This will be our last post on this forum. Starting this week, we will be publishing our On the Daily blog via Substack. You can find the link by clicking here. Our commentary will be updated on Substack daily to provide our readers a consistent and high-quality free resource.

In the meantime, here are our updated models and monitors. Let us start with our tracking of global economic momentum:

Next, we offer our Market Environment Monitor, which aggregates the growth and inflation signals from major global investment markets to tell us what the current market environment is, i.e., expansion, inflation, deflation, or stagflation:

Finally, we show our proxy for capital flows using our Currency Bloc Monitor, which aggregates exchange rate moves across 20+ currency pairs into significant regions or Blocs. We offer the evolution of these Currency Blocs over time:

Finally, we look at our Trading Tools Report to analyze whether commodity positions are attractive in the immediate term. We find an asymmetric opportunity to the upside here:

 

Recall:

  • Trading Range:  These ranges represent a trading bank within which a currency should trade based on multiple market factors. If we are long- prices above the upside range indicate the asset is expensive, and prices below the downside range suggest that they are cheap and vice versa if we are short.
  • Year-to-Date Returns: This is the price performance of a given currency over the current calendar year, in percentage terms. We also compare the current price to the 52-week high and low for reference.
  • Price Momentum: This looks at cumulative rolling returns for a selected lookback period.  Positive momentum is good if we are long and bad if we are short. 
  • Implied Volatility Discount/Premium:  This tells us what the market expects in volatility relative to the history of volatility. If we are long a currency, we typically want market implied volatility to be higher than historical volatility and vice versa if we are short.

We hope to see you on Substack!