolling betas of currency managers’ and global macro hedge funds’ daily returns on major currency indices. This serves as a useful measures because intuitively, should global macro hedge funds increase their positioning in USD for example, then their daily returns should correlate more highly with the price action of dollars, and vice versa.

Sentiment – The Daily Sentiment Index, initiated in 1987 gathers opinions on all active US futures, eurozone interest rates, and eurozone equities futures markets. The index reports the percentage of bullish readings of those surveyed.

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