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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 +0.4% over the past week, with FX models up +0.7% WoW, rates models up +0.1% WoW, and equity models flat WoW.
- Momentum models are up +0.1% in aggregate over a three-month time frame, with equity models the best performing (+1.9%).
Market Implications
- Momentum models are very bearish AUD/USD and NZD/USD – despite hawkish Australian labour market data yesterday, we remain bearish AUD/NZD, targeting 1.06.
Latest Signals
Equity momentum model signals are all bullish, with slight shifts over the past week. S&P 500 and DAX signals remain very bullish, with the Nikkei also very bullish after having been modestly bullish the week before. The FTSE bias shifted from very bullish to modestly bullish (Chart 1).
Rates momentum model signals are mostly unchanged. US 5Y, 10Y and long bond signals are unchanged (modestly bearish), as is the bias in gilts. JGB’s signal was also unchanged (very bearish), with bunds flipping from modestly bearish to modestly bullish (Chart 1).
FX momentum models remain mostly bullish USD, and almost unchanged from last week. GBP/USD was the only bias shift over the last week, where models are now modestly bullish from modestly bearish. All other signals are unchanged: EUR/USD, AUD/USD, NZD/USD (very bearish); USD/JPY and EUR/SEK (modestly bullish); EUR/CHF and EUR/NOK (modestly bearish); and USD/CAD (very bullish, Chart 2).
Model Performance
- Momentum models were up +0.4% over the past week, with FX models up +0.7% WoW, rates models up +0.1% WoW, and equity models flat 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).