Quarterly Outlook
Macro Outlook: The US rate cut cycle has begun
Peter Garnry
Chief Investment Strategist
Head of Commodity Strategy
Summary: The Commitments of Traders reports highlight speculators positions and changes made during the week to June 9 in FX, bonds and stocks. Appetite for risk remained high that week, not least following the better-than-expected US job report on June 5. The S&P 500 rallied 4.2%, the dollar index lost 1.4% while bond yields jumped
Saxo Bank publishes two weekly Commitment of Traders reports (COT) covering leveraged fund positions in bonds and stock index futures. For IMM currency futures and the VIX, we use the broader measure called non-commercial.
Hedge funds and other large speculators increased their dollar short against ten IMM currency futures and the Dollar Index by 22% to $8.5 billion, a seven-week high. The risk-on seen during the week supported fresh buying of the euro, reduction of yen longs while short positions in other pairs continued to be scaled back.
The change was led by the euro where the net-long reached 96k lots, the most bullish since May 2018. Adding to the rising dollar short was short covering in GBP, CAD, AUD and NZD. The Japanese yen meanwhile was sold with the net-long dropping to the lowest since March.