IGM G10 FX Playbook Stacked Indicators Approach

Strategy Introduction

IGM’s Stacked Indicators Approach is a proprietary strategy that incorporates the use of multiple (or "stacked“) technical indicators to generate trading signals. It seeks to profit from sustained trends in FX pairs whilst allowing for -term mean-reversion trades when opportunities arise.

Sample Stacked Indicators Approach price action & trade signal chart.

Included Technical Indicators IGM’s Stacked Indicators Approach utilizes the following technical indicators in its trade signal generation process: • Moving Averages – The relative positions of two moving price averages, one short-term and one - term, denote the current directional trend of the FX pair. • Bollinger Bands – The FX pair’s spot price relative to -derived Bollinger Bands provides cues to potential short-term mean reversion trades. • Index – The FX pair’s Relative Strength Index (RSI) readings indicate when an FX pair is overbought or oversold, relative states which set the stage for potential short-term reversion trades.

Uses of the Approach • Glean insights on current and prospective G10 FX pair moves from a pure price action perspective. • Keep abreast of G10 FX price developments and potential trade opportunities signalled by our chosen key technical indicators. • Observe, track, and evaluate the efficacy of price-based trading strategies in ever-evolving market conditions across G10 FX pairs and over time.

financialintelligence.informa.com/igm-fx IGM G10 FX Playbook Profile Based Approach

Strategy Introduction

A strategy that taps upon composite indices constructed based on well-known currency pair profiles to generate trading signals. It seeks to profit from shifts in the composite indices, shifts which are interpreted as changes in the prospects of the corresponding FX pairs.

Sample Profile Based Approach price action & trade signal chart. Sample commodity sub-index chart.

Possible G10 FX Dimensions

Where price developments in commodities relevant to certain G10 currencies are Commodity-Based considered. Where the effects of broad equity on certain G10 currencies are Sentiment-Based considered. Where the effects of recent USD on certain G10 currencies are USD Momentum-Based considered.

Peer-Based Where the effects of currency peers of certain G10 currencies are considered.

Uses of the Approach • Take a multi-dimensional approach to the analysis of G10 currencies and keep connected with potential trade opportunities signalled by such an approach. • Keep abreast of major developments in the commodities and equity sentiment space and how such developments may impact G10 currencies. • Observe, track, and evaluate the efficacy of profile-based trading strategies in ever-evolving market conditions across G10 FX pairs and over time.

financialintelligence.informa.com/igm-fx IGM G10 FX Playbook Implied Sentiment Approach

Strategy Introduction

The Implied Sentiment Approach is a proprietary strategy that utilizes market sentiment derived from option implied volatilities of FX pairs to generate trading signals. It seeks to profit from relative shifts in risk reversal readings, shifts which are interpreted as changes in FX pair sentiment.

A 3D visualization of G10 FX pair implied volatilities. Sample Implied Sentiment Approach price action & trade signal chart. Uses of the Approach • Stay up to date on G10 FX developments and potential trade opportunities from a sentimental perspective based on option implied volatilities. • Observe, track, and evaluate the efficacy of implied volatility-based trading strategies in ever-evolving market conditions across G10 FX pairs and over time. What is a Risk Reversal?

Long Call Payoff, Strike Price (K) = 4 Risk Reversal Payoff 15 2 Strike Price (K) = 5 (Put) and 15 (Call) 0 4 -2 2 0 5 10 15 20 0 Short Put Payoff, Strike Price (K) = 2 5 -2Payoff 0 -2 -4 -4 0 5 10 15 20 0 5 10 15 20 Underlying Price

• A risk reversal is an option strategy that can be implemented by buying an out-of-the-money call and selling an out-of-the-money put. • The risk reversal, when quoted as the difference between the implied volatility of a call option and that of a put option with the same underlying, time to maturity, and delta can be seen as a measure of the relative demand of the currency pair.

financialintelligence.informa.com/igm-fx IGM G10 FX Playbook Flow Factor Based Approach

Strategy Introduction

A strategy that leverages FX flow factor readings inferred from proprietary EPFR fund flows data to generate trading signals. It seeks to profit from shifts in the spreads of the inferred FX flow factors, shifts which are interpreted as changes in FX pair market interest.

Fund-Level Data Country Flows AUM Allocations

Frequency Daily Daily Monthly

Lag 2 Days 2 Days 1 Month

Granularity Fund Level Fund Level Fund Level

Notation 푓푙표푤푓푢푛푑푗,푡 퐴푈푀푓푢푛푑푗,푡 푤푓푢푛푑푗,푐푛푡푟푦푖,푡 Sample Flow Factor Based Approach price action & trade signal chart.

FX Flow Factor Inference Process

Daily Country Flow Daily Country AUM

푁푡 푁푡

푓푙표푤푐푛푡푟푦푖,푡 = ෍ 푤푓푢푛푑푗,푐푛푡푟푦푖,푡 × 푓푙표푤푓푢푛푑푗,푡 퐴푈푀푐푛푡푟푦푖,푡 = ෍ 푤푓푢푛푑푗,푐푛푡푟푦푖,푡 × 퐴푈푀푓푢푛푑푗,푡 푗=1 푗=1

Daily 푓푙표푤푐푛푡푟푦푖,푡 Percentage FX 푝푒푟푓푙표푤퐹푋푖,푡 = × 100 퐴푈푀푐푛푡푟푦 ,푡 Flow Factor 푖

Daily Rolling 푇 푝푒푟푓푙표푤퐹푋 ,푡 Percentage FX 푟표푙푙푖푛푔푝푒푟푓푙표푤 = ෑ 1 + 푖 − 1 × 100 퐹푋푖,푡,푇 100 Flow Factor 푡

Uses of the Approach • Obtain exclusive access to regular deep-dive analysis and potential G10 FX trade opportunities based on proprietary EPFR fund flows data. • Observe, track, and benefit from proprietary data-based trading strategies in an ever-evolving G10 FX market environment. financialintelligence.informa.com/igm-fx IGM G10 FX Playbook Economic Indicators Approach

Strategy Introduction

The Economic Indicators Approach is a proprietary strategy that uses composite indices constructed from pre- selected economic indicators to generate trading signals. It seeks to profit from relative shifts in the composite indices, shifts which are interpreted as changes in the underlying economic situation represented by the composites

Sample Economic Indicators Approach price action & trade signal chart.

Included Economic Indicators

GDP The value of all finished goods and services produced in an economy. Industrial Production The value of the output of the industrial sector of an economy. Retail Sales The value of the sales of consumer goods and services within an economy. Consumer Prices The weighted average price level of a fixed basket of consumer goods and services. Unemployment Rate The unemployed people in an economy as a percentage of the labour force. The interest rate which a central bank manipulates in order to effect its monetary Central Bank Rate policy. Sovereign Spread The yield difference between short-term and long-term sovereign bonds.

Uses of the Approach • Keep updated on economic developments relevant to the G10 FX space and on potential trade opportunities arising from such developments. • Observe, track, and evaluate the efficacy of economic indicator-based trading strategies in ever-evolving market conditions across G10 FX pairs and over time.

financialintelligence.informa.com/igm-fx IGM G10 FX Playbook Daily Strategy Wrap

Strategy Introduction

Subscribers to IGM’s G10 FX Strategy Playbook will receive, on top of five daily strategy-specific reports, a Daily Strategy Wrap. The Daily Strategy Wrap provides a one-stop summary of key developments pertaining to the five strategies included in IGM’s G10 FX Strategy Playbook.

Sample commentary page from the Daily Strategy Wrap.

Sample strategy summary page from the Daily Strategy Wrap. Sample strategy trade signals page from the Daily Strategy Wrap.

Uses of the Daily Strategy Wrap • Obtain regular succinct summaries of major developments occurring within the G10 FX space. • Keep up to date with interesting insights and potential G10 FX implications gleaned from IGM’s five proprietary G10 FX strategies. • Observe, track, and compare the generated trade signals and performances of IGM’s five proprietary strategies.

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