20160825-法国巴黎银行-BNP_Paribas_STEER__Model_-_Trading_Signals_11页_401kb

BNP Paribas STEER™ Model Summary

Core Content

The BNP Paribas STEER™ Model provides trading signals for various currency pairs, indicating whether to go long or short based on the model's assessment of fair value and market deviation. The summary below outlines the key signals, their performance, and relevant market insights.

Trading Signals Overview

New Signals (25-Aug-16)

• SHORT USDCOP at 2942.0900, targeting 2917.4118, with a stop loss at 2954.4291. The model believes the rise in USDCOP following Columbian equity market weakness is overdone.

Closed Signals (24-Aug-16)

• SHORT USDZAR at 14.1210, closed at 14.2280 with a return of -0.76%. The pair is still considered overvalued.
• SHORT USDCLP at 671.4900, closed at 673.3500 with a return of -0.28%.
• SHORT USDMXN at 18.6036, closed at 18.4419 with a return of 0.87%. The pair has returned to line with the model's fair value since 5th August.

Existing Signals

• SHORT USDJPY at 102.2200, targeting 98.4609.
• SHORT EURSEK at 9.4843, targeting 9.3456.
• SHORT USDINR at 67.1712, targeting 66.7946.
• SHORT USDBRL at 3.2351, targeting 3.1986.

Recently Closed Signals

• SHORT NZDUSD at 0.7253, closed at 0.7336 with a return of -1.14%.
• LONG EURGBP at 0.8402, closed at 0.8605 with a return of 2.42%.
• SHORT USDMXN at 18.3001, closed at 18.2399 with a return of 0.33%.
• SHORT USDCLP at 668.9500, closed at 665.3100 with a return of 0.54%.

Key Market Insights

• The model continues to signal short positions for USDJPY, EURSEK, USDINR, and USDBRL, with targets set below current levels.

• The z-score for several currencies indicates their deviation from short-term fair value:

  • EURGBP: z-score = 0.8644 (overvalued)
  • AUDUSD: z-score = 0.7674 (overvalued)
  • EURNOK: z-score = 9.2704 (overvalued)
  • EURUSD: z-score = 1.1299 (overvalued)
  • EURCHF: z-score = 1.0865 (overvalued)
  • USDCAD: z-score = 1.2880 (overvalued)
  • GBPUSD: z-score = 1.3073 (overvalued)
  • USDJPY: z-score = 98.46 (overvalued)
  • EURSEK: z-score = 9.3456 (overvalued)
  • USDMXN: z-score = 18.4094 (overvalued)
  • USDPEN: z-score = 3.3317 (overvalued)
  • USDBRL: z-score = 3.1967 (overvalued)
  • USDCLP: z-score = 665.01 (overvalued)
  • USDCOP: z-score = 2902 (overvalued)
  • USDTRY: z-score = 2.9865 (overvalued)
  • EURRON: z-score = 4.4714 (overvalued)
  • EURPLN: z-score = 4.3323 (overvalued)
  • USDILS: z-score = 3.7908 (overvalued)
  • EURCZK: z-score = 27.0284 (overvalued)
  • USDZAR: z-score = 13.9736 (overvalued)
  • USDRUB: z-score = 64.3825 (overvalued)
  • USDIDR: z-score = 13183 (overvalued)
  • USDTHB: z-score = 34.8384 (overvalued)
  • USDPHP: z-score = 46.7466 (overvalued)
  • USDTWD: z-score = 31.7028 (overvalued)
  • USDSGD: z-score = 1.3484 (overvalued)

• The z-score is calculated based on the deviation from short-term fair value and indicates the overvaluation or undervaluation of the currency pair.

• Some signals are marked with a dotted line, indicating they did not pass the 'co-integration filter' for statistical significance.

Key Performance Metrics

• Return (%) for closed signals varies, with some showing positive returns and others negative.
• The model emphasizes that the information and opinions are based on public sources and may be subject to change.
• The report is a marketing communication and not independent investment research, and should not be relied upon as an authoritative source.

Strategy Contacts

Global Strategy Contacts

Emerging Markets FX & IR Strategy Contacts

Disclaimer

• This document is a marketing communication and not independent investment research.
• It is not subject to any prohibition on dealing ahead of the dissemination of investment research.
• BNP Paribas may have a financial interest in any issuer or person mentioned in this report.
• The information and opinions are based on public sources and may be subject to change.
• No liability is accepted for any loss arising from reliance on the information contained in this report.
• The report is for the use of intended recipients and may not be reproduced or distributed without prior written consent.