The Point for CEEMEA

Research evidence excerpt

The Point for CEEMEA

Tech, Financials, and Health. Hedge fund flows, on the other hand, switched to

negative. They had outflows in Tech, Industrials, and Consumer Discretionary

while buying Financials, Health Care, and Consumer Staples. Top three sectors

based on the last 2m of flows were Financials, Industrials, and Health Care while

Tech, Consumer Discretionary, and Communications made up the bottom three

again this week. Our market-implied regime analysis suggests that market

internals are currently most correlated with the Recovery regime. The market

broadened in the past month as concerns around AI infrastructure costs grew and

the recent IPO-driven enthusiasm cooled, moving away from heavily AI-exposed

sectors into defensives and traditional cyclicals. Financials and Real Estate relative

strength, as well as Communications weakness,...

Alex Saunders

Quantitative Global Macro Strategy - July EMFX Factor Model Update

We update our EMFX factor model for July. Our long/short model returned +18bps

in June (net of t-costs, ex-ante risk budget of 1% p.a.), EMFX underperformed

against the greenback with the long-only benchmark down -1.14%. COP was the

standout outperformer on the back of recent developments in the presidential

election while CEEMEA FX continues to digest the reversal of CTOT with lower oil.

Performance was stronger this month in factor space, Carry, Value PPP, Hiker and

Momentum bounced. Quality, Eco Surprises and WPI underperformed this month.

Carry (vol adj) saw material pickup in inflows with positioning now flashing red

though cross-asset volatility is below our trigger level. In terms of model positions,

PHP and TRY were added to longs while CLP and MYR were added to new shorts.