
Asia | Emerging Markets | Equities | FX | Global | UK
Asia | Emerging Markets | Equities | FX | Global | UK
When evaluating the performance of our momentum models we are considering the average performance across the one-, three-, and 12-month momentum models.
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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.
Equity momentum models are no longer bullish, flipping bearish on the FTSE-100, net-bearish on Nikkei and scaling back their bullishness on DAX (Chart 1 and Table 1). They remain bearish on the S&P 500.
Following the collapse in yields, momentum models are no longer bearish rates. They are net-bearish the US 5Y and 10Y, net-bullish US long bonds, bunds and gilts, and bullish JGBs.
FX momentum models have pared JPY and GBP bearishness (vs USD) and have increased EUR/SEK bullishness (Chart 2 and Table 2).
Momentum models (-2.2% WoW) struggled over the past week with pain felt most in equities (-4.0%), then rates (-3.3%) and FX (-0.7%). Moreover, all momentum models registered a negative return over the period, other than EUR/NOK (+1.4%). FX carry strategies had an equally poor week.
The Silicon Valley Bank (SVB) crisis has taken headlines over the past week. John Tierney says there was little reason to ever worry about uninsured deposits while Dominique and Mustafa widen their view to the entire US economy and claim SVB’s problems are not systemic. Samarjit thinks a 50bp Federal Reserve hike is off the table, but 25bp is likely. The latest CPI data supports this view.
*The basic strategy is to use returns (lookback windows) to give buy/sell signals. So, if the US stocks are up over the past three months, you buy, otherwise, you sell (note I use excess returns).
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