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BNP Paribas FX Momentum Summary

Core Content

This document outlines the BNP Paribas FX Momentum strategy, which evaluates the strength of currency trends using a scoring system ranging from -100 to +100. The strategy is based on the momentum of exchange rates, interest rates, and equity markets. It is used to determine the direction and strength of currency movements, helping to guide investment decisions in the FX market.

Key Currency Momentum Scores (as of 9 January 2018)

• CAD (Canadian Dollar):

  • Momentum score: +50
  • Most bullish in the G10 currencies.
  • Rates markets continue to send very bullish signals for CAD.

• USD (US Dollar):

  • Momentum score: +32
  • Bullish due to positive momentum in rates and equity markets, but the FX component is bearish.

• NZD (New Zealand Dollar):

  • Momentum score: -66
  • Most bearish in the G10 currencies.

• GBP (British Pound):

  • Momentum score: +23
  • Has remained bullish since November, with a gradual increase in the New Year.

Strategy Overview

• Methodology:

  • The strategy uses two moving averages to detect trends.
  • A bullish trend is identified when the shorter moving average is above the longer one.
  • The overall momentum score is the sum of three components: FX, rates, and equities.

• Score Range:

  • Each component score varies between +/-33.3, while the overall score varies between +/-100.

• Performance:

  • The strategy has provided a Sharpe ratio of 0.79 since 2002, based on trading a basket of major currency pairs.
  • The portfolio is equally weighted with position sizes determined by momentum scores and a 10% volatility target.
  • Indexed to 1 January 2010.

Strategy Contacts

FX Strategy Contacts

Emerging Markets FX & IR Strategy Contacts

Legal Notice

• This document is non-independent research and is a marketing communication.
• It is not intended to provide investment advice or be considered a prospectus.
• BNP Paribas may have conflicts of interest due to its involvement in trading, investment banking, and other services.
• The information is for informational purposes only and not guaranteed for accuracy or completeness.
• Back-tested performance is provided for illustrative purposes and does not guarantee future results.
• Indicative prices are based on internal models and may vary significantly from other sources.
• No liability is accepted for any use of the document or its content.
• The document is confidential and must not be distributed without prior written consent.

Additional Disclosures

• Options: May involve high risk and are only suitable for sophisticated investors.
• ETFs: May include tracking error, currency risk, geopolitical risk, and interest rate risk.
• Unregistered Securities: May be restricted and only available to Qualified Institutional Buyers or non-US persons under Regulation S.

Distribution and Regulation

• The document is produced by BNP Paribas London Branch and is subject to regulation in various jurisdictions.
• It is intended for professional clients and eligible counterparties under MiFID and other regulations.
• BNP Paribas and its affiliates may hold positions, act as market makers, or provide advisory services in relation to the instruments discussed.
• Confidentiality: The document is strictly confidential and should not be shared without consent.