EM credit momentum strategy turns ‘short’

Momentum strategy based on the EMBIG Diversified Index (vs its 18-day moving average) has turned to indicate a 'short' signal after being 'long' since 20 March. 

Weaker-than-expected Q1 US economic data has led to US dollar weakness. This, coupled with improving data from European economies and receding global disinflationary concerns, has pushed the euro and German Bund yields higher. 

UST yields have risen in tandem, causing the total return index to dip. The performance of the EMBIG Diversified Index will continue to be driven by UST yield movements in the near term. With investors still in data-watching mode, the US non-farm payroll (NFP) report, due out 8 May, will be crucial.