DAVOS_AUDJPY

In December, the word was spreading that carry trades were back. Tenants of this thesis had in mind the nice rally of AUDJPY, which gained almost 10 full figures in 3 weeks.
Davos (Dynamically Adjustable VOlalitilty Strategy) captured a good part of the move (see green bars between Dec 24th and Jan 12th), without taking into consideration any interest rate differential.
A severe correction of this move has occured in January, without any change in the carry scenario
Davos trades in the direction of the short-term trend, with an horizon as short as 48 hours. The current short trade (see red bars since Jan 15th) has been initiated at 84.20.
The bottom part of the chart shows the month-to-date contribution (in basis points) of AUDJPY to the global portfolio.