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 +0.3% over the past week, led by gains in equity models (+0.5% WoW), closely followed by gains in rates and FX models (both +0.3% WoW).
- Momentum models have registered negative returns across all three asset classes over the past three months (equities: -3.6%, rates: -2.3%, and FX: -1.5%).
Market Implications
- Rates momentum models are very bearish USTs, with Dominique no longer expecting six Fed cuts in 2025, but rather seeing two-three cuts.
- FX momentum models are bearish USD across most pairs this week. We have taken profit on our short USD position.
Latest Signals
Equity momentum model signals are little changed and remain mixed. The S&P 500 (modestly bullish) and DAX (very bullish) remain positive, with the Nikkei modestly bearish and FTSE flipping to modestly bullish (Chart 1).
Rates momentum model signals remain bearish across the board. All UST futures contracts are very bearish, as are JGB and gilts. Bunds are slightly less bearish than last week (Chart 1).
FX momentum model signals are mostly bearish USD. EUR/USD, USD/JPY and AUD/USD are modestly bearish USD, with GBP/USD remaining very bearish USD. USD/CAD and NZD/USD are modestly bullish USD. Meanwhile, EUR/CHF flipped to modestly bearish, with EUR/NOK and EUR/SEK very bearish (Chart 2).
Model Performance
- Momentum models were up +0.3% over the past week, led by gains in equity models (+0.5% WoW), closely followed by gains in rates and FX models (both +0.3% WoW).
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