MUFG
2026 FX Outlook: Post-Peak USD World
LIVE19 December 2025USD bearish
FX Macro Quant
MUFG quantitative strategy signals and factor analysis
Key Insights for 2026
1Post-peak USD environment favors trend-following strategies, particularly momentum in EUR and JPY.
2Carry strategies perform best in low-vol regimes - 2026 CB inactivity supports this backdrop.
3Commodity ToT strategies benefit from base metals recovery and oil stability - long AUD, NOK.
4EM carry-to-vol ratios at best levels since 2019, supporting options-based carry harvesting.
5European fiscal renaissance creates new value opportunities in EUR crosses - EUR/CHF, EUR/SEK.
6Risk of strategy regime shift is low given benign macro outlook and suppressed vol.
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% | -0.6% | +2.0% | +2.8% |
| Global Carry: adjusted by volatility | -3.5% | +0.0% | +0.9% | +2.4% |
| EM Carry: adjusted by volatility | +0.0% | -0.1% | -0.8% | +1.8% |
| Global Real Carry (core) | -2.8% | +1.0% | +1.4% | +1.6% |
| G10 Commodity ToT | -2.5% | +1.5% | +2.4% | +1.3% |
| G10 Equity momentum | -4.2% | -0.4% | +0.6% | +1.0% |
| 20 Liquid Momentum (Spot) 12M1M | +4.0% | -0.9% | -0.8% | +0.6% |
| Global carry + growth + value | +3.4% | +1.2% | +1.1% | +0.7% |
| Global composite Growth (EAS+FRI RV) | +3.8% | +0.0% | +1.5% | +0.5% |
| Global Commodity ToT | +1.3% | +1.6% | +0.8% | +0.4% |
| G10 Rates momentum | +2.0% | +1.6% | -0.4% | +0.1% |
| G10 Value REER PPI | -0.6% | +0.3% | -0.3% | +0.0% |
| Global Value REER PPI | +3.6% | +0.5% | +0.2% | -1.1% |
| G10 Growth (RV FRIs) | +4.6% | +0.3% | +0.6% | -1.2% |
| G10 Composite Growth (EAS+FRI RV) | +5.4% | +0.3% | +0.1% | -1.9% |
Strategy Profile
Absolute return magnitude
Live Market Context
EUR/USD
--
GBP/USD
--
USD/JPY
--
USD/CHF
--
AUD/USD
--
USD/CAD
--