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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 +0.1% over the past week, with equity models up -1.8% WoW, FX models down -0.3% WoW, and rates models down -0.4%.
- Momentum models are up +1.7% in aggregate over a three-month time frame, with rates models the best performing (+2.0%).
Market Implications
- Momentum models remain bullish USD. We are short USD versus a EUR, JPY and CAD basket.
Latest Signals
Equity momentum model signals are bullish, with slight shifts over the past week. The DAX signal remains very bullish, with the S&P 500 shifting to modestly bullish from very bullish. The Nikkei shifted from modestly bullish to very bullish, while the FTSE bias shifted to very bullish from modestly bullish (Chart 1).
Rates momentum model signals are uniformly bearish, almost entirely unchanged from the week before. Signals in the US 5Y, 10Y, and long bond, together with signals in JGBs, and gilts remain very bearish across-the-board. The one small shift has been in bunds, where the signal is now modestly bearish from very bearish last week (Chart 1).
FX momentum models remain bullish USD across-the-board, with a few small shifts from last week. While EUR/USD and GBP/USD signals remain very bearish, USD/JPY and NZD/USD shifted to modestly bullish USD from very bullish last week. AUD/USD remained unchanged (modestly bearish), with USD/CAD shifting from modestly bullish to very bullish. In the EUR crosses, the EUR/CHF signal is unchanged (very bullish), as is EUR/NOK (still modestly bearish), while EUR/SEK flipped from modestly bullish to modestly bearish (Chart 2).
Model Performance
- Momentum models were up +0.1% over the past week, with equity models up -1.8% WoW, FX models down -0.3% WoW, and rates models down -0.4%.
(Charts 1 and 2: blue bar is last week’s signal; orange bar is this week’s signal.)
(Charts 3 to 5: orange bars are average returns of CTA model over past three months by asset, black dot is change over the past week).
*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).