巴黎银行-全球-外汇策略-巴黎银行外汇指南-20180129-15页_1mb

报告摘要

FX STRATEGY | FX QUANT INSIGHT - BNP Paribas STEER™ Summary

Core Content

BNP Paribas has released a FX strategy report for 29 January 2018 using the STEER™ model, which evaluates the relationship between FX rates and underlying fundamentals through a cointegration filter. The report highlights the current status of various currency pairs across G10, CEEMEA, and Latin America, along with key performance indicators and driving factors.

Main Points

1. New Trading Signals

EURSEK (Long):
- Entry Rate: 9.7860
- Target: 9.9434
- Stop Loss: 9.7073
- Return: 0.00% (as of 29-Jan-18)
- Z-Score: -2.41 (indicating undervaluation)
- Reason: EURSEK is strongly positively correlated with global equities, and its fair value has increased due to the rally in equities.

2. Closed Signals

No closed signals reported for the day.

3. Recent Closed Signals (from 15-Jan-18 and 19-Jan-18)

Date	Position	Entry Rate	Close Rate	Return (%)
15-Jan-18	LONG USDSGD	1.3220	1.3186	-0.26
15-Jan-18	SHORT USDKRW	1062.7	1066.6	-0.36
08-Jan-18	LONG EURNOK	9.6854	9.5804	-1.08
19-Jan-18	LONG USDZAR	12.1366	12.087	-0.41
19-Jan-18	SHORT GBPUSD	1.3895	1.4028	-0.96

4. G10 Currency Pairs - Short-Term Value and Z-Scores

Currency	STEER Value	Spot Rate	Z-Score
EURCHF	1.2241	1.1620	-3.86 (-5.32%)
USDJPY	113.19	108.80	-3.73 (-4.02%)
USDCAD	1.2649	1.2340	-3.21 (-2.53%)
EURNOK	9.8859	9.5550	-2.92 (-3.46%)
EURSEK	9.9434	9.7860	-2.41 (-1.61%)
EURGBP	0.8975	0.8780	-1.03 (-2.19%)
EURUSD	1.2500	1.2410	-0.61 (-0.70%)
GBPUSD	1.3928	1.4130	1.57 (1.46%)
AUDUSD	0.7881	0.8090	2.46 (2.60%)
NZDUSD	0.7047	0.7330	2.57 (3.90%)

EURSEK is the only G10 pair remaining cointegrated, indicating reduced statistical confidence in the model for most G10 and EM pairs.

5. CEEMEA Currency Pairs - Short-Term Value and Z-Scores

Currency	STEER Value	Spot Rate	Z-Score
USDTHB	31.7793	31.3200	-2.41 (-1.47%)
USDTWD	29.3432	29.1450	-1.62 (-0.68%)
USDSGD	1.3177	1.3080	-1.32 (-0.73%)
USDIDR	13442	13325	-1.21 (-0.87%)
USDMYR	3.8890	3.8700	-0.54 (-0.48%)
USDINR	63.4746	63.5390	0.16 (0.10%)
USDKRW	1062	1066	0.39 (0.28%)
USDPHP	50.4439	51.0370	1.52 (1.16%)

EM currency pairs are generally fairly valued according to the model.
The cointegration filter has switched off many models, indicating reduced confidence in the statistical relationships.

6. Latin America Currency Pairs - Short-Term Value and Z-Scores

Currency	STEER Value	Spot Rate	Z-Score
USDCLP	605.84	601.70	-0.74 (-0.68%)
USDMXN	18.5392	18.5030	-0.20 (-0.19%)
USDBRL	3.1523	3.1480	-0.17 (-0.13%)
USDCOP	2808	2811	0.15 (0.09%)
USDPEN	3.2077	3.2150	0.84 (0.24%)

Z-scores for Latin America pairs show moderate deviations from fair value.
The model remains cointegrated for some pairs, indicating statistical confidence in their relationships.

Key Information

STEER Model: Uses a cointegration filter to assess the statistical relationship between FX rates and fundamentals.
Cointegration Filter Status: Half of G10 and EM models have been switched off, suggesting reduced confidence in the model's statistical validity.
EURSEK: The only G10 pair that remains cointegrated and is undervalued by 2.4 z-scores, leading to a long signal.
EM Currency Pairs: Generally fairly valued but with some deviations.
Latin America Pairs: Most show minor deviations, with USDPEN being overvalued.
Performance: Most recent signals have negative returns, indicating challenges in trading performance.
Risks: The report highlights high risks associated with FX trading, including market volatility, counterparty risk, and liquidity issues.

Driving Factors

The fair value of currencies is influenced by global equities, interest rate differentials, and economic indicators.
EURSEK is positively correlated with global equities, which have been rallying.
STEER™ model is used to generate trading signals based on statistical relationships and fair value estimates.

Contact Information

Global FX Strategy Contacts:
- Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, London
- Sam Lynton-Brown: FX Strategist, London
- Natalie Rickard: FX Strategist, London
- Alex Jekov: Graduate, London
- Daniel Katzive, CFA: Head of FX Strategy North America, New York
- Vasilis Koutsaftis: FX Options Strategist, New York
Emerging Markets FX & IR Strategy Contacts:
- Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London
- Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo
- Piotr Chwieczak: 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 Dagha: 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

Legal and Disclaimer Information

This document is non-independent research and may be subject to conflicts of interest.
It is not investment research and not intended for retail investors.
No guarantees are made regarding the accuracy or completeness of the information.
Indicative prices are not actual transaction terms and may vary significantly.
Performance data is based on back-testing and not indicative of future results.
No liability is accepted for any losses arising from reliance on this document.

Conclusion

The STEER™ model indicates mixed performance across different FX pairs, with EURSEK showing positive deviation and cointegration, suggesting a potential long opportunity. However, many models have been switched off, reflecting reduced statistical confidence. The report emphasizes the importance of risk management and independent evaluation of investment decisions.