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  1. Momentum Models Turn Bearish JGBs Following BoJ Talk

    Ben Ford

    Summary Momentum models declined -0.3% over the past week. Poor rates (-1.0% WoW) and FX (-0.2% WoW) outweighed a positive equity (+0.7% WoW) outing. Equity momentum models remain the best-performing model over a three-month timeframe (+6.9%). Market Implications Momentum models are bearish EUR/USD and bullish GBP/USD – we have closed our long USD trades. They […]

  2. Markets to Watch: Watch Out For ‘More Good’ Jobs Data

    Bilal Hafeez, Viresh Kanabar

    Summary In the US, Powell’s congressional testimony (Wednesday) will likely stress the need for more good inflation data before the Fed can cut. Nonfarm payrolls and wages (Friday) are likely to surprise on the upside. In Europe, the ECB should keep rates steady on Thursday but revise forecasts. We still expect a June cut at […]

  3. Momentum Models Turn Bullish on EUR/USD and GBP/USD

    Ben Ford

    Summary Momentum models gained +0.3% over the past week. Equities fared best (+1.6% WoW), while rates (+0.0%) and FX (-0.1% WoW) underperformed. Equity momentum models remain the best-performing model over a three-month timeframe (+7.0%). Market Implications Momentum models are bullish EUR/USD – we are short – and bullish EUR/CHF – we are long. They are […]

  1. Momentum Model UST Bearishness Increases

    Ben Ford

    When evaluating the performance of our momentum models we are considering the average performance across the one-, three-, and 12-month momentum models. Summary Momentum models moved sideways over the past week. Equities fared best (+0.3% WoW), then rates (+0.1%). FX (-0.2% WoW) underperformed. Equity momentum models remain the best-performing model over a three-month timeframe (+5.5%). […]

  2. Momentum Models Turn Heavily Bullish USD/JPY

    Ben Ford

    When evaluating the performance of our momentum models we are considering the average performance across the one-, three-, and 12-month momentum models. Summary Momentum models added to last week’s gains, up +0.4% WoW. Equities fared best (+1.2% WoW), then rates (+0.3% WoW) and FX (+0.1% WoW). Equity momentum models are the only positively performing model […]

  3. Momentum Models Add to EUR/USD Bearishness

    Ben Ford

    When evaluating the performance of our momentum models we are considering the average performance across the one-, three-, and 12-month momentum models. Summary Momentum models reversed last week’s losses, up +0.2% WoW. Equities fared best (+0.4% WoW), then rates (+0.2% WoW). Equity momentum models are the only positively performing model over a three-month timeframe (+4.8%). […]

Markets to Watch: Will the Fed React to CPI Revisions?

Bilal Hafeez, Viresh Kanabar

Summary In the US, Friday brings seasonal factor revisions to the CPI. These could impact the path of the FFR. Currently Powell seems set on no rate cut in March. Europe and the UK hear from central bank policymakers and see several key surveys updated, including the services PMIs. Elsewhere, a slew of central bank […]

Momentum Models Turn Heavily Bullish GBP/USD – We Disagree

Ben Ford, Bilal Hafeez

When evaluating the performance of our momentum models we are considering the average performance across the one-, three-, and 12-month momentum models. Summary Momentum models reversed last week’s gains as they declined -0.2% over the past week. Rates fared worst (-0.4% WoW), while equities followed (-0.2% WoW). Equity momentum models are the only positively performing […]

  1. Markets to Watch: Bonds Beware as QRA Emerges

    Bilal Hafeez, Viresh Kanabar

    Summary In the US, the Fed meets on Wednesday. We expect them to hold rates steady while preparing markets for a cut in March. In the UK, the BoE will likely hold rates unchanged on Thursday, taking a more dovish profile in the near term. January CPI is the main release of the week for […]

  2. Momentum Models Pare USD/JPY Bullishness

    Ben Ford, Bilal Hafeez

    When evaluating the performance of our momentum models we are considering the average performance across the one-, three-, and 12-month momentum models. Summary Momentum models inched +0.2% higher over the past week as equities outshone mixed outings in rates and FX. Equity momentum models are the only positively performing model over a three-month timeframe (+4.0%). […]

  3. Markets to Watch: PCE to Push Fed Into 50bp in March?

    Bilal Hafeez, Viresh Kanabar

    Summary In the US, we expect core PCE at 15bp on Friday. That would drop the figure below the Fed’s 2% target and increase ‘lowflation’ risks. Dominique still expects a 50bp Fed cut in March. The ECB should leave rates unchanged on Thursday. We see the first cut in June. In the $-bloc, the NAB […]

Momentum Models Flip Bearish on US 10Y, Bunds, and Gilts

Ben Ford, Bilal Hafeez

Summary Momentum models inched +0.1% higher over the past week, with equities offsetting a poor outing in FX and rates. Equity momentum models are the only positively performing model over a three-month timeframe (+3.7%). Rates (-1.1%) and FX models (-0.1%) have struggled. Market Implications Momentum models are signalling US 5s10s steepening, a trade Mustafa has […]

Momentum Models Remain Bullish Bonds, Now Signal FTSE Underperformance

Ben Ford, Bilal Hafeez

Summary Momentum models declined 0.5% over the past week as the recent rate and equity bid reversed. FX models also underperformed. Equity momentum models are the only positive performing model over a three-month timeframe (+1.4%). Rates (-1.2%) and FX models (-0.8%) have struggled. Market Implications Momentum models remain bullish on bonds. Our PCA model sees […]

  1. CTAs Turn Bullish US Rates Following Dovish December Fed

    Ben Ford, Bilal Hafeez

    When evaluating the performance of our momentum models we are considering the average performance across the one-, three-, and 12-month momentum models. Summary Momentum models edged higher over the past week as gains in equity momentum models (+0.8% WoW) were hampered by FX. Equity momentum models are the best-performing models over a three-month timeframe (+1.2%). […]

  2. US Rates Sit Close to Bullish CTA Signals

    Ben Ford

    When evaluating the performance of our momentum models we are considering the average performance across the one-, three-, and 12-month momentum models. Summary Momentum models were flat over the past week as gains in equity momentum models (+0.2% WoW) were offset by rates. Rates momentum models are the best-performing models over a three-month timeframe (+1.4%). […]

  3. Ep. 192: Yesha Yadav on Crypto Bankruptcies, Stablecoin, and Treasury Market Issues

    Bilal Hafeez

    Greg Lippmann is the Managing Founding Partner and the Chief Investment Officer of the $9.8bn asset management firm, LibreMax.

CTAs Could Ignite Further UST Bullishness

Ben Ford

When evaluating the performance of our momentum models we are considering the average performance across the one-, three-, and 12-month momentum models. Summary Momentum models were flat over the past week as gains in equity momentum models (+0.2% WoW) were offset by rates. Rates momentum models are the best-performing models over a three-month timeframe (+1.4%). […]

QT to Continue Through 2024

Dominique Dwor-Frecaut

Summary My February expectation that QT would end in 2023 H2 did not happen due to: Slower bank loan growth. Increased Fed lending to banks after the spring bankruptcies. Tight money market liquidity that reduced use of the Fed RRP facility by MMFs. I do not expect these events to repeat in 2024; in particular, […]

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