The Day Hagan/Ned Davis Research Smart Sector® with Catastrophic Stop strategy remains fully invested. The NDR Catastrophic Stop model is based on the combination of two proprietary composites: 1) the Internal Composite (technical and price-related indicators) and 2) the External Composite (fundamental, economic, interest rate, and behavioral/sentiment indicators). Each composite is one-half of the overall score.

This month’s allocation to U.S. equities is overweight Energy, Health Care, Materials, and Utilities. The model is underweight Consumer Discretionary, Financials, Information Technology, and Communication Services. The sector allocations are determined using NDR’s Sector Model, where each sector has sector-specific, weight-of-the-evidence composites of fundamental, economic, technical, and behavioral indicators to determine the sector’s probability of outperforming the S&P 500.

Click the link below to read more about the strategy’s positioning.

Full strategy commentary: NDRSASDH202201051

Visit the Day Hagan research page for access to additional commentary and webcasts.

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Day Hagan/NDR Smart Sector® with Catastrophic Stop Strategy April 2024 Update

BY BRIAN SANBORN
Day Hagan/Ned Davis Research Smart Sector® with Catastrophic Stop strategy, model and allocations update. Read more →

MI2 for C8 – The FX Year Ahead – Turning Japanese – Feb 2024

BY JON WEBB
Japan is likely to come into increasing focus this year. With bond yields now being allowed to rise as the BoJ’s Yield Curve Control experiment comes to an end, the BoJ’s roadmap to ending NIRP (if things go to plan), the multi-decade underperformance of Japanese equities still fresh in asset allocators’ minds (despite some promising upside momentum) and a chronically weak currency, (especially on a real effective, inflation-adjusted trade-weighted basis), there is plenty of potential for disruption. Read more →

USDJPY and Gamma Trading (29th July 2024)

BY JON WEBB
In our piece in February (Turning Japanese, Feb 2024) we discussed how carry trades in currencies have a predisposition to trade an “escalator / liftshaft” pattern. The Japanese Yen, as the principal funding currency, is particularly vulnerable to violent reversals to what has been a remarkably steady and successful carry trade. In the last couple of weeks, as analysts started to consider the possibility of a BoJ rate hike at their meeting on 31st July, JPY crosses exhibited a bout of significant strength. USDJPY fell around 10 big figures from ~162 to 152. Is that enough to have cleared the decks? Simply put, it is not possible to clear out two years of accumulated positions in a couple of weeks. The fact that CFTC commitment of trader positioning was showing JPY shorts at their most extended since 2007 (pre GFC) before last week’s sharpish position reduction, suggests this is merely a shot across the bows, so far. Japanese retail traders (Mrs Watanabe) have slowed accumulation to a stand still but wholesale flight is far from evident. Read more →
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