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Month end rebalancing sell-side views

FOREX
  • Barclays: "The passive rebalancing model at month-end points to strong USD selling against all majors in July... Our analysis shows that trading earlier (a few days before month-end) improves the model performance."
  • MS: "Our signal suggests that USD should weaken versus many currencies in the G10 this month-end. Our backtest suggests long EUR, CHF, and SEK."
  • Citi: Model points to a net need to sell USD this month, with a signal strength inline with the historical norm... EURUSD signal is the one stand-out, with the buy EURUSD signal the weakest due to the strength of Eurozone fixed income markets... On potential front-loading of month-end flows, their model has not seen signsof real money buying of any FX other than NZD and GBP, which suggests littlefront-loading of rebalancing trades so far.

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