20160823-法国巴黎银行-BNP_Paribas_STEER_Model_-_Trading_Signals_11页_295kb
报告摘要
BNP Paribas STEERTM Model Summary
Core Content Overview
The BNP Paribas STEERTM Model provides trading signals based on statistical analysis of currency pairs, identifying overvalued or undervalued positions and suggesting entry, exit, and return percentages. The model uses a 'co-integration filter' to assess the statistical confidence of convergence back to the short-term value (STEER).
Key Trading Signals
New Signals
- 23-Aug-16: Short USDCLP at 668.9500, targeting 665.3078, with a stop loss at 670.7711. This signal was initiated due to the Chilean peso overreacting to the recent weakness of Chilean equities.
Closed Signals
- 17-Aug-16: Short NZDUSD closed at a loss of -1.14% at 0.7336. The pair no longer appeared overvalued.
- 22-Aug-16: Short USDMXN closed at a profit of 0.33% at 18.2399. The model no longer passes the co-integration filter, indicating less statistical confidence in convergence.
- 23-Aug-16: Short USDBRL closed at a profit of 1.12% at 3.2030. The trade was taken profit.
Existing Signals
- 02-Aug-16: Short USDJPY at 102.2200, targeting 98.1019, with a stop loss at 103.8500. Return is currently at 2.12%.
- 17-Aug-16: Short EURSEK at 9.4843, targeting 9.3378, with a stop loss at 9.5542. Return is currently at 0.09%.
- 22-Aug-16: Short USDINR at 67.1712, targeting 66.7946, with a stop loss at 67.3595. Return is currently at 0.15%.
Currency Deviations (G10)
| Currency | STEER | Spot | z-score |
|---|---|---|---|
| EURGBP | 0.8762 | 0.8610 | -0.88(-1.81%) |
| USDCAD | 1.2934 | 1.2900 | -0.25(-0.26%) |
| AUDUSD | 0.7669 | 0.7640 | -0.21(-0.32%) |
| EURUSD | 1.1301 | 1.1340 | 0.27(0.35%) |
| EURNOK | 9.2753 | 9.3020 | 0.34(0.29%) |
| EURCHF | 1.0864 | 1.0890 | 0.38(0.26%) |
| NZDUSD | 0.7237 | 0.7330 | 0.83(1.31%) |
| USDJPY | 98.10 | 100.10 | 0.99(1.98%) |
| GBPUSD | 1.2897 | 1.3180 | 1.18(2.12%) |
| EURSEK | 9.3378 | 9.4730 | 1.48(1.43%) |
Currency Deviations (CEEMEA)
| Currency | STEER | Spot | z-score |
|---|---|---|---|
| EURRON | 4.4736 | 4.4570 | -1.46(-0.38%) |
| EURHUF | 312.44 | 310.30 | -1.38(-0.69%) |
| USDZAR | 13.6944 | 13.4700 | -1.05(-1.67%) |
| USDTRY | 2.9614 | 2.9390 | -0.78(-0.76%) |
| USDILS | 3.7817 | 3.7690 | -0.39(-0.34%) |
| EURCZK | 27.0280 | 27.0230 | -0.25(-0.02%) |
| EURPLN | 4.3176 | 4.3120 | -0.21(-0.14%) |
| USDRUB | 64.1561 | 64.7680 | 0.88(0.94%) |
Currency Deviations (Latin America)
| Currency | STEER | Spot | z-score |
|---|---|---|---|
| USDCOP | 2887 | 2889 | 0.11(0.09%) |
| USDBRL | 3.1891 | 3.2010 | 0.32(0.36%) |
| USDPEN | 3.3216 | 3.3500 | 0.90(0.85%) |
| USDMXN | 18.0173 | 18.2380 | 1.38(1.21%) |
| USDCLP | 660.73 | 669.00 | 2.26(1.23%) |
Main Points
- The model identifies currency pairs that are overvalued or undervalued based on statistical analysis and co-integration.
- Some signals have reached their maximum allowable time (20 days) and may require adjustments.
- The EURGBP long trade has reached a profit of 2.42%, but has not yet hit the target.
- The NZDUSD short trade was closed at a loss due to the pair no longer being overvalued.
- The USDMXN short trade was closed at a profit, but the model no longer passes the co-integration filter.
- USDCLP is currently in a short position, initiated due to overreaction of the peso to equity weakness.
- The STEER model is a trademark of BNP Paribas and is used to generate trading signals.
Important Notes
- The model is based on public sources and may not be entirely accurate or up to date.
- The report is for professional clients only and not intended for retail clients.
- BNP Paribas may have financial interests in the currencies or securities mentioned.
- The report is subject to change and may not be relied upon as the sole basis for investment decisions.
- The information is not independent investment research and is not intended to be taken as a substitute for professional advice.
Contacts
Global Strategy
- Steven Saywell: Global Head of FX Strategy, London, steven.saywell@uk.bnpparibas.com
- Michael Sneyd, CFA: FX Strategist & Lead Quant Strategist, London, michael.sneyd@uk.bnpparibas.com
- Sam Lynton-Brown: FX Strategist, London, sam.lynton-brown@uk.bnpparibas.com
- Daniel Katzive, CFA: Head of FX Strategy North America, New York, daniel.katzive@us.bnpparibas.com
- Vasilis Koutsaftis: FX Options Strategist, New York, vasilis.koutsaftis@americas.bnpparibas.com
Emerging Markets FX & IR Strategy
- Wike Groenenberg: Global Head of EM Strategy, London, wike.groenenberg@uk.bnpparibas.com
- Piotr Chwiejczak: FX & IR CEEMEA Strategist, London, piotr.chwiejczak@uk.bnpparibas.com
- Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul, erkin.isik@teb.com.tr
- Mirza Baig: Head of FX & IR Asia Strategy, Singapore, mirza.s.baig@asia.bnpparibas.com
- Jennifer Kusuma: FX & IR Asia Strategist, Singapore, jennifer.kusuma@asia.bnpparibas.com
- Altaz Daga: AU/NZ IR Strategist, Singapore, altaz.dagha@asia.bnpparibas.com
- Kun Shan: China Strategist, Shanghai, kun.shan@asia.bnpparibas.com
- Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo, gabriel.gersztein@br.bnpparibas.com
- Samuel Castro: FX & IR Latam Strategist, Sao Paulo, samuel.castro@br.bnpparibas.com
- Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo, gustavo.mendonca@br.bnpparibas.com
Legal Disclaimer
- This report is not independent investment research and may be subject to conflicts of interest.
- It is a marketing communication and not intended as a substitute for professional advice.
- No liability is accepted for any loss arising from reliance on the information.
- The report may be distributed only to certain clients in specific jurisdictions as outlined.
- The information is subject to change without notice and is not guaranteed.
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