Via eFX:
Barclays Research provides the output of its month-end fixing model.
"The passive rebalancing model at month-end points to strong USD selling against all majors except for EUR and JPY, where the signal is moderate," Barclays notes.
"We now publish our month-end signal earlier. Our analysis shows that trading earlier (a few days before month-end) improves the model's performance. Strategies with longer holding periods perform better than our default strategy, which looks at FX performance from noon to 4PM GMT the day of month-end and has shown declining returns over the past few years. This suggests that flows are now spread over the week before month-end," Barclays adds.
This is via the folks at eFX.
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