Deutsche Bank
FX Blueprint 2026: The Great Rotation
LIVE12 December 2025USD bearish
FX Macro Quant
Deutsche Bank quantitative strategy signals and factor analysis
Key Insights for 2026
1The Great Rotation is the dominant force in 2026 FX markets. Capital flow signals have turned decisively negative for USD.
2European fiscal stimulus creates a structural positive growth shock that benefits EUR, NOK, and SEK over multiple quarters.
3JPY mean-reversion from extreme REER undervaluation is the most asymmetric trade, best expressed via options.
4EM carry-to-vol ratios are at multi-year highs, especially in EMEA (ZAR, PLN, HUF).
5G10 Scandi currencies (NOK, SEK) offer the best risk-adjusted returns as leveraged plays on European recovery.
6USD correlation structure is breaking down, creating opportunities in cross-rates and FX correlation trades.
Strategy Returns: Strong vs Weak Equity
Avg quarterly returns by equity quartile regime
Strategy Regime Sensitivity
Weak equity return vs strong equity return per strategy
Strategy Returns Heatmap
Color intensity represents return magnitude
| Strategy | Weak Q1 | Q2 | Q3 | Strong Q4 |
|---|---|---|---|---|
| G10 Carry: adjusted by volatility | +3.0% | -0.3% | +2.8% | +3.2% |
| Global Carry: adjusted by volatility | -3.0% | +0.3% | +1.2% | +2.8% |
| EM Carry: adjusted by volatility | +0.5% | +0.2% | -0.3% | +2.2% |
| Global Real Carry (core) | -2.5% | +1.2% | +1.8% | +2.0% |
| G10 Commodity ToT | -2.2% | +1.8% | +2.8% | +1.5% |
| G10 Equity momentum | -3.8% | -0.1% | +0.8% | +1.3% |
| Capital flow rotation | +5.0% | +1.5% | +1.8% | +1.0% |
| Global carry + growth + value | +3.5% | +1.4% | +1.8% | +0.8% |
| Great Rotation basket | +4.5% | +2.0% | +1.5% | +0.6% |
| Global Commodity ToT | +1.8% | +2.0% | +1.0% | +0.5% |
| G10 Rates momentum | +2.2% | +1.5% | -0.2% | +0.2% |
| G10 Value REER PPI | -0.3% | +0.5% | -0.1% | +0.0% |
| Global Value REER PPI | +3.8% | +0.8% | +0.5% | -0.8% |
| G10 Growth (RV FRIs) | +4.2% | +0.6% | +0.9% | -1.0% |
| G10 Composite Growth (EAS+FRI RV) | +5.0% | +0.6% | +0.4% | -1.5% |
Strategy Profile
Absolute return magnitude
Live Market Context
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USD/CHF
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USD/CAD
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