Citi month-end preliminary Month-End FX Hedge Rebalancing : FXWW

From the FXWW Chatroom – November 2018 Preliminary Estimate: “The month-end FX hedge rebalancing model points to USD buying and selling of all other currencies on Friday, 30 November. The signal strength is relatively modest by historical standards, measuring around 0.6 standard deviations.”

– Month-End Asset Rebalancing: November 2018 Estimate: “The underperformance in equities leads the Asset Rebalancing model to suggest a rotation from bonds into equities at month end, though the signal is quite weak at just +/- 0.1 historic standard deviations. US, LatAm and Japanese equities are likely to see inflows directed away from US and CEE bonds. Both equity and bond markets in the UK and LatAm are likely to see inflows.”

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