20180130-法国巴黎银行-FX_Momentum_9页_995kb

BNP Paribas FX Momentum Summary

Core Content

BNP Paribas FX Momentum is a tool used to assess the strength of a currency's bullish or bearish trend, with scores ranging from -100 to +100. The strategy incorporates the momentum of FX drivers, interest rates, and equity markets to provide a comprehensive view of currency trends.

Key Currency Momentum Insights

• USD FX Component: The FX component of the USD momentum measure has reached extremely bearish levels, similar to September 2017, indicating a strong downward trend in the US dollar.
• NZD Momentum: The NZD momentum has turned increasingly bearish at a score of -81, with both rates and equity markets also showing extreme bearishness.
• CHF Momentum: The CHF momentum has turned slightly bullish at a score of +14, as the FX component has become much less bearish.
• CAD Momentum: CAD momentum has moderated this week but remains the most bullish in the G10 space with a score of +41.

Strategy Overview

• The momentum is calculated using a two-moving average method to detect trends in exchange rates.
• The strategy also includes the momentum of relative interest rates and equity market performance to better assess the strength of trends.
• The strategy has historically delivered a Sharpe ratio of 0.79 since 2002 when trading a basket of major currency pairs.

Portfolio Returns and Risk

• Portfolio returns are based on equally-weighted baskets of each G10 currency, with position sizes determined by momentum scores and a 10% volatility target.
• The strategy is not intended to provide investment, financial, legal, or tax advice and should not be relied upon as such.
• The document includes disclaimers regarding the use of back-tested performance data and the potential for conflicts of interest.

Contacts and Legal Information

FX Strategy Contacts

Production and Editorial

Legal and Disclaimer Information

• The document is non-independent research and may be subject to conflicts of interest.
• It is a marketing communication and not investment research.
• No liability is accepted for any loss arising from reliance on the document.
• Performance data may be based on back-testing and is not indicative of future results.
• The information is for informational purposes only and not to be construed as a prospectus or public offering.
• BNP Paribas may have financial interests in the securities or entities discussed and may engage in transactions inconsistent with the views expressed.
• The document is confidential and may not be distributed without prior written consent.

Additional Disclosures

• Options: Complex instruments with high risk, suitable only for sophisticated investors.
• ETFs: May involve tracking error, currency, and geopolitical risks.
• Convertibles and other securities: May not be registered under US Securities Laws and are restricted securities.
• Legal Notices: The document is produced by a BNP Paribas group company and is for the use of intended recipients only.

Useful Links

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• Bloomberg: Fixed Income Research (BPFR), G10 Interest Rate Research (BPBS), Emerging Markets Research (BPFR), Market Economics (BPEC)

Jurisdictional Information

• UK: BNP Paribas London Branch, authorized by ECB, ACPR, and FCA.
• France: Report produced by BNP Paribas SA and BNP Paribas Arbitrage, authorized and supervised by ECB and ACPR.
• Germany: Distributed by BNP Paribas S.A. Niederlassung Deutschland, authorized and supervised by ECB and ACPR.
• Belgium: Report is authorized and supervised by ECB and National Bank of Belgium.
• Ireland: Distributed by BNP Paribas S.A., Dublin Branch, regulated in France.
• Italy: Distributed by BNP Paribas Succursale Italia, authorized and supervised by ECB and ACPR.
• Netherlands: Distributed by BNP Paribas Fortis SA/NV, Netherlands Branch, regulated in Belgium.