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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.
Summary
- Momentum models were up +0.2% over the past week, with equity models up +0.8% WoW, FX models +0.3% WoW and rates models down -0.4% WoW.
- Momentum models are up +0.1% in aggregate over a three-month time frame, with equity models the best performing (+4.6%).
Market Implications
- Momentum models remain very bullish GBP/USD and modestly long USD/JPY. We took profit on our recent long GBP/JPY position, and have set out what it would take to return short JPY.
Latest Signals
Equity momentum model signals were mostly unchanged. Signals for the S&P 500 remain modestly bearish, very bearish the Nikkei, and modestly long the FTSE. Only DAX shifted, now modestly bullish versus being very bullish (Chart 1).
Rates momentum model signals have shifted slightly. Most notably, signals in the US 5Y and 10Y flipped modestly bullish from very bearish and modestly bearish, respectively. The US long bond bias remains modestly bearish. Bund and gilt signals shifted from very bearish to modestly bearish, with the JGB signal remaining very bearish (Chart 1).
FX momentum models saw only one change. EUR/USD shifted from modestly bullish to very bullish, with all other signals unchanged – USD/JPY, EUR/CHF and NZD/USD remain modestly bullish, GBP/USD remains very bullish, AUD/USD stays modestly bearish, and USD/CAD remains modestly bearish. EUR/SEK and EUR/NOK (both very bearish) are also unchanged (Chart 2).
Model Performance
- Momentum models were up +0.2% over the past week, with equity models down +0.8% WoW, FX models flat +0.3% WoW and rates models down -0.4% WoW.
*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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