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When evaluating the performance of our momentum models we are considering the average performance across the one-, three-, and 12-month momentum models.
- 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 timeframe (+2.1%). FX (-0.1%) and equity (-1.4%) struggled.
- Momentum models flipped bullish on Gilts, in line with Henry’s view to receive near-term SONIA futures. They also flipped bearish on GBP/USD; Ben and Richard expect GBP to underperform EUR.
Equity momentum models increased Nikkei bullishness as the index broke 32,500 (Chart 1). Elsewhere, they remain bearish on the S&P 500 and DAX, and heavily bearish on the FTSE-100.
Meanwhile, rates momentum models flipped bullish on Gilts, in line with Henry’s bias to receive near-term SONIA futures. He also sees value in a SONIA vs SOFR Mar24/Mar25 calendar box spread and 2s10s GBP steepeners vs EUR, while his PCA model now flags 5s30s GBP steepening and a 5s10s30s UKT decline.
Turning to FX, momentum models flipped bearish on GBP/USD – Ben and Richard remain long EUR/GBP – and turned heavily bearish on AUD/USD as it reapproached the 0.64 level. Meanwhile, they pared EUR/SEK bullishness as risk appetite improved – Ben still expects EUR/SEK to trade north of 12 before its likely descent in H2 2024. Lastly, they remain heavily bullish USD/JPY, though we note that the MoF will likely get their way.
Momentum models (-0.5% WoW) continued to underperform as rates (-1.2% WoW) led a poor week across the board. FX momentum models (-0.1% WoW) registered the least negative contribution. However, over the past three months, rates momentum models (+2.1%) are the only positive performer.