NDR Fixed Income Allocation Strategy April 2024 Update

The NDR Fixed Income Allocation Strategy, Positioning Update
BY BRIAN SANBORN

Entering April, the fixed income allocation strategy continued to favor risk-on leadership but did not rebalance. The model remained overweight Emerging Market bonds, U.S. High Yield, U.S. Investment Grade Corporate, and U.S. Mortgage-Backed Securities. U.S. Long-Term Treasurys is marketweight. The model remained underweight U.S. Floating Rate Notes, U.S. Treasury Inflation-Protected Securities, and International Investment Grade.

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

Full strategy commentary: NDRFIAS202404041

Other posts

C8 Currency Compass – September 2024

BY JON WEBB
We are firmly in the 50bp rate cut camp – if  the Fed is worried about employment, they need to get ahead of the curve.  This is likely to put further pressure on the USD in the near term.  USDJPY has hit its downside target (see below) so the benefit is more likely to accrue to the EUR and GBP.  We also see the BoJ on hold this week, which adds weight to this view.  However, we note our systematic models still point to EURUSD and GBPUSD weakness over time, so any bounce may prove a good opportunity to add EUR and GBP hedges.  Read more →

C8 Weekly Bulletin:  Trend-following in Volatile Times – the C8 Way

BY JON WEBB
The first quarter of 2023 has been notable for its skittish financial markets. First, there was optimism that this year would prove calmer than 2022, followed by renewed concern about inflation and the impact of bond holdings in the US banking system. This culminated in the forced takeover of Credit Suisse at the weekend.  Traditional trend-following strategies performed strongly in 2022, but these rapid shifts in sentiment have proved more difficult to navigate. The SocGen CTA index is down 6% year-to-date, and down nearly 10% in the past week.    Here is the good news!  The C8 Global Active Futures index avoided this sell-off and remains up on the year.  Why the difference?  C8's proprietary allocation process selects from a wide range of trend and counter-trend strategies, and is responsive to volatility levels, so adapts more readily to changing market environments. Read more →

NDR Fixed Income Allocation Strategy March 2023 Update

BY BRIAN SANBORN
The NDR Fixed Income Allocation Strategy, Positioning Update Read more →
Back to all posts →