Bilal Hafeez, Ben Ford
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 moved sideways over the past week. A positive rates (+0.3% WoW) outing battled poor equity (-0.4% WoW) and FX (-0.1% WoW) performances. Equity momentum models remain the best-performing model over […]
Ben Ford
Summary Momentum models declined -0.3% over the past week. Poor rates (-1.0% WoW) and FX (-0.2% WoW) outweighed a positive equity (+0.7% WoW) outing. Equity momentum models remain the best-performing model over a three-month timeframe (+6.9%). Market Implications Momentum models are bearish EUR/USD and bullish GBP/USD – we have closed our long USD trades. They […]
Bilal Hafeez, Viresh Kanabar
Summary In the US, Powell’s congressional testimony (Wednesday) will likely stress the need for more good inflation data before the Fed can cut. Nonfarm payrolls and wages (Friday) are likely to surprise on the upside. In Europe, the ECB should keep rates steady on Thursday but revise forecasts. We still expect a June cut at […]
Ben Ford
Summary Momentum models gained +0.3% over the past week. Equities fared best (+1.6% WoW), while rates (+0.0%) and FX (-0.1% WoW) underperformed. Equity momentum models remain the best-performing model over a three-month timeframe (+7.0%). Market Implications Momentum models are bullish EUR/USD – we are short – and bullish EUR/CHF – we are long. They are […]
Ben Ford
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 moved sideways over the past week. Equities fared best (+0.3% WoW), then rates (+0.1%). FX (-0.2% WoW) underperformed. Equity momentum models remain the best-performing model over a three-month timeframe (+5.5%). […]
Ben Ford
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 added to last week’s gains, up +0.4% WoW. Equities fared best (+1.2% WoW), then rates (+0.3% WoW) and FX (+0.1% WoW). Equity momentum models are the only positively performing model […]
Ben Ford
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 reversed last week’s losses, up +0.2% WoW. Equities fared best (+0.4% WoW), then rates (+0.2% WoW). Equity momentum models are the only positively performing model over a three-month timeframe (+4.8%). […]
Bilal Hafeez, Viresh Kanabar
Summary In the US, Friday brings seasonal factor revisions to the CPI. These could impact the path of the FFR. Currently Powell seems set on no rate cut in March. Europe and the UK hear from central bank policymakers and see several key surveys updated, including the services PMIs. Elsewhere, a slew of central bank […]
Ben Ford, Bilal Hafeez
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 reversed last week’s gains as they declined -0.2% over the past week. Rates fared worst (-0.4% WoW), while equities followed (-0.2% WoW). Equity momentum models are the only positively performing […]
Bilal Hafeez, Viresh Kanabar
Summary In the US, the Fed meets on Wednesday. We expect them to hold rates steady while preparing markets for a cut in March. In the UK, the BoE will likely hold rates unchanged on Thursday, taking a more dovish profile in the near term. January CPI is the main release of the week for […]
Ben Ford, Bilal Hafeez
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 inched +0.2% higher over the past week as equities outshone mixed outings in rates and FX. Equity momentum models are the only positively performing model over a three-month timeframe (+4.0%). […]
Bilal Hafeez, Viresh Kanabar
Summary In the US, we expect core PCE at 15bp on Friday. That would drop the figure below the Fed’s 2% target and increase ‘lowflation’ risks. Dominique still expects a 50bp Fed cut in March. The ECB should leave rates unchanged on Thursday. We see the first cut in June. In the $-bloc, the NAB […]
Ben Ford, Bilal Hafeez
Summary Momentum models inched +0.1% higher over the past week, with equities offsetting a poor outing in FX and rates. Equity momentum models are the only positively performing model over a three-month timeframe (+3.7%). Rates (-1.1%) and FX models (-0.1%) have struggled. Market Implications Momentum models are signalling US 5s10s steepening, a trade Mustafa has […]
Ben Ford, Bilal Hafeez
Summary Momentum models declined 0.5% over the past week as the recent rate and equity bid reversed. FX models also underperformed. Equity momentum models are the only positive performing model over a three-month timeframe (+1.4%). Rates (-1.2%) and FX models (-0.8%) have struggled. Market Implications Momentum models remain bullish on bonds. Our PCA model sees […]
Ben Ford, Bilal Hafeez
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 edged higher over the past week as gains in equity momentum models (+0.8% WoW) were hampered by FX. Equity momentum models are the best-performing models over a three-month timeframe (+1.2%). […]
Ben Ford
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 flat over the past week as gains in equity momentum models (+0.2% WoW) were offset by rates. Rates momentum models are the best-performing models over a three-month timeframe (+1.4%). […]
Bilal Hafeez
Greg Lippmann is the Managing Founding Partner and the Chief Investment Officer of the $9.8bn asset management firm, LibreMax.
Ben Ford
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 flat over the past week as gains in equity momentum models (+0.2% WoW) were offset by rates. Rates momentum models are the best-performing models over a three-month timeframe (+1.4%). […]
Dominique Dwor-Frecaut
Summary My February expectation that QT would end in 2023 H2 did not happen due to: Slower bank loan growth. Increased Fed lending to banks after the spring bankruptcies. Tight money market liquidity that reduced use of the Fed RRP facility by MMFs. I do not expect these events to repeat in 2024; in particular, […]
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