20161010-法国巴黎银行-BNP_Paribas_STEER_12页_644kb

BNP Paribas STEER™ FX Strategy Summary - 10 October 2016

Core Content

BNP Paribas STEER™ is a proprietary FX strategy model that generates trading signals based on short-term value analysis. The model uses a co-integration filter to determine whether a currency pair is overbought or oversold, and provides entry, target, and stop loss levels accordingly. The model is part of the firm's broader FX strategy and is not independent investment research but rather a marketing communication.

Main Trading Signals

New Signals (Updated Today)

• GBPUSD LONG: Entry at 1.2374, Target at 1.3003, Stop Loss at 1.2059
• USDCAD SHORT: Entry at 1.3265, Target at 1.3069, Stop Loss at 1.3365
• EURGBP SHORT: Entry at 0.9031, Target at 0.8693, Stop Loss at 0.9206

Closed Signals

• USDZAR LONG: Opened on 05-Oct-16, Closed on 10-Oct-16 at 13.7948, Return: -0.09%
• USDCLP LONG: Opened on 04-Oct-16, Closed on 07-Oct-16 at 664.0500, Return: 0.63%
• USDMXN SHORT: Opened on 05-Oct-16, Closed on 09-Oct-16 at 19.1589, Return: 0.83%

Existing Signals

• USDTWD LONG: Opened on 27-Sep-16, Target at 31.5050, Stop Loss at 31.2305
• USDIDR LONG: Opened on 05-Oct-16, Target at 13099, Stop Loss at 12954

Key Information

Performance Overview

• The STEER™ model has returned 17.77% in closed trades year-to-date.
• The strong performance was highlighted in the recent Global FX Plus report.

Z-Score Analysis for G10 Currencies

• GBPUSD: Z-score = -2.57 (-5.12%), Spot = 1.2370, Upper Bound = 1.3373, Lower Bound = 1.2633
• EURNOK: Z-score = -2.09 (-1.96%), Spot = 9.0700, Upper Bound = 9.3758, Lower Bound = 9.1202
• EURUSD: Z-score = -0.88 (-1.13%), Spot = 1.1180, Upper Bound = 1.1518, Lower Bound = 1.1090
• AUDUSD: Z-score = -0.76 (-1.16%), Spot = 0.7590, Upper Bound = 0.7854, Lower Bound = 0.7506
• NZDUSD: Z-score = 0.35 (0.55%), Spot = 0.7140, Upper Bound = 0.7270, Lower Bound = 0.6932
• EURCHF: Z-score = 0.45 (0.31%), Spot = 1.0940, Upper Bound = 1.1016, Lower Bound = 1.0794
• USDJPY: Z-score = 1.14 (2.09%), Spot = 103.20, Upper Bound = 103.8411, Lower Bound = 98.1427
• USDCAD: Z-score = 1.49 (1.47%), Spot = 1.3260, Upper Bound = 1.3264, Lower Bound = 1.2873
• EURGBP: Z-score = 2.08 (3.80%), Spot = 0.9040, Upper Bound = 0.8940, Lower Bound = 0.8446
• EURSEK: Z-score = 2.27 (2.66%), Spot = 9.6660, Upper Bound = 9.5787, Lower Bound = 9.2392

Performance in Emerging Markets (EM)

• STEER™ continued to signal long positions in USDTWD and USDIDR.
• The model closed USDZAR, USDCLP, and USDMXN signals, resulting in an overall profit of 1.37%.

Driving Factors Behind the Moves

• The model highlights that the recent movements in currency pairs are influenced by short-term market dynamics and may not be fully justified by fundamentals.
• The weakening of GBPUSD and EURGBP, as well as the strength of USDCAD, are noted as being inconsistent with their fundamentals.

Strategy Contacts

Cross Asset Strategy

• Michael Sneyd, CFA - Macro Quantitative Strategist, London, Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com
• Steven Saywell - Global Head of FX Strategy, London, Tel: 44 20 7595 8487, Email: steven.saywell@uk.bnpparibas.com
• Sam Lynton-Brown - FX Strategist, London, Tel: 44 20 7595 8467, Email: sam.lynton-brown@uk.bnpparibas.com
• Clara Leonard - FX Strategist, London, Tel: 44 20 7595 1424, Email: clara.leonard@uk.bnpparibas.com
• Daniel Katzive, CFA - Head of FX Strategy North America, New York, Tel: 1 212 841 2408, Email: daniel.katzive@us.bnpparibas.com
• Vasilis Koutsaftis - FX Options Strategist, New York, Tel: 1 212 471 7973, Email: vasilis.koutsaftis@americas.bnpparibas.com

Emerging Markets FX & IR Strategy

• Wike Groenenberg - Global Head of EM Strategy, London, Tel: 44 20 7595 8746, Email: wike.groenenberg@uk.bnpparibas.com
• Piotr Chwiejczak - FX & IR CEEMEA Strategist, London, Tel: 44 20 7595 8715, Email: piotr.chwiejczak@uk.bnpparibas.com
• Erkin Isik, CFA - FX & IR CEEMEA Strategist, Istanbul, Tel: 90 216 635 2987, Email: erkin.isik@teb.com.tr
• Mirza Baig - Head of FX & IR Asia Strategy, Singapore, Tel: 65 6210 3262, Email: mirza.s.baig@asia.bnpparibas.com
• Jennifer Kusuma - FX & IR Asia Strategist, Singapore, Tel: 65 6210 3263, Email: jennifer.kusuma@asia.bnpparibas.com
• Altaz Daga - AU/NZ IR Strategist, Singapore, Tel: 65 6210 4994, Email: altaz.dagha@asia.bnpparibas.com
• Kun Shan - China Strategist, Shanghai, Tel: 86 21 2896 2773, Email: kun.shan@asia.bnpparibas.com
• Tianhe Ji - China Strategist, Shanghai, Tel: 86 21 2896 2785, Email: tianhe.ji@asia.bnpparibas.com
• Gabriel Gersztein - Head FX & IR Latam Strategy, Sao Paulo, Tel: 55 11 3841 3421, Email: gabriel.gersztein@br.bnpparibas.com
• Samuel Castro - FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3492, Email: samuel.castro@br.bnpparibas.com
• Gustavo Mendonca - FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3445, Email: gustavo.mendonca@br.bnpparibas.com

Distribution and Legal Disclaimer

• This document is non-independent research and is a marketing communication.
• It is not subject to any prohibition on dealing ahead of the dissemination of investment research.
• No liability is accepted for any loss arising from reliance on the information in this report.
• No obligation to update the information or correct inaccuracies is assumed.
• The report is intended for professional clients only and not for retail clients.
• It is not an offer or solicitation to buy or sell any securities or investment.
• All information is based on public sources and may be subject to change without notice.

Legal Information

• BNP Paribas London Branch is authorised and regulated by the ECB, ACPR, and FCA.
• BNP Paribas Securities (Japan) Limited is a licensed financial instruments firm in Japan.
• BNP Paribas Singapore Branch is regulated under the Banking Act, Securities and Futures Act, and Financial Advisers Act.
• BNP Paribas ABN 23 000 000 117 is licensed in Australia as a Foreign Approved Deposit-taking Institution.
• BNP Paribas Securities Korea is registered and regulated under the Financial Investment Services and Capital Markets Act in South Korea.

Conclusion

The STEER™ model provides short-term trading signals based on value analysis and co-integration filters. It highlights that some currency pairs, such as GBPUSD and EURGBP, are overbought or oversold, and recommends long or short positions accordingly. The model has shown strong performance in the year-to-date, with a return of 17.77% in closed trades. However, it is important to note that the information is not independent investment research and is intended for professional clients only.