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 down -0.2% over the past week, with losses across the board – equity (-0.2% WoW), rates (-0.4% WoW) and FX (-0.1% WoW).
- Momentum models have registered negative returns across all three asset classes over the past three months (equities: -3.7%, rates: -1.7%, and FX: -1.5%).
Market Implications
- Rates momentum models are very bearish USTs for the third week running, with the end of the global bond bull market being one of the key themes from our network.
- FX momentum models are bearish USD across most pairs this week. We have reinstated our short USD position.
Latest Signals
Equity momentum model signals are all bullish. S&P 500 (modestly bullish), DAX (very bullish) and FTSE (modestly bullish) remain positive, with Nikkei flipping to modestly bullish (Chart 1).
Rates momentum model signals are mostly bearish. All UST futures contracts are very bearish, as are JGBs and gilts. Bund flipped to modestly bullish from modestly bearish (Chart 1).
FX momentum model signals remain mostly bearish USD. EUR/USD, USD/JPY, AUD/USD and NZD/USD are all modestly bearish USD, with GBP/USD remaining very bearish USD. USD/CAD remain modestly bullish USD. Meanwhile, EUR/CHF is now very bearish, as are EUR/NOK and EUR/SEK (Chart 2).
Model Performance
- Momentum models were down -0.2% over the past week, with losses across the board – equity (-0.2% WoW), rates (-0.4% WoW) and FX (-0.1% WoW).
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