This article is only available to Macro Hive subscribers. Sign-up to receive world-class macro analysis with a daily curated newsletter, podcast, original content from award-winning researchers, cross market strategy, equity insights, trade ideas, crypto flow frameworks, academic paper summaries, explanation and analysis of market-moving events, community investor chat room, and more.
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 +0.3% WoW, FX models up +0.1% WoW and rates models down -0.1% WoW.
- Momentum models are up +0.4% in aggregate over a three-month time frame, with equity models the best performing (+4.1%).
Market Implications
- Momentum models remain modestly bullish EUR/USD and NZD/USD.
- We are tactically short EUR/NZD.
Latest Signals
Equity momentum model signals were little changed over the past week. The signals for the S&P 500 remain modestly bearish, very bearish the Nikkei, and very bullish the DAX. The only shift was in the FTSE, which is now very bullish versus being modestly bullish the week before (Chart 1).
Rates momentum model signals are unchanged over the past week. Signals in the US 5Y, 10Y and long bond remain modestly bullish, while JGBs, Bunds and Gilts all remain very bearish (Chart 1).
Turning to FX, momentum models were little changed over the past week. The only change in momentum models’ FX signals was in USD/CAD, which shifted to very bullish from modestly bullish. EUR/USD, AUD/USD and NZD/USD signals remained modestly bullish, USD/JPY remained modestly bearish, and GBP/USD remained very bullish. In the EUR crosses, the EUR/CHF (very bullish), EUR/SEK and EUR/NOK (both very bearish) were also unchanged (Chart 2).
Model Performance
- Momentum models were up +0.1% over the past week, with equity models up +0.3% WoW, FX models up +0.1% WoW and rates models down -0.1% 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).
(The commentary contained in the above article does not constitute an offer or a solicitation, or a recommendation to implement or liquidate an investment or to carry out any other transaction. It should not be used as a basis for any investment decision or other decision. Any investment decision should be based on appropriate professional advice specific to your needs. You are not permitted to publish, transmit, or otherwise reproduce this information, in whole or in part, in any format to any third party without the express written consent of Macro Hive. This includes providing or reproducing this information, in whole or in part, as a prompt.)