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Jun 25 - 12:55 PM

USD: Prelim Month-End Rebalancing Model Suggests USD Selling Against EUR, GBP, JPY, CHF - Citi

By eFXdata  —  Jun 25 - 10:45 AM

Citi discusses the preliminary readings from its month-end rebalancing models.

"CitiFX Quant comments that the recovery in equities leads the asset rebalancing model to suggest a rotation from equities to bonds at month end. The signal is relatively strong coming in at -1/3/+1.2 historic std. dev. for equities and bonds respectively," Citi notes. 

"European and Japanese equities have seen some of the largest gains and thus receive the strongest outflow signals this month along with US and EM equities as well. On the other hand, bond markets are likely to receive inflows with US, Asia, Japan and Canadian bonds receiving stronger signals. The FX impact from the hedge rebalancing suggests USD selling against G4 currencies at month end which has yet to materialize it appears," Citi adds. 

Citi Research/Market Commentary


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