20180207-法国巴黎银行-Swinging_exuberance_17页_2mb

BNP Paribas MarFA™ Summary: Swinging Exuberance (7 February 2018)

Core Content

BNP Paribas MarFA™ is a cross-asset correlation framework that identifies driving factors and potential trading opportunities by analyzing the mispricing of 75 assets across rates, equities, credit, FX, and commodities. The framework uses both long-term and short-term signals to assess asset valuations and performance.

Key Points

• MarFA™ Macro focuses on 12-month correlations and identifies macro factors that influence asset performance and signal mispricing.
• MarFA™ Trading looks at short-term market factors that are important for current trading decisions.
• The framework highlights assets that are overbought, oversold, overvalued, or undervalued, with deviations from fair value typically correcting within 1–2 months.

Main Macro Factors

1. Economic activity – Measured by survey data such as PMIs. Most significant for equities and credit.
2. Inflation expectations – Captured by 5y5y inflation and surveys. Important for 10y rates and yield curves.
3. Economic data surprises in developed markets, especially the US – Relevant for USD FX pairs and fixed income.

Main Market Factors

1. US 5y real yields – Important across all asset classes.
2. Implied volatility – Especially in equities and FX.
3. Risk appetite – Measured by the BNPP Risk Premium Index (BNPSGRP Index), most critical for equity markets.

Current Asset Valuations and Trading Signals

Equities

• Oversold: Nikkei 225, FTSE 100, Germany's DAX, Swiss SMI, Canada's TSX
• Fair-value: MSCI EM, MSCI South Africa, MSCI Mexico, MSCI South Korea, MSCI India (less than two standard deviations deviation)
• Overvalued: S&P 500 (last update)

Rates

• Too high: US 10y nominal yield (~20bp), US 10y real yield (~10bp)
• Too low: Italian 10y yield, Australian 10y yield
• Fairly valued: Canadian 10y yield, German 10y yield

Credit

• Fairly valued: Major credit indices due to recent fair-value declines

Commodities

• Overvalued: Oil (8.3%), gold (2.3%), platinum (2.5%)

FX

• Overvalued: GBPUSD (2.6%), EURSEK (2.2%)
• Undervalued: USDJPY (2.6%), AUDUSD (2.1%), EURPLN (1.9%)

Deviations from Fair Value

Trading Strategy Performance

• A strategy of buying undervalued assets and selling overvalued ones has historically delivered a Sharpe ratio of 0.5 since the launch of MarFA™ in September 2016.
• Since the last update on 16 January, the Sharpe ratio improved to 0.7.

Legal and Disclosure Notes

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for Professional Clients and Eligible Counterparties as defined under MiFID II.
• It does not constitute an offer to sell or issue securities, nor a solicitation to purchase them.
• The document may contain performance data based on back-testing and is for illustrative purposes only.
• No guarantees are made regarding the accuracy or completeness of the information.
• BNPP may have financial interests in the securities discussed and may act as market makers, advisors, or underwriters.
• ETFs and other securities may be subject to specific disclosures, including restrictions on purchase and potential conflicts of interest.
• This document is confidential and should not be copied or distributed without prior written consent.