Exante Data

Here we take a closer look at the daily returns of major cryptocurrencies and other global assets in terms of their volatility adjusted returns.

The largest move in the last 7 days was: France 10Y. G10 bond yields that had 2 standard deviation moves during the period include: France 10Y, German 10Y, German 30Y, German 5Y, France 30Y, AU 10Y, Fra. 10s30s, Sweden 5Y (among others)

The largest move in the last 24 hours was: Fra. 10s30s. G10 bond yields that had 2 standard deviation moves during the period include: Fra. 10s30s, France 10Y, Sweden 5Y, China 10Y, Sweden 2Y, Fra. 2s10s, German 2Y, German 10Y (among others)

The largest move in the last 24h was: Brent. There were no commodities that had returns greater than 2 standard deviations during the period.

Looking at notional #ETF flows to monitor sector rotations within US Equities: currently the sectors experiencing the largest inflows compared to their averages include Broad Debt and Health Care, while outflows are being seen in Small Cap and Gold.

The biggest movers in global FX overnight, based on volatility adjusted returns were #EURSEK, #NOKSEK, #USDTHB, #EURCAD, & #USDHUF. For USD crosses, 6 out of 28 had positive returns. For EUR crosses, 6 out of 13 had positive returns. #Forex

The largest move in the last 7 days was: UK 10Y. Among the major cryptocurrencies and global assets those that had 2 standard deviation moves in the last 7 days include: UK 10Y

Here we take a closer look at the daily returns of major cryptocurrencies and other global assets in terms of their volatility adjusted returns.

Here is a broad view of global stock indices. During the last week, top gainers based on volatility adjusted returns include: DAX (4.06%), FTSE100 (2.95%), SEK OMXS30 (3.61%). In contrast, least performers were ZAR JSE40 (-1.31%), MYR KLCI (-1.58%), IDR LQ45 (-5.53%).

The largest move in the last 7 days was: Coal. There were no commodities that had returns greater than 2 standard deviations during the period.

The largest move in the last 7 days was: GB 30Y. G10 bond yields that had 2 standard deviation moves during the period include: GB 30Y, GB 10Y, Fra. 10s30s, GB 5Y, Sweden 20Y

The largest move in the last 24 hours was: US 10s30s. G10 bond yields that had 2 standard deviation moves during the period include: US 10s30s, China 10Y, German 10Y, German 30Y, France 30Y, France 10Y, Sweden 10Y

The largest move in the last 24h was: Lean Hogs. There were no commodities that had returns greater than 2 standard deviations during the period.

Over the last 20 days, we have generally seen the S&P index outperform the signals from global assets correlated to risk sentiment. The S&P has outperformed the model by +1.83% cumulatively during the period.

2 Hours ahead of the NY Open, our cross-asset model indicates a +0.03% gain for the S&P (while futures are up +0.42% since prior close). The signal from Rates is most bullish (+0.12%), while the signal from FX is least bullish (-0.03%).

Looking at notional #ETF flows to monitor sector rotations within US Equities: currently the sectors experiencing the largest inflows compared to their averages include Treasury and Investment Grade, while outflows are being seen in Small Cap and Financials.

Over the last 20 days, we have generally seen the S&P index outperform the signals from global assets correlated to risk sentiment. The S&P has outperformed the model by +1.68% cumulatively during the period.

5 Hours ahead of the NY Open, our cross-asset model indicates a -0.02% loss for the S&P (while futures are up +0.23% since prior close). The signal from Rates is most bullish (+0.06%), while the signal from FX is least bullish (-0.09%).

The biggest movers in global FX overnight, based on volatility adjusted returns were #USDTRY, #USDKRW, #KRWJPY, #USDIDR, & #USDINR. For USD crosses, 22 out of 28 had positive returns. For EUR crosses, 6 out of 13 had positive returns. #Forex

Here we take a closer look at the daily returns of major cryptocurrencies and other global assets in terms of their volatility adjusted returns.