This note presents our final estimates of the net currency impact of month-end hedge rebalancing flows for July.
The model anticipates net USD selling against G10 currencies except EUR. Indeed, European stocks and bonds have outperformed G10 peers. Therefore we expect net EUR selling from passive investors tracking hedged benchmarks. By contrast Japanese assets have lagged, hence the relatively stronger JPY buying signal.
Signals are rather weak, especially considering that USD may be bought against EUR but sold against other currencies.