Rates cut priced, breadth thin: how the trend sleeves are positioned
The September cut is fully priced and the index sits at a high made by eleven names. The trend sleeves are long because the tape says so, not because the narrative does; the vol budget is what decides size, and it is currently at 92% of target.
Residual momentum is the sleeve to watch. When breadth is this thin the residual leg carries the same names as the index leg, which is the one configuration in which the two sleeves stop diversifying each other. We are running the residual book at 60% until breadth recovers.
Hong Kong is a different regime: flat, and waiting. The HK tech sleeve has not traded in three weeks. That is the rule working, not the desk sleeping.
Related vaults
Time-series trend on US index ETFs. Dual moving-average with a volatility budget. Flat in chop.
Cross-sectional momentum on US mega-caps after stripping market and sector beta. Long the residual winners, flat otherwise.
Trend sleeve on Hong Kong-listed platform names. Expect long flat stretches; the sleeve only pays in a regime.
Trading involves risk. Past performance is not indicative of future results. Vault NAV can rise or fall.