Signals From Month-End Fixing Models
eFXnews | Mar 31, 2015 08:02AM ET
"We expect the rebalancing of hedges at month-end to lead to small amounts of USD buying against the major currencies. US equity markets have fluctuated over the course of March as market expectations of Fed tightening has ebbed and flowed but have ended the month lower in terms of market value, The re-pricing of US interest rates – delay and flattening of the rate hiking path – has implied a move higher in US bonds," says Barclays Capital.
"Our month-end model, Figure 2, shows small USD buy signals – with a slightly stronger sell signal for AUD/USD," Barclays (LONDON:BARC) adds.
Barclays month-end fixing model provides signals for trading FX on the last day of the month. The model provides signals from '+++' through neutral to '---' to indicate the strength of this month's signal relative to its own history.
Same for Citi, where its model anticipates net USD buying but with rather weak signals.
"US assets, especially equities, have underperformed their G10 counterparts. This should lead passive hedged investors to increase currency hedges on non-US assets relatively more than on US assets, especially European bonds and equities which outperformed," Citi clarifies.
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