巴黎银行-全球-宏观经济-巴黎银行MAR模型：繁荣监测-20180116-21页_2mb

BNP Paribas MarFA™ Summary

Core Content

BNP Paribas MarFA™ is a cross-asset correlation framework used to identify driving factors and trading opportunities across 75 assets, including rates, equities, credit, FX, and commodities. The framework includes two variants: MarFA™ Macro and MarFA™ Trading, each based on different time horizons (12 months and 3 months, respectively). It provides fair value estimates and signals for potential mispricings that are likely to correct over time.

Main Market and Macro Factors

Macro Factors (Based on 12m Correlations)

1. Economic activity – Captured by survey data such as PMIs, this is the most important factor, explaining around 53% of the total variance of the asset universe. It is particularly important for equities and credit.
2. Inflation expectations – Captured by 5y5y inflation and surveys, important for the performance of 10y rates and curves.
3. Economic data surprises – Especially in developed markets, particularly the US, important for USD FX pairs and fixed income.

Market Factors (Based on 3m Correlations)

1. US 5y real yields – Explains 46% of the total variance of the asset universe and is important across rates, equities, FX, credit, and commodities.
2. US 10y term premium – Particularly important for global 10y rates.
3. Investor risk appetite – Captured by the BNPP Risk Premium Index (BNPSGRP Index), most important for EM equities and gold.

Key Trading Signals

MarFA™ Macro Signals (Expected to correct within 1-2 months)

• Equities:
  • MSCI World, S&P 500, and Nikkei appear overvalued by 3-4%.
  • Turkey and South Korea equities appear cheap by 2-4%.
• Rates:
  • US and French 10y bond yields appear too high by around 10bp.
• Credit:
  • US and eurozone investment grade credit appears cheap on a total return basis.
• Commodities:
  • Oil, gold, and platinum appear overvalued by 11%, 4%, and 7%, respectively.

MarFA™ Trading Signals (Expected to correct within 1-2 weeks)

• Most overvalued:
  • GBPUSD, USDTRY, EURUSD, Germany 2s10s, EURCHF, UK 2yr yield, Switzerland 10yr yield, MSCI World, S&P 500, and EURPLN.
• Most undervalued:
  • MSCI Emerging Markets, MSCI New Zealand, MSCI China, USDMXN, MSCI South Africa, JP IG Credit, MSCI Turkey, Italy 10yr yield, USDJPY, and UK 2s10s.

Strategic Implications

• A trading strategy of buying undervalued assets and selling overvalued ones has historically yielded a Sharpe ratio of 0.5 for MarFA™ Macro and 1.45 for MarFA™ Trading since their launch in September 2016.
• The framework identifies overbought and oversold conditions, with the expectation of convergence to fair value.
• The document emphasizes the importance of monitoring macro and market factors for asset mispricings.

Important Information

• The document is a marketing communication and not independent research for MiFID II purposes.
• It is intended for Relevant Persons and may not be used by others.
• The information is based on public sources and may not have been independently verified.
• There are conflicts of interest due to BNPP's involvement in trading and investment banking activities.
• The document is non-binding and does not guarantee future performance or outcomes.

Legal Disclaimer

• BNPP disclaims any responsibility for the accuracy or completeness of the information or models used.
• The indicative prices and fair value estimates are for informational purposes only and may vary significantly.
• No assurance is given that any indicated returns or performance will be achieved.
• The document may not be reproduced or distributed without prior written consent.
• The information is provided on a strictly confidential basis.

Conclusion

BNP Paribas MarFA™ is a valuable tool for identifying mispricings and potential convergence points in the cross-asset market. It combines macroeconomic and market factors to provide insights into asset valuations, aiding in strategic trading decisions. However, it is essential to understand the limitations and legal context of the framework.