巴黎银行-全球-外汇市场-外汇驱动力-20171030-BNP_Paribas-FX_Momentum_9页_1mb

报告摘要

Summary of FX Momentum Report (31 October 2017)

Core Content

This report provides an analysis of the BNP Paribas FX Momentum strategy, focusing on the trend strength of G10 currencies as of 31 October 2017. The momentum scores are calculated on a scale from -100 (bearish) to +100 (bullish), reflecting the strength of trends in exchange rates, relative interest rates, and equity markets.

Key Currency Momentum Scores

NZD (New Zealand Dollar): The strongest bearish trend among G10 currencies, with an overall momentum score of -84, the most extreme since 2008.
USD (US Dollar): Remains bullish, but the overall momentum score has moderated slightly due to a less bullish equity component.
EUR (Euro): Momentum has turned more bullish, reaching +16 this week, primarily driven by improved FX momentum.
AUD (Australian Dollar): Momentum has become more bearish, with a score of -19.

Strategy Overview

The BNP Paribas FX Momentum strategy measures the strength of a currency's trend by analyzing:

Exchange rate momentum using moving averages.
Relative interest rate momentum.
Relative equity market performance.

The strategy evaluates the momentum of each G10 currency and constructs a portfolio based on these scores, with position sizes determined by the momentum values and a 10% volatility target. The portfolio is indexed to 1 January 2010.

Since 2002, the strategy has provided a Sharpe ratio of 0.79, indicating a reasonable risk-adjusted return.

Key Information

Momentum Calculation: Each currency receives a score based on the combination of FX, interest rate, and equity momentum. The FX momentum component varies between +/-33.3, while the overall score ranges between +/-100.
Chart Sources: All charts are sourced from Macrobond and BNP Paribas.
Portfolio Returns: The report includes a chart of BNP Paribas FX Momentum portfolio returns, though specific figures are not detailed.
Legal and Regulatory Information: The document is a marketing communication and not investment research. It is intended for Relevant Persons as defined under MiFID and other regulations. BNP Paribas and its affiliates may have conflicts of interest due to their involvement in trading, underwriting, or advisory roles related to the instruments discussed.

Strategy Contacts

FX Strategy Team:
- Michael Sneyd, CFA – Global Head of FX Strategy & Cross-Asset Strategist, London
- Natalie Rickard – FX Strategist, London
- Sam Lynton-Brown – FX Strategist, London
- Clara Leonard – FX Strategist, London
- Daniel Katzive, CFA – Head of FX Strategy North America, 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

Distribution and Legal Disclaimer

Distribution: The document is produced by BNP Paribas London Branch and is intended for professional clients and eligible counterparties.
Confidentiality: The information is provided on a strictly confidential basis and may not be distributed without prior written consent.
Liability Disclaimer: BNP Paribas does not accept any liability for the accuracy or completeness of the information or for any use made of it.
Performance Data: Performance data is based on back-testing and is not indicative of future results. Simulated performance may not reflect real-world factors such as liquidity constraints and transaction costs.

Important Disclosures

Options: Complex instruments with high risk, suitable only for sophisticated investors. Information is available only to those who have received proper risk disclosure documents.
ETFs: May involve tracking error, currency, and geopolitical risks. BNP Paribas may have conflicts of interest due to its role as a market maker, advisor, or underwriter.
Securities: Some may not be registered under US securities laws and are considered "restricted securities" under Rule 144A.
No Investment Advice: The document does not provide investment, financial, legal, or tax advice. Past performance is not indicative of future results.

Regulatory Information

UK: The document is communicated by BNP Paribas London Branch, authorized and supervised by the ECB and ACPR.
France: Produced by BNP Paribas SA and/or 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: BNP Paribas Fortis SA/NV is authorized and supervised by ECB and the National Bank of Belgium.
Ireland: Distributed by BNP Paribas S.A., Dublin Branch, regulated in France.
Italy: Distributed by BNP Paribas Italian Branch, authorized and supervised by ECB and ACPR.
Netherlands: Distributed by BNP Paribas Fortis SA/NV, Netherlands Branch, authorized and supervised by ECB.