Fade a Big UST Market Reaction to Jobs Report, Wells Fargo Says
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
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Mike Schumacher (Wells Fargo Securities LLC)
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UUID: 7947283
(Bloomberg) -- Range of forecasts for September nonfarm payrolls change is biggest in years, owing to uncertain impact of hurricanes. A study of market reaction to jobs reports since 2000 shows that “when the forecast is highly variable, Treasury traders have tended to look past the NFP data point,” Wells Fargo strategists led by Mike Schumacher write in note.
- “We recommend fading the move if Treasuries react significantly in the first hour or two of trading after NFP is released tomorrow”
- Standard deviation of forecasts (80k median in Bloomberg survey) is 44k, largest since 2010 and more than twice the 20k norm for the past year
- In months when the standard deviation has been 40k-50k, regression produces R-squared of 0.01, which “is not a misprint”; for last 12 months, R-squared is 0.11
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
People
Mike Schumacher (Wells Fargo Securities LLC)
To de-activate this alert, click here
To modify this alert, click here
UUID: 7947283