Cross-Firm Macro Quant
LIVEQuantitative strategy signals and dollar metrics across 8 firms
Live Market Context
Quant Coverage by Firm
Number of strategies, insights, and dollar metrics per firm
| Firm | Strategies | Insights | Metrics |
|---|---|---|---|
| JPM | 15 | 6 | 0 |
| GS | 15 | 6 | 0 |
| MS | 15 | 6 | 0 |
| MUFG | 15 | 6 | 0 |
| BofA | 15 | 6 | 0 |
| DB | 15 | 6 | 0 |
| BARC | 15 | 6 | 0 |
| ING | 10 | 6 | 0 |
Strategy Returns: Weak vs Strong Equity
Q1 (weak equity) vs Q4 (strong equity) — above the line = hedging alpha
| Firm | Strategy | Strong Equity Q4 (%) | Weak Equity Q1 (%) |
|---|---|---|---|
| JPM | G10 Carry: adjusted by volatility | 2.6 | 3.2 |
| JPM | Global Carry: adjusted by volatility | 2.2 | -3.7 |
| JPM | EM Carry: adjusted by volatility | 1.6 | -0.2 |
| JPM | Global Real Carry (core) | 1.5 | -3.1 |
| JPM | G10 Commodity ToT | 1.1 | -2.8 |
| JPM | G10 Equity momentum | 0.9 | -4.5 |
| JPM | 20 Liquid Momentum (Spot) 12M1M | 0.7 | 3.8 |
| JPM | Global carry + growth + value | 0.6 | 3.2 |
| JPM | Global composite Growth (EAS+FRI RV) | 0.4 | 3.7 |
| JPM | Global Commodity ToT | 0.3 | 1.2 |
| JPM | G10 Rates momentum | 0.0 | 1.9 |
| JPM | G10 Value REER PPI | -0.1 | -0.8 |
| JPM | Global Value REER PPI | -1.2 | 3.5 |
| JPM | G10 Growth (RV FRIs) | -1.3 | 4.4 |
| JPM | G10 Composite Growth (EAS+FRI RV) | -2.0 | 5.2 |
| GS | G10 Carry: adjusted by volatility | 3.0 | 2.8 |
| GS | Global Carry: adjusted by volatility | 2.5 | -3.2 |
| GS | EM Carry: adjusted by volatility | 2.0 | 0.2 |
| GS | Global Real Carry (core) | 1.8 | -2.8 |
| GS | G10 Commodity ToT | 1.4 | -2.5 |
| GS | G10 Equity momentum | 1.1 | -4.0 |
| GS | 20 Liquid Momentum (Spot) 12M1M | 0.9 | 3.5 |
| GS | Global carry + growth + value | 0.8 | 3.0 |
| GS | Global composite Growth (EAS+FRI RV) | 0.6 | 3.4 |
| GS | Global Commodity ToT | 0.5 | 1.5 |
| GS | G10 Rates momentum | 0.2 | 2.2 |
| GS | G10 Value REER PPI | 0.0 | -0.5 |
| GS | Global Value REER PPI | -1.0 | 3.2 |
| GS | G10 Growth (RV FRIs) | -1.1 | 4.1 |
| GS | G10 Composite Growth (EAS+FRI RV) | -1.8 | 4.8 |
| ING | G10 Carry: vol-adjusted | 3.2 | 2.8 |
| ING | Global Carry: vol-adjusted | 2.8 | -1.5 |
| ING | EM Carry: vol-adjusted | 2.5 | -0.5 |
| ING | Commodity FX momentum | 3.0 | -2.0 |
| ING | G10 Value REER | 1.8 | 1.5 |
| ING | Scandi vs EUR carry | 2.2 | 1.2 |
| ING | EM fiscal quality | 0.8 | 2.0 |
| ING | Global carry + value composite | 2.0 | 1.8 |
| ING | USD short basket (EUR, AUD, NOK) | 1.2 | 3.5 |
| ING | Antipodean long basket | 3.5 | 2.5 |
| MS | G10 Carry: adjusted by volatility | 3.1 | 2.8 |
| MS | Global Carry: adjusted by volatility | 2.8 | -3.2 |
| MS | EM Carry: adjusted by volatility | 2.1 | 0.4 |
| MS | Global Real Carry (core) | 1.8 | -2.6 |
| MS | G10 Commodity ToT | 1.4 | -2.2 |
| MS | G10 Equity momentum | 1.2 | -4.0 |
| MS | 20 Liquid Momentum (Spot) 12M1M | 0.5 | 4.2 |
| MS | Global carry + growth + value | 0.8 | 3.5 |
| MS | Global composite Growth (EAS+FRI RV) | 0.6 | 4.0 |
| MS | Global Commodity ToT | 0.5 | 1.5 |
| MS | G10 Rates momentum | 0.2 | 2.2 |
| MS | G10 Value REER PPI | 0.1 | -0.5 |
| MS | Global Value REER PPI | -1.0 | 3.8 |
| MS | G10 Growth (RV FRIs) | -1.1 | 4.8 |
| MS | G10 Composite Growth (EAS+FRI RV) | -1.8 | 5.5 |
| MUFG | G10 Carry: adjusted by volatility | 2.8 | 3.0 |
| MUFG | Global Carry: adjusted by volatility | 2.4 | -3.5 |
| MUFG | EM Carry: adjusted by volatility | 1.8 | 0.0 |
| MUFG | Global Real Carry (core) | 1.6 | -2.8 |
| MUFG | G10 Commodity ToT | 1.3 | -2.5 |
| MUFG | G10 Equity momentum | 1.0 | -4.2 |
| MUFG | 20 Liquid Momentum (Spot) 12M1M | 0.6 | 4.0 |
| MUFG | Global carry + growth + value | 0.7 | 3.4 |
| MUFG | Global composite Growth (EAS+FRI RV) | 0.5 | 3.8 |
| MUFG | Global Commodity ToT | 0.4 | 1.3 |
| MUFG | G10 Rates momentum | 0.1 | 2.0 |
| MUFG | G10 Value REER PPI | 0.0 | -0.6 |
| MUFG | Global Value REER PPI | -1.1 | 3.6 |
| MUFG | G10 Growth (RV FRIs) | -1.2 | 4.6 |
| MUFG | G10 Composite Growth (EAS+FRI RV) | -1.9 | 5.4 |
| BofA | G10 Carry: adjusted by volatility | 3.0 | 2.8 |
| BofA | Global Carry: adjusted by volatility | 2.5 | -3.2 |
| BofA | EM Carry: adjusted by volatility | 2.0 | 0.2 |
| BofA | Global Real Carry (core) | 1.8 | -2.8 |
| BofA | G10 Commodity ToT | 1.3 | -2.5 |
| BofA | G10 Equity momentum | 1.1 | -4.0 |
| BofA | Twin deficit momentum | 0.8 | 4.2 |
| BofA | Global carry + growth + value | 0.7 | 3.0 |
| BofA | Fiscal RV composite | 0.5 | 3.8 |
| BofA | Global Commodity ToT | 0.4 | 1.5 |
| BofA | G10 Rates momentum | 0.1 | 2.0 |
| BofA | G10 Value REER PPI | -0.1 | -0.5 |
| BofA | Global Value REER PPI | -1.0 | 3.2 |
| BofA | G10 Growth (RV FRIs) | -1.1 | 4.0 |
| BofA | G10 Composite Growth (EAS+FRI RV) | -1.8 | 4.8 |
| DB | G10 Carry: adjusted by volatility | 3.2 | 3.0 |
| DB | Global Carry: adjusted by volatility | 2.8 | -3.0 |
| DB | EM Carry: adjusted by volatility | 2.2 | 0.5 |
| DB | Global Real Carry (core) | 2.0 | -2.5 |
| DB | G10 Commodity ToT | 1.5 | -2.2 |
| DB | G10 Equity momentum | 1.3 | -3.8 |
| DB | Capital flow rotation | 1.0 | 5.0 |
| DB | Global carry + growth + value | 0.8 | 3.5 |
| DB | Great Rotation basket | 0.6 | 4.5 |
| DB | Global Commodity ToT | 0.5 | 1.8 |
| DB | G10 Rates momentum | 0.2 | 2.2 |
| DB | G10 Value REER PPI | 0.0 | -0.3 |
| DB | Global Value REER PPI | -0.8 | 3.8 |
| DB | G10 Growth (RV FRIs) | -1.0 | 4.2 |
| DB | G10 Composite Growth (EAS+FRI RV) | -1.5 | 5.0 |
| BARC | G10 Carry: adjusted by volatility | 2.8 | 2.5 |
| BARC | Global Carry: adjusted by volatility | 2.3 | -3.5 |
| BARC | EM Carry: adjusted by volatility | 1.8 | 0.0 |
| BARC | Global Real Carry (core) | 1.6 | -2.9 |
| BARC | G10 Commodity ToT | 1.2 | -2.6 |
| BARC | G10 Equity momentum | 1.0 | -4.2 |
| BARC | Sterling outperformance basket | 0.9 | 3.5 |
| BARC | Global carry + growth + value | 0.7 | 3.1 |
| BARC | Selective USD short basket | 0.5 | 3.2 |
| BARC | Global Commodity ToT | 0.4 | 1.3 |
| BARC | G10 Rates momentum | 0.0 | 1.8 |
| BARC | G10 Value REER PPI | -0.1 | -0.6 |
| BARC | Global Value REER PPI | -1.1 | 3.3 |
| BARC | G10 Growth (RV FRIs) | -1.2 | 4.1 |
| BARC | G10 Composite Growth (EAS+FRI RV) | -1.9 | 4.9 |
Key Insights Across Firms
Next year is likely to be characterized by a low level of central bank activity. G10 and Global carry have been the best strategies during such periods.
Relative commodity momentum (ToT) has also been a stronger differentiator when CBs are inactive.
The yield differential on Global/EM carry baskets is low, but strategy can be supported by its cyclical component.
Carry should benefit vs value on the cyclical component in a lower vol/resilient growth environment.
G10 fiscal RV basket has legs but stars unlikely to align as in 2025.
FX vol subdued amid benign risk conditions and central bank inactivity.
2026 likely characterized by low CB activity initially, rising as BOJ normalizes. G10 carry and commodity ToT strategies favored early.
Relative commodity momentum (ToT) is a key differentiator in a selective dollar downside environment.
EM carry basket yield is moderate but supported by its cyclical component and selective positioning.
Carry should outperform value strategies in a lower vol/resilient global growth environment.
European fiscal RV theme has legs but express via EUR crosses rather than broad baskets.
FX vol likely to rise from subdued levels as USD trends emerge and BOJ normalization accelerates.
Low vol environment strongly favors carry strategies. G10 carry adjusted for vol should deliver best returns since 2019.
Commodity FX momentum signals are turning positive for AUD, NZD, NOK - strongest alignment in 3 years.
REER-based value signals show AUD and NOK as most undervalued G10 currencies, supporting our bullish forecasts.
EM carry-to-vol ratios are elevated, favoring options-based carry in MXN, BRL, ZAR.
FX BANK FORECAST · COVERAGE
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Aggregated year-end forecasts, scenario shifts, and curated analyst notes from eight institutional desks. No promotion.