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Weekly Futures Momentum Modelsee more…

  1. Equity Momentum Models Continue Outperformance

    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 were flat over the past week as gains in equity momentum models (+0.6% WoW) were offset by FX and rates. Rates momentum models are the best-performing models over a three-month […]

  2. Equity Momentum Models Outperform as USD Turns Lower

    Ben Ford

    Summary Momentum models (-0.3% WoW) added to last week’s losses, although equity momentum models provided a bright spot (+0.3%). Meanwhile, FX (-0.7%) led declines. Rates momentum models are the best-performing models over a three-month timeframe (+0.8%). FX (-0.5%) and equity (-0.9%) struggled. Market Implications Momentum models remain bullish on Gilts, in line with Henry’s view […]

  3. Momentum Models Continue to Underperform

    Ben Ford, Richard Jones

    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 (-0.5% WoW) added to last week’s losses, with rates (-1.2% WoW) leading.  FX momentum models (-0.1% WoW) registered smaller losses. Rates momentum models are the best-performing models over a three-month […]

  1. Momentum Models Reverse Last Week’s Gains

    Bilal Hafeez, 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 (-0.4% WoW) reversed last week’s gains, with rates (-0.8% WoW) FX momentum models (-0.2% WoW) registered smaller losses. Rates momentum models are the best-performing models over a three-month timeframe (+3.0%). […]

  2. Momentum Models Continue Positive Performance

    Bilal Hafeez, 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 (+0.4% WoW) continued their positive performance, with equity models (+0.8% WoW) leading. FX (+0.4% WoW) and rates momentum model (+0.1% WoW) performance was more moderate. Rates momentum models are the […]

  3. Rates Momentum Models Drive Performance Rebound

    Ben Ford, Bilal Hafeez

    Summary Momentum models (+0.8% WoW) reversed last week’s losses, with rates models (+2.1% WoW) leading the effort. FX and equity momentum model performance was far smaller (+0.2% WoW). Rates momentum models are the best-performing models over a three-month timeframe (+5.5%). FX (+0.2%) followed, while equity (-3.3%) struggled. Market Implications Momentum models remain bearish on UK […]

Momentum Models Remain Bearish on UK Rates

Bilal Hafeez, Ben Ford

Momentum models (-0.8% WoW) registered negative returns across FX (-0.4% WoW), rates (-1.4% WoW) and equities (-1.0% WoW). 

Momentum Models Bullish USD But Room to Increase Conviction

Bilal Hafeez, Ben Ford

Rates momentum models (+0.4% WoW) outperformed FX and equity momentum models (-0.1% WoW) over the past week. Rates momentum models are the best-performing models over a three-month time frame (+3.4%). FX (+0.6%) followed while equity (-3.0%) struggled. 

  1. Momentum Models Signal Lower UK Yields

    Bilal Hafeez, Ben Ford

    Momentum models signal lower UK yields. This aligns with Henry’s bias in the front-end of the curve. They also agree with our bearish US rates bias. 

  2. Momentum Models Flag the S&P 500 to Underperform

    Bilal Hafeez, Ben Ford

    Momentum model signals sit in contrast to our view to fade CHF strength. They are also yet to get fully on board with our bullish USD basket trade (vs EUR, CHF and GBP).

  3. Momentum Models Move Max Long S&P While Being Max Short 10Y Treasuries

    Bilal Hafeez, Ben Ford

    Momentum models are moving towards our view that GBP/CAD will trade lower over the next six months. They also back our bias to expect European equities to underperform US equities. 

Momentum Models Suggest the Increase in Yields Is Far From Over!

Bilal Hafeez, Ben Ford

Momentum models are moving towards our view that GBP/CAD will trade lower over the next six months. They also back our bias to expect European equities to underperform US equities.

Momentum Models Flag US Rates to Underperform JGBs

Bilal Hafeez, Ben Ford

Momentum models back our view to be long 10Y JGBs vs 10Y USTs (target: -400bps) and long EUR/CHF. They also back our bias to expect European equities to underperform US equities. They disagree with our view for GBP/CAD to trade lower over the next six months.

  1. Momentum Models Continue to Expect FTSE-100 Underperformance

    Bilal Hafeez, Ben Ford

    Momentum models are supportive of our hawkish views for both the Federal Reserve and European Central Bank. They also support Ben’s view that there is little reason to turn short EUR/SEK yet.

  2. Momentum Models Heavily Bearish on USTs, JGBs, Bunds and Gilts

    Bilal Hafeez, Ben Ford

    Market Implications Momentum models are supportive of our hawkish views for both the Federal Reserve and European Central Bank. They also support Ben’s view that there is little reason to turn short EUR/SEK yet.

  3. Momentum Models Support Long Bund vs UST Trade

    Bilal Hafeez, Ben Ford

    Momentum models support Mustafa and Henry’s view that there is value in being long 10Y Bunds vs USTs. They also support Ben’s view that there is little reason to turn short EUR/SEK yet.

Momentum Models Support Positioning for Dovish BoE

Bilal Hafeez, Ben Ford

Momentum models support Henry’s view that there remains room for relative BoE dovishness versus the ECB and the Fed, which he likes via a 2s10s GBP/EUR box and by being short 1Y1Y US OIS vs 1Y1Y SONIA.

Momentum Models Turn Heavily Bearish on EUR/CHF

Bilal Hafeez, Ben Ford

Momentum models were flat over the past week as gains in rates (+0.4% WoW) were offset by losses in equities (-0.3% WoW) and FX (-0.1% WoW).

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