Tuesday, 04 August, 2020
Citi – Main takeaways on Aug seasonality:
Citi – Main takeaways on Aug seasonality:
– August seasonality is most pronounced in global rates and Gold. Yields across US, Canada, Europe and the Antipodeans on average have seen a significant fall in the backend of the curve over the month over the last 20 years, even though seasonality has become less consistent over time. There is little evidence of August seasonality in equities.
– Implied FX vol tends to rise in August. In spot, there is some evidence of cross-yen and USD upside, but mostly focused on USDEM (e.g. USDZAR, USDMXN) with little consistency in G10 FX. Narrowing our time horizon to 15 years from 20 suggests strong seasonal patterns in AUDUSD.
– We therefore see August seasonality as reflecting mostly poor liquidity conditions and occasional risk events, which amid aspirational valuations and various headwinds are likely to keep investor risk exposures limited and bear risk of temporary corrections this year, too (ES1: Time to be cautious?). However, given very low rates and the very large YTD rally (~29%) in gold, largest over the past 20 years, this year’s moves may be more subdued.
——————————————————————————-
This message may contain confidential or privileged information. If you are not
the intended recipient, please advise us immediately and delete this message.
The unauthorised use, disclosure, distribution and/or copying of this e-mail or
any information it contains is prohibited.
This information is not, and should not be construed as, a recommendation,
solicitation or offer to buy or sell any securities or related financial
products. This information does not constitute investment advice, does not
constitute a personal recommendation and has been prepared without regard to
the individual financial circumstances, needs or objectives of persons who
receive it.
