Cross-Firm Macro Quant

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Quantitative strategy signals and dollar metrics across 8 firms

Live Market Context

EUR/USD

GBP/USD

USD/JPY

USD/CHF

AUD/USD

USD/CAD

Quant Coverage by Firm

Number of strategies, insights, and dollar metrics per firm

Strategy Returns: Weak vs Strong Equity

Q1 (weak equity) vs Q4 (strong equity) — above the line = hedging alpha

USD Dollar Metrics Sentiment

Cross-firm sentiment balance across all dollar-driving factors

Cross-Firm Strategies (15)

G10 Carry: adjusted by volatility

7 firms

Global Carry: adjusted by volatility

7 firms

EM Carry: adjusted by volatility

7 firms

Global Real Carry (core)

7 firms

Dollar Metrics: Cross-Firm Sentiment

How different firms assess key USD-driving factors

usRelativeGrowth

JPMStabilized - US equities no longer worst performer vs RoW

GSConverging - US growth advantage narrowing as Europe and Asia accelerate

INGDecelerating - US growth advantage narrowing vs Eurozone and Asia

MSDecelerating in H1, re-accelerating in H2 - creates V-shape

MUFGDecelerating steadily as global growth converges

BofANarrowing - European fiscal expansion closing the growth gap

DBDeteriorating - European fiscal expansion closing and potentially reversing the growth gap

BARCDecelerating - US growth premium vs RoW narrowing in 2026

usFDIInflows

JPMNot seen significant uptick in net cross-border M&A inflows

GSModerating - net cross-border M&A flows turning less USD-supportive

INGPlateauing - FDI inflows no longer accelerating

MSSlowing as relative US attractiveness peaks

MUFGPeaking - relative US attractiveness declining

BofADeclining - capital rotating to Europe and Asia

DBDeclining sharply - Great Rotation redirecting capital to Europe and Asia

BARCNet outflows beginning as nearshoring shifts investment to Mexico and Asia

relativeEquityPerformance

JPMUS-RoW gap has narrowed in 2H

GSUS-RoW gap narrowing, European equities outperforming on fiscal hopes

INGUS-RoW gap narrowing as European and Asian equities catch up

MSUS-RoW gap narrowing in H1, may widen again in H2

MUFGUS-RoW equity gap narrowing throughout 2026

BofAUS-RoW gap narrowing as European equities outperform

DBEuropean equities now outperforming US on fiscal catalyst

BARCUS-RoW equity gap at narrowest since 2021

fedPolicy

JPMOn hold for most of 2026, potential hikes penciled for 1H27

GSEasing bias for 2026, potential 75-100bp of cuts by year-end

INGCutting cycle underway, 100bp of cuts expected in 2026

MSCutting cycle in H1, potential pause by Q3

MUFGEasing cycle of 150bp through 2026

BofAEasing cycle underway, 125bp of cuts expected through 2026

DBEasing cycle underway, 150bp of cuts expected through 2026

BARCEasing bias with 2-3 insurance cuts expected in 2026

dollarCarry

JPMDXY meaningfully undershooting its carry; early signs of convergence

GSDXY carry advantage eroding as Fed cuts while other CBs hold or hike (BOJ)

INGUSD carry advantage eroding as Fed cuts and other CBs hold

MSDXY yield advantage eroding with Fed cuts

MUFGDXY yield advantage eroding as Fed cuts and BoJ hikes

BofAUSD carry advantage eroding as Fed cuts and ECB holds

DBUSD carry advantage evaporating as Fed cuts while ECB and BoJ hold or hike

BARCDXY carry advantage eroding as Fed cuts while others hold

summary

JPMUSD metrics on a better footing than during peak weakness in 1H25. Some positive asymmetry possible.

GSUSD fundamentals deteriorating on multiple fronts. Twin deficits, eroding carry, and growth convergence all point to sustained but measured weakness.

INGMultiple USD valuation pillars weakening simultaneously. Bearish USD bias has strong fundamental support.

MSUSD metrics point to H1 weakness but H2 stabilization. Asymmetric risk profile favors tactical positioning.

MUFGAll five USD metrics point bearish. Post-peak USD world is our highest conviction macro call for 2026.

BofAStructural headwinds from twin deficits dominate. USD weakness broadest after Q1 as European fiscal catalyst materializes.

DBMost bearish USD setup in a decade. The Great Rotation from US assets is structural, not cyclical. DXY 92 by year-end.

BARCUSD metrics point to sustained weakness. Twin deficits, fading growth premium, and Fed easing create a negative confluence. More bearish than consensus.

Key Insights Across Firms

JPM

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.

JPM

Relative commodity momentum (ToT) has also been a stronger differentiator when CBs are inactive.

JPM

The yield differential on Global/EM carry baskets is low, but strategy can be supported by its cyclical component.

JPM

Carry should benefit vs value on the cyclical component in a lower vol/resilient growth environment.

JPM

G10 fiscal RV basket has legs but stars unlikely to align as in 2025.

JPM

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.

ING

Low vol environment strongly favors carry strategies. G10 carry adjusted for vol should deliver best returns since 2019.

ING

Commodity FX momentum signals are turning positive for AUD, NZD, NOK - strongest alignment in 3 years.

ING

REER-based value signals show AUD and NOK as most undervalued G10 currencies, supporting our bullish forecasts.

ING

EM carry-to-vol ratios are elevated, favoring options-based carry in MXN, BRL, ZAR.

JPM Macro Quant →GS Macro Quant →ING Macro Quant →MS Macro Quant →MUFG Macro Quant →BofA Macro Quant →DB Macro Quant →BARC Macro Quant →