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Multi-Asset Essentials

US equities rally not currently backed by “Golden Surprise” indicator
Above-consensus price data have shifted balance of Activity vs. Inflation Surprise Indices in an adverse direction for S&P 500. Inflation surprises’ historical link with oil prices suggests worse may be to come, with WTI supported by CFTC positioning.

USD & GBP facing different hurdles; BTPs facing consolidation period
DXY’s rally not ratified by real yield differentials or risk reversals. GBP has been 2nd-best G10 currency YTD but Cable positioning looks stretched while EUR/GBP SBI was oversold last week. BTP-Bund spread SBI also extended.

Other highlights this week

EM FX vol near past 10 years’ lows. Speculators are taking less optimistic view of AUD prospects than those of CAD but this looks overdone. Precious metals lose shine for investors; Palladium’s positioning/SBI mix is the most extreme.

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Multi-Asset Essentials
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