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’ performance was steady over the past week (equities +0.2%, rates +0.1%, and FX -0.1%).
- Momentum models have registered negative returns across all three asset classes over the past three months (equities: -3.9%, rates: -2.7%, and FX: -1.5%).
Market Implications
- Rates momentum models are bearish USTs for the fifth week running, with Dominique expecting next week’s FOMC SEP to show one cut in 2025.
- FX momentum models maintained bearish USD positioning. We expect EUR/USD to trade higher.
Latest Signals
Equity momentum model signals remain bullish across-the-board. S&P 500 and FTSE remained very bullish, with DAX (very bullish) and Nikkei (modestly bullish) also unchanged (Chart 1).
Rates momentum model signals remain resolutely bearish. All UST futures contracts were trimmed to modestly bearish from very bearish, as were gilts. Bunds flipped to modestly bullish from modestly bearish, with JGBs remaining modestly bearish (Chart 1).
FX momentum model signals remain uniformly bearish USD. EUR/USD, USD/JPY and GBP/USD remain very bearish USD, with USD/CAD, AUD/USD and NZD/USD remaining modestly bearish USD. Meanwhile, EUR/CHF remained modestly bullish, with EUR/NOK becoming very bearish and EUR/SEK remaining modestly bearish (Chart 2).
Model Performance
- Momentum models’ performance was steady over the past week (equities +0.2%, rates +0.1%, and FX down -0.1%).
Chart 1: Latest Net Signals Across Equity and Bond CTA Models
Chart 2: Latest Net Signals Across FX CTA Models
Chart 5: FX Model Returns by Market
Table 1: Equity and Bond CTA Model Signals and Returns
Table 2: FX CTA Model Signals and Returns
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