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Weekly Futures Momentum Modelsee more…

  1. Weekly Investment View: Trading Around the US Election

    Macro Hive

    This Week Global Macro – Bilal discusses market messaging into the US election. US Macro – Dominique highlights key pieces we have published on the US election. US Rates – Antonio thinks the US elections are neck and neck, and Harris’ chances have been underestimated by markets (why he closed his US rates short last […]

  2. Momentum Returns Consolidate With Rates Outperforming

    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 were flat over the past week, with equity models down -0.8% WoW, FX models down -0.1% WoW and rates models up +0.8% WoW. Momentum models are down in aggregate over […]

  3. Momentum Models Turn Very Bearish US Fixed Income, Very Bullish USD/JPY

    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 were down -0.5% over the past week, with equity models down -1.5% WoW, FX models down -0.1% WoW and rates models down -0.3% WoW. Momentum models are down in aggregate […]

  1. Momentum Models Eke Out Modest Gain on Equity Outperformance

    Richard Jones

    Summary Momentum models were up +0.1% over the past week, with equity models up 0.6% WoW, FX models down -0.1% WoW and rates models down -0.1% WoW. Momentum models are down in aggregate over three months, with rates models the best performing (-0.7%). Market Implications Momentum models have pared GBP/USD bullishness. Ben argues GBP has […]

  2. Momentum Flips Bearish US Fixed Income, Remains Bullish Global Equities

    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 were down -0.4% over the past week, with equity models up 0.6% WoW, FX models down -0.7% WoW and rates models down -0.6% WoW. Momentum models are down over a […]

  3. Momentum Returns Sluggish as All Strategies Underperform

    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 were down -0.4% over the past week, with equity models down -0.3% WoW, FX models down -0.6% WoW and rates models down -0.1% WoW. Momentum models are down over a […]

Momentum Returns Track Sideways as Rates Underperform FX and Equities

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 were flat the past week, with equity models up 0.3% WoW, FX models up 0.2% WoW and rates models down -0.5% WoW. Momentum models are down over a three-month time […]

Momentum Returns Remain Muted as Rates Models Continue to Outperform, FX Lags

Richard Jones

Summary Momentum models were down 0.1% over the past week, with equity models down 0.1% WoW, FX models down 0.4% WoW and rates models up 0.3% WoW. Momentum models are down in aggregate over a three-month time frame, with rates models the best performing (+0.6%). Market Implications Momentum models remain bearish the USD – our […]

  1. Momentum Strategies’ Returns Muted as Rates Outperform, Equities Lag

    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 were down 0.1% over the past week, with equity models down 0.8% WoW, FX models down 0.1% WoW and rates models up 0.3% WoW. Momentum models are down in aggregate […]

  2. Momentum Models Return to Black Led by Equity and FX

    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 were up 0.4% over the past week, with equity models up 0.8% WoW, FX models up 0.5% WoW and rates models down 0.1% WoW. Momentum models are all down over […]

  3. Momentum Models Very Bullish S&P 500 and EUR/USD, Still Slightly Bearish USD/JPY

    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 were down 0.1% over the past week, with equity models down 0.4% WoW, FX models flat WoW, and rates models down 0.2% WoW. Momentum models are down in aggregate over […]

Momentum Models Continue to Underperform

Ben Ford, Bilal Hafeez

Summary Momentum models slipped -0.2% over the past week. Rates (+0.4) were the only positive performer with FX (-0.3%) and equities (-0.9%) underperforming. Momentum models underperformed across all three asset classes over a three-month timeframe (equities: -5.3%, FX: -1.7%, and rates: -1.0%). Market Implications Momentum models are heavily bullish Gilts – we are long 10Y […]

Momentum Models Flip Bearish Equities, Remain Bearish USD/JPY

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 were down 0.5% over the past week, with equity models down 2.8% WoW, FX models flat WoW and rates models up 0.2% WoW. All momentum models are down over a […]

  1. Momentum Models Flip to Bearish USD/JPY, Turn Less Bearish JGBs

    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 were down 0.1% over the past week, with equity models down 0.5% WoW, FX models down 0.4% WoW and rates models up 0.6% WoW. Momentum models are down in aggregate […]

  2. Momentum Models Remain Max Bullish GBP/USD, We Are Bearish

    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 were down 0.5% over the past week, with equity models down 2.1% WoW, FX models down 0.1% WoW, and rates models up 0.1% WoW. All momentum models are down over […]

  3. Momentum Models Slip as Equities and FX Weigh on Aggregate Returns

    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 were down 0.4% over the past week, with equity models down 0.8% WoW, FX models down 0.4% WoW, and rates models flat. Momentum models are down in aggregate over a […]

Momentum Models Eke Out Tiny Gain as Equities Outperform Rates and FX

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 were up 0.1% over the past week, with equity models up 1.2% WoW, rates down 0.1% WoW, and FX down 0.3% WoW. Momentum models are down in aggregate over a […]

Momentum Models Flat for Second Week as Equities Outperform Rates and FX

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 were flat over the past week, with equity models up 0.5% WoW, rates flat WoW and FX down 0.2% WoW. All momentum models are down over a three-month timeframe, with […]

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