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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 down -0.2% over the past week, with equity models down -0.6% WoW, FX models flat WoW and rates models down -0.1% WoW.
- Momentum models are up +0.1% in aggregate over a three-month time frame, with equity models the best performing (+3.5%).
Market Implications
- Momentum models flipped short AUD/USD and remain long NZD/USD. We remain short AUD/NZD after the Australian budget was enacted.
Latest Signals
Equity momentum model signals were mostly unchanged. The signals for the S&P 500 remain modestly bearish, very bearish Nikkei, and very bullish DAX. Only the FTSE shifted, now modestly bullish versus being very bullish (Chart 1).
Rates momentum model signals have shifted materially. Signals in the US 5Y, 10Y and long bond flipped from modestly bullish to very bearish (5Y), and modestly bearish (10Y and long bond). JGBs, Bunds and Gilts remain very bearish (Chart 1).
FX momentum models saw notable changes. USD/JPY (modestly bullish from modestly bearish), USD/CAD (modestly bearish from very bullish) and AUD/USD (modestly bearish from modestly bullish) all flipped. EUR/USD (modestly bullish), GBPUSD (very bullish), EUR/SEK and EUR/NOK (both very bearish) are unchanged, while EUR/CHF shifted to modestly bullish from very bullish (Chart 2).
Model Performance
- Momentum models were down -0.2% over the past week, with equity models down -0.6% WoW, FX models flat WoW and rates models down -0.1% WoW.
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