(from our Tactical from 2nd of June)

We only have one tactical signal this week, a buy on NZD.  The VP Divergence Signal looks at correlations to detect when an asset is trading out of sync with other related global macro assets.  This provides a good short-term proxy for trend exhaustion and is currently flagging the NZD as a buy (chart below).  The NZD has sold off much more than highly correlated assets.

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This corroborates the CoT positioning data (next chart) which shows that speculators are now 20% net short the NZD (net position/open interest).  Over the last few years, such short levels have coincided with bottoms and short-squeezes.

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