Futures Momentum Model Signals – Net-Buy Bond Signals Reverse
By Bilal Hafeez and Ben Ford
(2 min read)
• Bond signals return to net-sell as US long bond and JGB signals return net-sell.
• All equity models continue to signal buy for the fifth week.
• Over the past three months, the best performing bond model has been the one-month lookback for gilts (3.5%), for equities the twelve-month lookback model for the Nikkei returns as the best performer (8.4%).
Canada’s inflation rate rose to 4.7% YoY in October, a print last seen in March 2003, and markets are now pricing at least one hike by March, earlier than the ‘middle quarters of 2022’ guidance given by the Bank of Canada. Elsewhere, after the jump in US inflation the latest Bank of America survey found 61% of investors expect inflation to be transitory versus 58% the month prior. The gain in commodity prices may start to subside with China planning a release of strategic oil reserves after the US invited it to participate in a joint sale. Oil has dropped from recent highs to below $80/b. On this backdrop, we saw bond models return to net-sell, all equity model signals remain ‘buy’.
• Bond signals return to net-sell as US long bond and JGB signals return net-sell.
• All equity models continue to signal buy for the fifth week.
• Over the past three months, the best performing bond model has been the one-month lookback for gilts (3.5%), for equities the twelve-month lookback model for the Nikkei returns as the best performer (8.4%).
Canada’s inflation rate rose to 4.7% YoY in October, a print last seen in March 2003, and markets are now pricing at least one hike by March, earlier than the ‘middle quarters of 2022’ guidance given by the Bank of Canada. Elsewhere, after the jump in US inflation the latest Bank of America survey found 61% of investors expect inflation to be transitory versus 58% the month prior. The gain in commodity prices may start to subside with China planning a release of strategic oil reserves after the US invited it to participate in a joint sale. Oil has dropped from recent highs to below $80/b. On this backdrop, we saw bond models return to net-sell, all equity model signals remain ‘buy’.
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