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Positioning Watch – The real world strikes back

Positioning Watch – The real world strikes back

We have for a long time been framing real world demand as the reason why real world assets like commodities and real estate have been lagging behind. With the supply side of the equation getting tight, while demand has stayed strong, prices are starting to move, fast! And positioning follows.

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Portfolio Watch: Are you paying attention to China?

Portfolio Watch: Are you paying attention to China?

Chinese trends are through the roof and the recent initiatives to prop up struggling developers seem to be a lot more serious than the “cry wolf” initiatives seen through 2023. Is the Chinese trend just getting started?

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Quant Signals: Central Bank Sentiment Indicators

Quant Signals: Central Bank Sentiment Indicators

Our updated state-of-the-art Central Bank Sentiment indicators are flagging important changes in communication dynamics since the beginning of the year. We recently upgraded our sentiment measurement to a more fine-tuned and nuanced NLP model that effectively captures the meaning of Central Banker rhetoric and here share key findings.

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US CPI Review – Everything is soft in April

US CPI Review – Everything is soft in April

The US CPI report came in a tad on the soft side, which is good news for the rate cut crowd, and risk assets will likely be allowed to rally further from here with lower USD-rates feeding into FCIs during May. Meanwhile, real-time gauges of activity already hint of a comeback relative to the soft April patch.

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Positioning Watch – The real world strikes back

Positioning Watch – How are Macro Hedge Funds positioned?

By taking the rolling beta of various assets to the performance of Global Macro Hedge Funds, we are able to generate an approximation of how macro traders are positioned in this environment. A clue: They are leaning towards a CNY devaluation too, while they are short USD fixed income and long the USD (broadly).

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Portfolio Watch: Are you paying attention to China?

Portfolio Watch: Reflation is back!

High frequent data disagrees with the set-back vibes in April PMIs. Markets have started to acknowledge the improving underlying data and we see reflation being back in fashion, while not fully positioned for.

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Quant Signals: Central Bank Sentiment Indicators

Quant Signals: Intraday mean reversion strategy

In addition to trading the FX market from a rebalancing of FX hedge perspective, there exists another approach that also yield consistent returns over time. This approach is highly trading-oriented and tactical in nature, as it aims to extract value from the intraday market from a mean reversion perspective.

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Macro Regime Indicator May – UP UP UP!

Macro Regime Indicator May – UP UP UP!

We are back in a more positive macro environment after a weak April that we timed well in advance. The tide is turning on a couple of the major inputs in our Macro Regime model.

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US CPI Review – Everything is soft in April

USD inflation preview: NO, inflation is not going away folks..

Our calibrated nowcasts settle on the hottest inflation forecast in town ahead of next week’s inflation report. There are increasing signs of a broadening of the re-acceleration of inflation trends, and goods may print >0% MoM for the first time in a while.

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Energy Cable: Saudis are pushing hard for a new oil bull market

Energy Cable: Saudis are pushing hard for a new oil bull market

After a couple of months with continued supply chain pressures, steady trade volumes and no price action, it seems like we finally got a reaction in freight rates. Meanwhile, the Saudis are gearing up for a new oil market rally.

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Portfolio Watch: Are you paying attention to China?

Portfolio Watch – Time for liquidity bets

The overall dovish FOMC message Wednesday has laid the foundation for liquidity bets to perform over the coming weeks, as the hopes of rate cuts are back alive amidst the election year, which is rarely bad for risk assets.

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Quant Signals: Central Bank Sentiment Indicators

Quant signals: FX hedge rebalancing model

Real money investors holding foreign assets must hedge their FX exposure and adjust their hedge as the value of their foreign holdings fluctuates. Our proprietary FX-hedge rebalancing model captures exactly this.

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Inflation Watch: Freight rates to reach 2022 levels impacting goods-inflation?

EUR-flation Watch: April is hot (in inflation terms)

There are signs of a mild re-acceleration of inflation trends in Europe relative to last year, which will see YoY inflation trends rising again. There are generally risks to the upside.

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Trade Alert: Trading the CPI report

Trade Alert: Buying the dip

We see reasons to bet on a reversion of the latest weakness across risk assets and have decided to buy the dip.

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Steno Signals

The Week At A Glance: ISMs, NFP, FOMC & QRA to put even more pressure on USD rates?

The Week At a Glance: MPC members better prepare a Bailey for the Coffee, while Ueda better pray for a weaker JPY..

Action-packed week ahead with overseas central bank action, while we get PMIs and CPI prints at home. The FOMC meeting minutes will likely steal the stage and set the tone on markets Wednesday, and we’ll see whether they address the ongoing commodity-driven re-flation cocktail.

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