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 -0.3% over the past week, with gains in equity (+0.4% WoW) outweighed by losses in rates (-0.5% WoW) and FX (-0.5% WoW).
- Momentum models have registered negative returns across all three asset classes over the past three months (equities: -3.8%, FX: -2.8%, and rates: -1.9%).
Market Implications
- Rates momentum models are very bearish USTs, with Dominique no longer expecting the Fed to cut six times in 2025, but rather seeing two-three cuts.
- FX momentum models remain mostly bearish USD this week. We have taken profit on our short USD position.
Latest Signals
Equity momentum model signals are unchanged but mixed. Signals for the S&P 500 (modestly bullish) and DAX (very bullish) remain positive, with signals for the Nikkei and FTSE remaining modestly bearish (Chart 1).
Rates momentum model signals are bearish across the board. Signals across all UST futures contracts are very bearish, as are Bunds and Gilts, having flipped from modestly bullish, with JGBs unchanged at modestly bearish (Chart 1).
FX momentum model signals are mostly bearish USD. Signals for EUR/USD, USD/JPY and AUD/USD are modestly bearish USD, with GBP/USD remaining very bearish USD. In contrast, USD/CAD and NZD/USD are modestly bullish USD. In the EUR crosses, EUR/CHF flipped to modestly bullish, EUR/NOK is modestly bearish, and EUR/SEK is very bearish (Chart 2).
Model Performance
- Momentum models were down -0.3% over the past week, with gains (+0.4% WoW) in equity models being outweighed by losses in rates models (-0.5% WoW) and FX models (also -0.5% WoW).
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