20180102-法国巴黎银行-FX_Momentum_9页_1mb

报告摘要

Summary of FX Momentum Strategy (BNP Paribas) - 2 January 2018

Core Content

This document provides an overview of the BNP Paribas FX Momentum strategy, detailing the current momentum trends of G10 currencies as of 2 January 2018. The strategy is based on analyzing the momentum of exchange rates, interest rates, and equity markets to determine the strength of currency trends.

Key Currency Momentum Trends

CAD (Canadian Dollar): The momentum is strongly bullish, indicating a positive trend in the currency.
NZD (New Zealand Dollar): The momentum remains bearish, suggesting a negative trend.
JPY (Japanese Yen): Momentum has become increasingly bearish. Although USDJPY has declined, the overall trend suggests JPY may weaken further.
USD (US Dollar): Overall momentum is bullish, but FX trends are bearish. However, rates and equity markets are sending bullish signals.
NOK (Norwegian Krone): Momentum has switched to bullish, with a score of +13 on the -/+100 scale.
SEK (Swedish Krona): Momentum remains bearish.

Strategy Overview

BNP Paribas FX Momentum measures the strength of a currency's trend on a scale from -100 to +100.
Trends are identified using a method based on moving averages. A bullish trend is indicated when the shorter moving average is above the longer one.
The strategy incorporates momentum from FX drivers, interest rates, and equity markets, not just exchange rates.
It considers relative interest rates and equity market performance to better assess trend strength.

Performance

The strategy has historically provided a Sharpe ratio of 0.79 since 2002, based on trading a basket of major currency pairs.
Portfolio returns are calculated using equally-weighted baskets of G10 currencies, with position sizes determined by momentum scores and a 10% volatility target.

Contacts

Foreign Exchange Strategy Team

Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, London
Sam Lynton-Brown: FX Strategist, London
Natalie Rickard: FX Strategist, London
Alex Jekov: Graduate, London
Daniel Katzive, CFA: Head of FX Strategy North America, New York
Vasilis Koutsaftis: FX Options Strategist, New York

Emerging Markets FX & IR Strategy Team

Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London
Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo
Piotr Chwiejczak: FX & IR CEEMEA Strategist, London
Sai Ulluri: FX & IR CEEMEA Strategist, London
Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul
Mirza Baig: Head of FX & IR Asia Strategy, Singapore
Dawn Kwa: Graduate, Singapore
Altaz Daghia: AU/NZ IR Strategist, Singapore
Kun Shan: China Strategist, Shanghai
Tianhe Ji: China Strategist, Beijing
Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo
Samuel Castro: FX & IR Latam Strategist, Sao Paulo
Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo

Legal and Distribution Notice

This document is a marketing communication and not investment research.
It is intended for Professional Clients and Eligible Counterparties under MiFID.
It does not constitute a prospectus, an advertisement, or public offering.
BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
The document is for the use of intended recipients only and may not be reproduced or distributed without prior written consent.
All information is based on public sources and may not be independently verified. BNP Paribas does not guarantee accuracy or completeness.
Performance data may include back-testing results and is not indicative of future performance.
The information is provided on a confidential basis and may not be copied or shared without written consent.

Additional Disclosures

Options: Complex instruments with high risk, suitable only for sophisticated investors.
ETFs: May involve tracking error, currency, and geopolitical risks. BNP Paribas may have conflicts of interest.
Securities: Some may not be registered under US Securities Laws and are restricted to Qualified Institutional Buyers or non-US persons under Regulation S.
Regulatory Information: The document is distributed by BNP Paribas branches in various jurisdictions, each subject to local and EU regulations.